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Portfolio optimisation under changing risk via time-varying beta

Bramante, Riccardo; Gabbi, Giampaolo - In: Managerial finance 32 (2006) 4, pp. 337-346

Persistent link: https://www.econbiz.de/10006542828

Portfolio optimisation under changing risk via time-varying beta

Bramante, Riccardo; Gabbi, Giampaolo - In: Managerial Finance 32 (2006), pp. 337-346

Purpose – The paper is aimed at modelling time varying betas via a state space representation in order to decompose the marginal contribution to risk of downside and upside deviations of asset returns in portfolio optimisation. Design/methodology/approach - The approach enables to take into...

Persistent link: https://www.econbiz.de/10010741370

Portfolio optimisation under changing risk via time‐varying beta

Bramante, Riccardo; Gabbi, Giampaolo - In: Managerial Finance 32 (2006) 4, pp. 337-346

Persistent link: https://www.econbiz.de/10014939861

Pricing path-dependent options with jump risk via Laplace transforms

Kou, Steven; Petrella, Giovanni; Wang, Hui - In: The Kyoto economic review 74 (2005) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10003379381

Price changes around hedge fund trades : disentangling trading and disclosure effects

Croci, Ettore; Petrella, Giovanni - In: Journal of management & governance 19 (2015) 1, pp. 25-46

Persistent link: https://www.econbiz.de/10010476685

Numerical pricing of discrete barrier and lookback options via Laplace transforms

Petrella, Giovanni; Kou, Steven - In: The journal of computational finance 8 (2004) 1, pp. 1-37

Persistent link: https://www.econbiz.de/10002390569

Do 'thinly-traded' stocks benefit from specialist intervention?

Nimalendran, Mahendrarajah; Petrella, Giovanni - In: Journal of banking & finance 27 (2003) 9, pp. 1823-1854

Persistent link: https://www.econbiz.de/10001783390

Discussion of: "Do 'thinly-traded' stocks benefit from specialist intervention?" by Nimalendran and Petrella

Battalio, Robert H. - In: Journal of banking & finance 27 (2003) 9, pp. 1855-1857

Persistent link: https://www.econbiz.de/10001783392

Supervisors as information producers : do stress tests reduce bank opaqueness?

Petrella, Giovanni; Resti, Andrea - In: Journal of banking & finance 37 (2013) 12, pp. 5406-5420

Persistent link: https://www.econbiz.de/10010343685

Supervisors as Information Producers : Do Stress Tests Reduce Bank Opaqueness?

Petrella, Giovanni - 2012

Supervisory stress tests assess the impact of an adverse macroeconomic scenario on the profitability and capitalisation of a large number of banks. The results of such stress test exercises have recently been disclosed to the public in an attempt to restore confidence and to curb bank opaqueness...

Persistent link: https://www.econbiz.de/10013113379