Domenico Cuoco

University of Pennsylvania - Finance Department

Associate Professor

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 23,860

SSRN RANKINGS

Top 23,860

in Total Papers Downloads

3,890

SSRN CITATIONS
Rank 5,849

SSRN RANKINGS

Top 5,849

in Total Papers Citations

124

CROSSREF CITATIONS

168

Scholarly Papers (13)

1.

Optimal Dynamic Trading Strategies with Risk Limits

Operations Research, Vol. 56, pp. 358-368, 2008
Number of pages: 26 Posted: 14 Jul 2004 Last Revised: 05 Dec 2011
Domenico Cuoco, Hua He and Sergey Isaenko
University of Pennsylvania - Finance Department, Yale University - School of Management and Concordia University, Quebec - Department of Finance
Downloads 1,297 (28,364)
Citation 8

Abstract:

Loading...

Risk management, value at risk, tail conditional expectation

Equilibrium Prices in the Presence of Delegated Portfolio Management

AFA 2001 New Orleans Meetings
Number of pages: 36 Posted: 15 Jan 2001
Domenico Cuoco and Ron Kaniel
University of Pennsylvania - Finance Department and University of Rochester - Simon Business School
Downloads 723 (63,195)
Citation 9

Abstract:

Loading...

Equilibrium Prices in the Presence of Delegated Portfolio Management

CEPR Discussion Paper No. DP7453
Number of pages: 66 Posted: 07 Oct 2009
Domenico Cuoco and Ron Kaniel
University of Pennsylvania - Finance Department and University of Rochester - Simon Business School
Downloads 3 (1,111,467)
Citation 47
  • Add to Cart

Abstract:

Loading...

delegation, equilibrium, fund, portfolio

3.

An Analysis of Var-Based Capital Requirements

AFA 2004 San Diego Meetings
Number of pages: 49 Posted: 02 Dec 2003
Hong Liu and Domenico Cuoco
Washington University in St. Louis - Olin Business School and University of Pennsylvania - Finance Department
Downloads 552 (90,138)
Citation 23

Abstract:

Loading...

Capital requirements, Basel Capital Accord, Internal Models Approach, Precommitment Approach, VaR, portfolio constraints.

4.

The Valuation of Bonds and Bond Options: Some Empirical Tests

Number of pages: 29 Posted: 05 Mar 2004
Emilio Barone and Domenico Cuoco
Luiss - Guido Carli (Dpt. of Economics and Finance) and University of Pennsylvania - Finance Department
Downloads 371 (144,005)

Abstract:

Loading...

5.

The Term Structure of Interest Rates: A Test of the Cox, Ingersoll and Ross Model on Italian Treasury Bonds

Number of pages: 27 Posted: 05 Mar 2004
Emilio Barone, Domenico Cuoco and Emerico Zautzik
Luiss - Guido Carli (Dpt. of Economics and Finance), University of Pennsylvania - Finance Department and Bank of Italy
Downloads 355 (151,145)
Citation 2

Abstract:

Loading...

6.

The Valuation of Puttable Bonds: An Application of the Cox, Ingersoll and Ross Model to Italian Treasury Option Certificates

Number of pages: 17 Posted: 05 Mar 2004
Emilio Barone and Domenico Cuoco
Luiss - Guido Carli (Dpt. of Economics and Finance) and University of Pennsylvania - Finance Department
Downloads 322 (167,935)

Abstract:

Loading...

7.

Implied Volatilities and Arbitrage Opportunities in the Italian Options Market

Number of pages: 30 Posted: 05 Mar 2004
Emilio Barone and Domenico Cuoco
Luiss - Guido Carli (Dpt. of Economics and Finance) and University of Pennsylvania - Finance Department
Downloads 155 (335,845)
Citation 1

Abstract:

Loading...

8.

The Italian Market for 'Premium' Contracts: An Application of Option Pricing Theory

Number of pages: 30 Posted: 05 Mar 2004
Emilio Barone and Domenico Cuoco
Luiss - Guido Carli (Dpt. of Economics and Finance) and University of Pennsylvania - Finance Department
Downloads 112 (431,318)
Citation 4

Abstract:

Loading...

9.

On the Recoverability of Preferences and Beliefs

Posted: 16 May 2000
Domenico Cuoco and Fernando Zapatero
University of Pennsylvania - Finance Department and Boston University - Questrom School of Business

Abstract:

Loading...

10.

Optimal Consumption and Equilibrium Prices with Portfolio Cone Constraints and Stochastic Labor Income

Rodney L. White Center for Financial Research Working Paper No. 4-95
Posted: 10 Sep 1999
Domenico Cuoco
University of Pennsylvania - Finance Department

Abstract:

Loading...

11.

Optimal Consumption of a Divisible Durable Good

Rodney L. White Center for Financial Research Working Paper No. 020-98
Posted: 22 Oct 1998
Hong Liu and Domenico Cuoco
Washington University in St. Louis - Olin Business School and University of Pennsylvania - Finance Department

Abstract:

Loading...

12.

Optimal Consumption Choices for a 'Large' Investor

Rodney L. White Center for Financial Research Working Paper Series #04-96
Posted: 21 May 1998
Domenico Cuoco and Jaksa Cvitanic
University of Pennsylvania - Finance Department and California Institute of Technology - Division of the Humanities and Social Sciences

Abstract:

Loading...

An Equilibrium Model with Restricted Stock Market Participation

Rodney L. White Center Working Paper No. 1-97
Posted: 09 Apr 1997
Suleyman Basak and Domenico Cuoco
London Business School and University of Pennsylvania - Finance Department

Abstract:

Loading...

An Equilibrium Model with Restricted Stock Market Participation

Review of Financial Studies Volume 11, Issue 2
Posted: 18 Apr 1998
Suleyman Basak and Domenico Cuoco
London Business School and University of Pennsylvania - Finance Department

Abstract:

Loading...