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Style, Fees and Performance of Italian Equity Funds

Cesari, R.; Panetta, F. - Banca d'Italia - 1998

Using a clustering procedure, we classify Italian funds ex-post on the basis of the composition of their portfolios and find that the optimal number of clusters is equal to 4. The four groups which result from the statistical classification closely match the 4-level aggregation of the 20 ex-ante...

Persistent link: https://www.econbiz.de/10005486714

Sensitivity of VAR Measures to Different Risk Models

Drudi, F.; Generale, A.; Majnoni, G. - Banca d'Italia - 1997

The paper provides an empirical assessment of the market risk exposure of several portfolios representative of real … life investment positions. We employ the notion of value at risk made popular by the recent debate on capital budgeting …

Persistent link: https://www.econbiz.de/10005640899

Italian nonfinancial firms and derivatives

Graziano, Mariano - Banca d'Italia - 2012

derivatives use according to the most important literature in financial risk management. By using the Italian credit register and … risk indicators the analysis finds a relation between high derivative exposure and financial distress. In the use of …

Persistent link: https://www.econbiz.de/10011100366

Do wealth fluctuations generate time-varying risk aversion? Italian micro-evidence on household asset allocation

Cappelletti, Giuseppe - Banca d'Italia - 2012

liquid wealth will affect households' risk aversion and risky asset investment. After controlling for the decision to enter …

Persistent link: https://www.econbiz.de/10009645787

Ranking, risk-taking and effort: an analysis of the ECB's foreign reserves management

Scalia, Antonio; Sahel, Benjamin - Banca d'Italia - 2012

-2009, we study this peculiar tournament and show the existence of risk-shifting behaviour by reserve managers related to their … year-to-date ranking: interim losers increase relative risk in the second half of the year, in the same way as mutual fund … by portfolio turnover. Those who ranked low in the previous year tend to reduce risk significantly. Since reserve …

Persistent link: https://www.econbiz.de/10009645793

Portfolio Selection with Monotone Mean-Variance Preferences

Maccheroni, Fabio; Marinacci, Massimo; Rustichini, Aldo; … - Banca d'Italia - 2008

We propose a portfolio selection model based on a class of monotone preferences that coincide with mean-variance preferences on their domain of monotonicity, but differ where mean-variance preferences fail to be monotone and are therefore not economically meaningful. The functional associated to...

Persistent link: https://www.econbiz.de/10005113531

The forgone gains of incomplete portfolios

Paiella, Monica - Banca d'Italia - 2007

-participation in financial markets: high bounds would imply implausibly high costs. Assuming isoelastic utility and a relative risk …

Persistent link: https://www.econbiz.de/10005113553

Intertemporal Consumption Choices, Transaction Costs and Limited Participation in Financial Markets: Reconciling Data and Theory.

Attanasio, Orazio P.; Paiella, Monica - Banca d'Italia - 2007

-participation in financial markets Assuming isoelastic preferences, we estimate the coefficient of relative risk aversion at 1.7 and a …

Persistent link: https://www.econbiz.de/10005770781

The recent behaviour of financial market volatility

Panetta, Fabio; Angelini, Paolo; Grande, Giuseppe; … - Banca d'Italia - 2006

microeconomic perspective. Section 5 considers how the recent developments in financial innovation and improvements in risk …

Persistent link: https://www.econbiz.de/10005770790

How to interpret the CPIS data on the distribution of foreign portfolio assets in the presence of sizeable cross-border positions in mutual funds. Evidence for Italy and the main e...

Felettigh, Alberto; Monti, Paola - Banca d'Italia - 2008

The data collected by the IMF in the Coordinated Portfolio Investment Survey (CPIS) provide a unique source for foreign portfolio asset holdings, with details on the breakdown by instrument and counterpart country. In the presence of sizeable cross-border positions in mutual funds, which are...

Persistent link: https://www.econbiz.de/10005770791