Claudio Tebaldi
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View article: Saving for retirement in Europe: the long-term risk-return tradeoff
Saving for retirement in Europe: the long-term risk-return tradeoff Open
A comparison of the performances of pension products that ignores long-term trends might significantly overestimate the long-term impact of volatility risks while underestimating the impact of persistent, low-frequency trends. This paper p…
View article: Optimal order execution under price impact: A hybrid model
Optimal order execution under price impact: A hybrid model Open
In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregate…
View article: Self-Organized Criticality in Economic Fluctuations: The Age of Maturity
Self-Organized Criticality in Economic Fluctuations: The Age of Maturity Open
Self-Organized Criticality (SOC) has been proposed as a paradigm that may rationalize the emergence of macrofinancial fluctuations. The wave of innovative thinking sparked by this proposal continues to produce interesting contributions in …
View article: Star-shaped Risk Measures
Star-shaped Risk Measures Open
In this paper monetary risk measures that are positively superhomogeneous, called star-shaped risk measures, are characterized and their properties studied. The measures in this class, which arise when the controversial subadditivity prope…
View article: A persistence‐based Wold‐type decomposition for stationary time series
A persistence‐based Wold‐type decomposition for stationary time series Open
This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based o…
View article: A Multivariate Model of Strategic Asset Allocation with Longevity Risk
A Multivariate Model of Strategic Asset Allocation with Longevity Risk Open
Population-wide increase in life expectancy is a source of aggregate risk. Longevity-linked securities are a natural instrument to reallocate that risk. This paper extends the standard Campbell–Viceira (2005) strategic asset allocation mod…
View article: Levered Returns and Capital Structure Imbalances
Levered Returns and Capital Structure Imbalances Open
We revisit the relation between equity returns and financial leverage through the lens of a dynamic trade-off model with costly capital structure rebalancing. The model predicts that expected equity returns depend on whether a firm's lever…
View article: Multivariate Wold Decompositions
Multivariate Wold Decompositions Open
The Wold decomposition of a weakly stationary time series extends to the multivariate case by allowing each entry of a weakly stationary vectorial process to linearly depend on the components of a vector of shocks. Since univariate coeffic…