11
H index
12
i10 index
287
Citations
Universität St. Gallen | 11 H index 12 i10 index 287 Citations RESEARCH PRODUCTION: 14 Articles 23 Papers RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Enrico De Giorgi. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Economic Dynamics and Control | 2 |
Management Science | 2 |
Year | Title of citing document |
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2021 | COVID-19 and CAPM: a tale of reference dependence with the pharma stocks’ returns. (2021). Sinha, Paritosh ; Agarwal, Pooja. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(627):y:2021:i:2(627):p:45-82. Full description at Econpapers || Download paper |
2021 | Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation. (2021). Dionne, Georges ; Koumou, Gilles Boevi. In: Working Papers. RePEc:aof:wpaper:wp-0007. Full description at Econpapers || Download paper |
2021 | Determination of Quebecs quarterly real GDP and analysis of the business cycle, 1948-1980. (2021). Savard, Luc ; Kabore, Philippe ; Joanis, Marcelin ; Fortin, Mario. In: Working Papers. RePEc:aof:wpaper:wp-0008. Full description at Econpapers || Download paper |
2022 | Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204. Full description at Econpapers || Download paper |
2021 | Portfolio Selection under Median and Quantile Maximization. (2020). Kou, Steven ; Jiang, Zhaoli ; He, Xue Dong. In: Papers. RePEc:arx:papers:2008.10257. Full description at Econpapers || Download paper |
2021 | A Dual Characterisation of Regulatory Arbitrage for Coherent Risk Measures. (2020). Khan, Nazem ; Herdegen, Martin. In: Papers. RePEc:arx:papers:2009.05498. Full description at Econpapers || Download paper |
2021 | Law-invariant functionals that collapse to the mean: Beyond convexity. (2021). Munari, Cosimo ; Liebrich, Felix-Benedikt. In: Papers. RePEc:arx:papers:2106.01281. Full description at Econpapers || Download paper |
2021 | Recursive Utility with Investment Gains and Losses: Existence, Uniqueness, and Convergence. (2021). He, Xue Dong ; Guo, Jing. In: Papers. RePEc:arx:papers:2107.05163. Full description at Econpapers || Download paper |
2021 | Capital Requirements and Claims Recovery: A New Perspective on Solvency Regulation. (2021). Weber, Stefan ; Wilhelmy, Lutz ; Munari, Cosimo. In: Papers. RePEc:arx:papers:2107.10635. Full description at Econpapers || Download paper |
2022 | Sensitivity to large losses and $\rho$-arbitrage for convex risk measures. (2022). Herdegen, Martin ; Khan, Nazem. In: Papers. RePEc:arx:papers:2202.07610. Full description at Econpapers || Download paper |
2022 | Mean??$\rho$ portfolio selection and ?$\rho$?arbitrage for coherent risk measures. (2022). Khan, Nazem ; Herdegen, Martin. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:226-272. Full description at Econpapers || Download paper |
2021 | Salience, systemic risk and spectral risk measures as capital requirements. (2021). Matyska, Branka. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s0165188921000208. Full description at Econpapers || Download paper |
2022 | The effect of uncertainty on the sensitivity of the yield curve to monetary policy surprises. (2022). Shang, Fei. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000604. Full description at Econpapers || Download paper |
2021 | Second order of stochastic dominance efficiency vs mean variance efficiency. (2021). Truck, Stefan ; Lozza, Sergio Ortobelli ; Malavasi, Matteo. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:3:p:1192-1206. Full description at Econpapers || Download paper |
2021 | A novel version of the TODIM method based on the exponential model of prospect theory: The ExpTODIM method. (2021). Autran, Luiz Flavio ; Leoneti, Alexandre Bevilacqua. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:3:p:1042-1055. Full description at Econpapers || Download paper |
2022 | Portfolio optimization with behavioural preferences and investor memory. (2022). Mazibas, Murat. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:1:p:368-387. Full description at Econpapers || Download paper |
2022 | An inter-temporal CAPM based on First order Stochastic Dominance. (2022). Levy, Moshe. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:734-739. Full description at Econpapers || Download paper |
2022 | Target-based distributionally robust optimization for single machine scheduling. (2022). Zhang, Lianmin ; Jin, Qingwei ; Lu, Haimin ; Pei, Zhi. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:2:p:420-431. Full description at Econpapers || Download paper |
2022 | Adjusted Expected Shortfall. (2022). Wang, Ruodu ; Munari, Cosimo ; Burzoni, Matteo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002491. Full description at Econpapers || Download paper |
2021 | A new preference model that allows for narrow framing. (2021). He, Xue Dong ; Guo, Jing. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:95:y:2021:i:c:s0304406820301476. Full description at Econpapers || Download paper |
2021 | Modeling multicriteria group decision making as games from enhanced pairwise comparisons. (2021). Autran, Luiz Flavio ; Leoneti, Alexandre Bevilacqua. In: Operations Research Perspectives. RePEc:eee:oprepe:v:8:y:2021:i:c:s2214716021000166. Full description at Econpapers || Download paper |
2021 | Assortment Rotation and the Value of Concealment. (2021). Goh, Joel ; Ferreira, Kris Johnson . In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:3:p:1489-1507. Full description at Econpapers || Download paper |
2022 | Solving High-Dimensional Dynamic Portfolio Choice Models with Hierarchical B-Splines on Sparse Grids. (2022). Pfluger, Dirk ; Valentin, Julian ; Schober, Peter. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:1:d:10.1007_s10614-020-10061-x. Full description at Econpapers || Download paper |
2022 | Portfolio Diversification During the Belle Époque: When the Actual Portfolios of French Individual Investors Met Behavioral Finance. (2022). Parent, Antoine ; Merli, Maxime. In: Working Papers of LaRGE Research Center. RePEc:lar:wpaper:2022-01. Full description at Econpapers || Download paper |
2021 | Loss Aversion, Moral Hazard, and Stochastic Contracts. (2021). Ho, Hoa. In: Discussion Papers in Economics. RePEc:lmu:muenec:75307. Full description at Econpapers || Download paper |
2021 | Prospect theory, constant relative risk aversion, and the investment horizon. (2021). Levy, Moshe. In: PLOS ONE. RePEc:plo:pone00:0248904. Full description at Econpapers || Download paper |
2022 | The Evaluation of Mean-Detrended Cross-Correlation Analysis Portfolio Strategy for Multiple risk Assets. (2022). Chen, Zhonglu ; Zhang, Linlin ; Wu, XU. In: Evaluation Review. RePEc:sae:evarev:v:46:y:2022:i:2:p:138-164. Full description at Econpapers || Download paper |
2021 | Bargaining, Reference Points, and Limited Influence. (2021). Karagözoğlu, Emin ; Ozcan-Tok, Elif ; Karagozolu, Emin. In: Dynamic Games and Applications. RePEc:spr:dyngam:v:11:y:2021:i:2:d:10.1007_s13235-020-00359-8. Full description at Econpapers || Download paper |
2021 | Competitive equilibria in a comonotone market. (2021). Boonen, Tim J ; Wang, Ruodu ; Liu, Fangda. In: Economic Theory. RePEc:spr:joecth:v:72:y:2021:i:4:d:10.1007_s00199-020-01319-4. Full description at Econpapers || Download paper |
2022 | An evolutionary finance model with short selling and endogenous asset supply. (2022). Hens, Thorsten ; Evstigneev, Igor V ; Belkov, Sergei ; Amir, Rabah. In: Economic Theory. RePEc:spr:joecth:v:73:y:2022:i:2:d:10.1007_s00199-020-01269-x. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2021 | Analyzing the Performance of a Two-Tail-Measures-Utility Multi-objective Portfolio Optimization Model. (2021). Mamanis, Georgios . In: SN Operations Research Forum. RePEc:spr:snopef:v:2:y:2021:i:4:d:10.1007_s43069-021-00106-8. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2016 | Diversification Preferences in the Theory of Choice In: Papers. [Full Text][Citation analysis] | paper | 8 |
2016 | Diversification preferences in the theory of choice.(2016) In: Decisions in Economics and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2016 | Naive Diversification Preferences and their Representation In: Papers. [Full Text][Citation analysis] | paper | 1 |
2007 | Stochastic Reference Points And The Dependence Structure In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2007 | Financial Market Equilibria With Cumulative Prospect Therory In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 15 |
2010 | Financial market equilibria with cumulative prospect theory.(2010) In: Journal of Mathematical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | article | |
2009 | A Satiscing Alternative to Prospect Theory In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2009 | A Satisficing Alternative to Prospect Theory.(2009) In: University of St. Gallen Department of Economics working paper series 2009. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2008 | Second-Order Stochastic Dominance, Reward-Risk Portfolio Selection, and the CAPM In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 15 |
2008 | Evolutionary portfolio selection with liquidity shocks In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 5 |
2005 | Evolutionary Portfolio Selection with Liquidity Shocks.(2005) In: Computing in Economics and Finance 2005. [Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
Evolutionary Portfolio Selection with Liquidity Shocks.() In: IEW - Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | ||
2012 | Dynamic portfolio choice and asset pricing with narrow framing and probability weighting In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 25 |
2011 | A note on reward-risk portfolio selection and two-fund separation In: Finance Research Letters. [Full Text][Citation analysis] | article | 3 |
2008 | The [alpha]-beauty contest: Choosing numbers, thinking intervals In: Games and Economic Behavior. [Full Text][Citation analysis] | article | 0 |
2005 | Reward-risk portfolio selection and stochastic dominance In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 59 |
Reward-Risk Portfolio Selection and Stochastic Dominance.() In: IEW - Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 59 | paper | ||
2014 | Monetary policy regimes: Implications for the yield curve and bond pricing In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 5 |
2005 | Making Prospect Theory Fit for Finance In: Discussion Papers. [Full Text][Citation analysis] | paper | 37 |
2006 | Making prospect theory fit for finance.(2006) In: Financial Markets and Portfolio Management. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | article | |
2005 | Prospect Theory and the Size and Value Premium Puzzles In: Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2017 | A New Approach to the Study of Editing of Repeated Lotteries In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | Loss Aversion with a State-Dependent Reference Point In: Management Science. [Full Text][Citation analysis] | article | 22 |
2010 | Loss aversion with a state-dependent reference point.(2010) In: University of St. Gallen Department of Economics working paper series 2010. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2012 | Aspirational Preferences and Their Representation by Risk Measures In: Management Science. [Full Text][Citation analysis] | article | 21 |
2007 | Computational aspects of prospect theory with asset pricing applications In: Computational Economics. [Full Text][Citation analysis] | article | 13 |
2012 | A Concave Security Market Line In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] | paper | 0 |
Beta Regimes for the Yield Curve In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 14 | |
Beta Regimes for the Yield Curve.() In: IEW - Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | ||
2009 | Portfolio Selection with Narrow Framing: Probability Weighting Matters In: University of St. Gallen Department of Economics working paper series 2009. [Full Text][Citation analysis] | paper | 0 |
2009 | Goal-Based Investing with Cumulative Prospect Theory and Satisficing Behavior In: University of St. Gallen Department of Economics working paper series 2009. [Full Text][Citation analysis] | paper | 1 |
2010 | Dual representation of choice and aspirational preferences In: University of St. Gallen Department of Economics working paper series 2010. [Full Text][Citation analysis] | paper | 0 |
2002 | An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios In: Risk and Insurance. [Full Text][Citation analysis] | paper | 2 |
A Note on Portfolio Selection under Various Risk Measures In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 16 | |
Prospect Theory and the CAPM: A contradiction or coexistence? In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 10 | |
Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence? In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 13 | |
The ?-Beauty Contest: Choosing Numbers, Thinking Intervals In: IEW - Working Papers. [Full Text][Citation analysis] | paper | 1 |
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