Výsledky vyhledávání - "Gabriele Susinno"

Demystifying Rebalancing Premium and Extending Portfolio Theory in the Process

Autor: Gabriele Susinno, Vladislav Dubikovsky

Publikováno v: SSRN Electronic Journal.

Volatility is usually considered as a synonym for risk. Mainstream financial theory states that higher portfolio volatility is translated into higher expected returns while diversification helps eliminate idiosyncratic risks. This leaves us with an a

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::0556ee40d5a6f074327c700aed19d171
https://doi.org/10.2139/ssrn.2927791

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Demystifying Rebalancing Premium: A Methodological Path to Risk Premia Engineering

Autor: Vladislav Dubikovsky, Gabriele Susinno

Publikováno v: SSRN Electronic Journal.

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::240b3fa00413674d585d1421403bf819
https://doi.org/10.2139/ssrn.2635412

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Solving the Rebalancing Premium Puzzle11The views and opinions expressed in it are those of the authors and do not necessarily reflect those of Unigestion. The mention of any company, product or process in this report does not constitute or imply an endorsement by Unigestion. As a result, no representation or warranty, expressed or implied, is or will be made by Unigestion in this respect and no responsibility or liability is or will be accepted

Autor: Gabriele Susinno, Vladyslav Dubikovskyy

Volatility is usually considered as a synonym for risk. However, recently developed investment strategies based on the concept of volatility harvesting claim to use volatility as a source of additional return. Proponents of these strategies refer to

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::ec9c684f0eccf3556296e260f6252dbf
https://doi.org/10.1016/b978-1-78548-008-9.50009-5

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Expected Returns Independent Allocations

Autor: Gabriele Susinno

Publikováno v: SSRN Electronic Journal.

Present market instabilities have prompted great interest on the characteristics of specific portfolios such as minimum variance and equally- weighted risk contribution portfolios as these portfolios do not rely on the estimate of expected returns. I

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::3fbfd478d785755e690effcf05785c4d
https://doi.org/10.2139/ssrn.2636897

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Portfolio Blender: Blending Qualitative Expectations in Portfolio Optimization

Autor: Gabriele Susinno, Olivier Powell, Jeremie Smaga

Publikováno v: SSRN Electronic Journal.

This note presents the Blender, a concept that was developed at Unigestion by the Quantitative Research Hedge Fund Team. In the context of portfolio optimization we propose Blended portfolios as an alternative to efficient portfolios. Albeit Blended

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::62538922b7cd045ad7b04de62e97a3c2
https://doi.org/10.2139/ssrn.2259690

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Computing Journal: Stochastic-volatility Models with Optional Jumps

Autor: Anna Pretre, Gabriele Susinno

Publikováno v: SSRN Electronic Journal.

In this paper we compare different models describing the implied volatility surface. In particular we analyse in-depth the numerical properties of the Heston model and we extend it to include Jump processes. In our approach, we first identify a close

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::706030e4dd8dc319c28c3ae3e523f411
https://doi.org/10.2139/ssrn.2487746

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Shortcomings in Advise versus the Art and Science of Investing in Hedge Funds

Autor: Gabriele Susinno

Publikováno v: SSRN Electronic Journal.

Hedge Funds are often marketed as appealing alternative investment instruments. The quality of marketing arguments, used to seduce investors, are obviously function of the depth of market literacy of potential investors. In Italy, for instance, high

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::490392ca88b03d9c2a341fc83eda7ad5
https://doi.org/10.2139/ssrn.649282

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Market Dynamics as a Consequence of Local Complementarity and Global Substitutability in Agent's Strategies

Autor: Gabriele Susinno, Michele Bagella, Rocco Ciciretti

Publikováno v: SSRN Electronic Journal.

Empirical analysis of financial markets has shown number of stylized facts such as heavy tails or volatility bursts which are difficult to explain in terms of evolution of fundamental economic variables. Indeed the non-Gaussian, non-stable character

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::ca77e4d45bf503e774bb5908e6af0ca6
https://doi.org/10.2139/ssrn.831764

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News and Prices Divorce: Investment Strategies from Behavioral Finance

Autor: Gabriele Susinno

Publikováno v: SSRN Electronic Journal.

In this research letter we outline the interesting results of the new frontier of interdisciplinary field of behavioural finance and complex interacting systems. Indeed, empirical analysis of financial markets has shown number of stylized facts such

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::32908a01eb4b895e371b0fbc87299f64
https://doi.org/10.2139/ssrn.649381

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