Search Results - person:"Barone-Adesi, Giovanni"

Managing the shortfall risk of target date funds by overfunding

Barone-Adesi, Giovanni; Platen, Eckhard; Sala, Carlo - 2025

Persistent link: https://www.econbiz.de/10015374564

On the use of equities in target date funds

Barone-Adesi, Giovanni; Platen, Eckhard; Sala, Carlo - 2020

Is it possible to achieve almost riskless investment results in the long run through equity investments? The persistence of low interest rates is spurring research on this question, because of the need to increase yields, while limiting variability of investment results. Target date funds aim to...

Persistent link: https://www.econbiz.de/10012219170

Risk management decisions and value under uncertainty

Barone-Adesi, Giovanni; Clark, Ephraim; Prigent, Jean-Luc - 2022

Persistent link: https://www.econbiz.de/10013341955

Testing market efficiency with the pricing kernel

Barone-Adesi, Giovanni; Sala, Carlo - 2019

Persistent link: https://www.econbiz.de/10012207068

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Testing market efficiency with the pricing kernel

Barone-Adesi, Giovanni; Sala, Carlo - 2019

Book / Working Paper

VaR and CVaR implied in option prices

Barone-Adesi, Giovanni - 2016

VaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option prices are derived initially under the pricing measure. It does not require assumptions about the distribution of portfolio returns. The effects of changes of measure are modest...

Persistent link: https://www.econbiz.de/10011544027

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VaR and CVaR implied in option prices

Barone-Adesi, Giovanni - 2015

Book / Working Paper

The keys of predictability : a comprehensive study

Barone-Adesi, Giovanni; Mira, Antonietta; Pisati, Matteo - 2019

The problem of market predictability can be decomposed into two parts: predictive models and predictors. At first, we show how the joint employment of model selection and machine learning models can dramatically increase our capability to forecast the equity premium out-of-sample. Secondly, we...

Persistent link: https://www.econbiz.de/10012003151

Risk management decisions and value under uncertainty

2022

Persistent link: https://www.econbiz.de/10013288061

Option market trading activity and the estimation of the pricing kernel : a Bayesian approach

Barone-Adesi, Giovanni; Fusari, Nicola; Mira, Antonietta; … - 2020

Persistent link: https://www.econbiz.de/10012439749

S&P 500 index, an option-implied risk analysis

Barone-Adesi, Giovanni; Legnazzi, Chiara; Sala, Carlo - 2018

The forward-looking nature of option market data allows one to derive economically-based and model-free risk measures. This article proposes an extensive analysis of the performances of option-implied VaR and CVaR, and compare them with classical risk measures for the S&P500 Index. Delivering...

Persistent link: https://www.econbiz.de/10011899623

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S&P 500 index, an option implied risk analysis

Barone-Adesi, Giovanni; Legnazzi, Chiara; Sala, Carlo - 2016

Book / Working Paper

Preface: Decision making and risk/return optimization in financial economics

AitSahlia, Farid; Barone-Adesi, Giovanni; Clark, Ephraim; … - 2019

Persistent link: https://www.econbiz.de/10012127903