Gianluca Oderda

Ersel Asset Management SGR s.p.a.

Piazza Solferino 11

Torino, 10121

Italy

SCHOLARLY PAPERS

3

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3,278

SSRN CITATIONS

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CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Beta-Arbitrage Strategies: When Do They Work, and Why?

Swiss Finance Institute Research Paper No. 11-64
Number of pages: 59 Posted: 09 Jan 2012 Last Revised: 07 Apr 2014
University of Geneva - Geneva Finance Research Institute (GFRI), Pictet Asset Management SA, Ersel Asset Management SGR s.p.a. and Pictet Asset Management
Downloads 2,165 (6,283)
Citation 1

Abstract:

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Relative arbitrage, Market diversity, Beta

2.

Stochastic Portfolio Theory Optimization and the Origin of Alternative Asset Allocation Strategies

Number of pages: 28 Posted: 09 May 2013
Gianluca Oderda
Ersel Asset Management SGR s.p.a.
Downloads 715 (34,671)
Citation 1

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Stochastic Portfolio Theory, Market Diversity, Portfolio Construction

3.

A Proof of the Outperformance of Beta Arbitrage Strategies

Number of pages: 13 Posted: 20 Apr 2010
Reda Jürg Messikh and Gianluca Oderda
Pictet Asset Management SA and Ersel Asset Management SGR s.p.a.
Downloads 398 (73,201)
Citation 1

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Ex-ante variance, ex-ante beta-weighted portfolios, beta arbitrage strategies