Domenico Cuoco

University of Pennsylvania - Finance Department

Associate Professor

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

SCHOLARLY PAPERS

14

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Scholarly Papers (14)

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 1,151 (17,554)
Citation 1

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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 692 (35,747)
Citation 8

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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 (659,566)
Citation 3
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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 457 (62,024)
Citation 17

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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 347 (85,849)

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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 317 (94,916)
Citation 1

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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 299 (101,190)

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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 131 (218,131)
Citation 1

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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 93 (278,008)
Citation 4

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9.

A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements

Mathematical Finance, Vol. 10, No. 3, July 2000
Posted: 12 Oct 2000
Hong Liu and Domenico Cuoco
Washington University in St. Louis - Olin Business School and University of Pennsylvania - Finance Department

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10.

On the Recoverability of Preferences and Beliefs

Review of Financial Studies, Vol. 13, No. 2
Posted: 16 May 2000
Domenico Cuoco and Fernando Zapatero
University of Pennsylvania - Finance Department and Questrom School of Business, Boston University

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11.

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

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12.

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

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13.

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

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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

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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

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