Zobrazeno 1 - 10
of 114
pro vyhledávání: '"Agostino Capponi"'
Publikováno v:
AEA Papers and Proceedings. 113:253-256
In this paper, we examine the balance between allocative efficiency and price discovery in blockchain-based finance. Our analysis reveals that the use of private pools, while improving blockspace allocation efficiency, negatively impacts price discov
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a3d2dca7670b4aa371e33f0a3250652e
https://doi.org/10.1257/pandp.20231030
https://doi.org/10.1257/pandp.20231030
Publikováno v:
Operations Research. 71:750-767
We study systemic risk in a supply chain network where firms are connected through purchase orders. Firms can be hit by cost or demand shocks, possibly leading to defaults. These shocks propagate through the supply chain network via input-output link
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6f9c9eb0c71c899b4551cf82b48f873d
https://doi.org/10.1287/opre.2022.2409
https://doi.org/10.1287/opre.2022.2409
Publikováno v:
Management Science. 68:6993-7017
This paper develops a framework for designing collateral requirements in a centrally cleared market. Clearing members post collateral—initial margins and default funds—to increase their pledgeable income, thereby committing to risk management. Th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::33772d3f49d2f816440e82f55cf12d96
https://doi.org/10.1287/mnsc.2021.4145
https://doi.org/10.1287/mnsc.2021.4145
Publikováno v:
Journal of Political Economy. 130:1805-1859
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b1692f3d019b3acba9607e310063b334
https://doi.org/10.1086/719758
https://doi.org/10.1086/719758
Autor:
Agostino Capponi, Alexey Rubtsov
Publikováno v:
Operations Research. 70:1598-1612
How can we construct portfolios that perform well in the face of systemic events? The global financial crisis of 2007–2008 and the coronavirus disease 2019 pandemic have highlighted the importance of accounting for extreme form of risks. In “Syst
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ef0a92ab4e660ad55b12e89ed1ef0145
https://doi.org/10.1287/opre.2021.2234
https://doi.org/10.1287/opre.2021.2234
Publikováno v:
Management Science. 68:2485-2512
Automated investment managers, or robo-advisors, have emerged as an alternative to traditional financial advisors. The viability of robo-advisors crucially depends on their ability to offer personalized financial advice. We introduce a novel framewor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::abebc22490284f828d189d6a6f1c1949
https://doi.org/10.1287/mnsc.2021.4014
https://doi.org/10.1287/mnsc.2021.4014
Publikováno v:
Journal of Monetary Economics. 126:58-86
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9be24835af5f3dc051e967c71a06c53d
https://doi.org/10.1016/j.jmoneco.2021.12.003
https://doi.org/10.1016/j.jmoneco.2021.12.003
Publikováno v:
Operations Research. 70:715-728
Diversification vs. Diversity – How is the Efficiency of Markets Affected? Prices aggregate information that is dispersed in the economy; they thereby facilitate the allocation of scarce resources. Inefficiencies may arise from deviations of market
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::48e860f8d87ff609e7c8f4615e94cc63
https://doi.org/10.1287/opre.2021.2172
https://doi.org/10.1287/opre.2021.2172
Publikováno v:
Annual Review of Financial Economics. 15
Open-end mutual funds offer investors same-day liquidity while holding assets that in some cases take several days to sell. This liquidity transformation creates a potentially destabilizing first-mover advantage: When asset prices fall, investors who
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dfa816ff9f852ed31845647e50241790
https://doi.org/10.1146/annurev-financial-110921-100843
https://doi.org/10.1146/annurev-financial-110921-100843
Autor:
Agostino Capponi, Mihailo Stojnic
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e1cdce0b3286acb386e35c2e68be926d
https://doi.org/10.2139/ssrn.4372280
https://doi.org/10.2139/ssrn.4372280