Stefano Colucci

University of Rome III - Department of Business Studies

PhD Candidate

Via Silvio D'Amico 77

Via Silvio D'Amico 77

Rome, RM 00145

Italy

Pictet Asset Management

Geneva

Switzerland

  • University of Rome III - Department of Business Studies

  • Pictet Asset Management

SCHOLARLY PAPERS

10

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6,899

SSRN CITATIONS

10

CROSSREF CITATIONS

7

Scholarly Papers (10)

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1.

A Risk Based Approach to Tactical Asset Allocation

Number of pages: 27 Posted: 28 Nov 2011 Last Revised: 08 Dec 2011
Stefano Colucci and Dario Brandolini
University of Rome III - Department of Business Studies and University of Turin
Downloads 2,602 (10,434)
Citation 1

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asset allocation, expected shortfall, filtered bootstrap, VaR, GDP

2.

Backtesting Value-at-Risk: A Comparison between Filtered Bootstrap and Historical Simulation

Number of pages: 36 Posted: 28 Nov 2011 Last Revised: 30 Jan 2014
Stefano Colucci and Dario Brandolini
University of Rome III - Department of Business Studies and University of Turin
Downloads 1,062 (40,865)
Citation 2

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VaR, backtest, historical simulation, filtered bootstrap, unconditional coverage, independence

3.

How Expected Shortfall Can Simplify the Equally-Weighted Risk Contribution Portfolio

Number of pages: 26 Posted: 05 Dec 2011 Last Revised: 21 Dec 2011
Stefano Colucci
University of Rome III - Department of Business Studies
Downloads 768 (63,932)
Citation 3

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Risk Parity, Expected Shortfall, Equally weighted Porfolio, Asset Allocation

4.

Minimum Risk vs. Capital and Risk Diversification Strategies for Portfolio Construction

Number of pages: 24 Posted: 21 Jan 2015 Last Revised: 12 Feb 2015
Francesco Cesarone and Stefano Colucci
University of Rome III - Department of Business Studies and University of Rome III - Department of Business Studies
Downloads 662 (77,390)
Citation 10

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Risk Parity, Diversification, Asset Allocation, Conditional Value-at-Risk, Portfolio Optimization, Smart Beta

5.

A Quick Introduction to Quantitative Models That Discard Estimation of Expected Returns for Portfolio Construction

Number of pages: 43 Posted: 03 Sep 2012 Last Revised: 20 Feb 2013
Stefano Colucci
University of Rome III - Department of Business Studies
Downloads 625 (83,206)

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equally risk contribution, risk parity, maximum diversification, asset allocation, mean variance, 1/N, VaR models, expected shortfall

6.

On Estimating Bitcoin Value at Risk: A Comparative Analysis

Number of pages: 24 Posted: 31 Aug 2018
Stefano Colucci
University of Rome III - Department of Business Studies
Downloads 421 (134,632)
Citation 1

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Value-at-Risk Forecast, Backtest, GARCH, EVT, Empirical Finance, Market Risk, UCITS

7.

A Quick Tool to Forecast VaR Using Implied and Realized Volatilities

Number of pages: 26 Posted: 14 Jan 2016
Francesco Cesarone and Stefano Colucci
University of Rome III - Department of Business Studies and University of Rome III - Department of Business Studies
Downloads 340 (170,835)

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Value-at-Risk Forecast, Backtest, Shrinkage, Empirical Finance, Market Risk, ESMA, UCITS

8.

Sovereign Risk: How Filtered Bootstrap and Historical Simulation Catch Government Problems

Number of pages: 28 Posted: 06 Dec 2011 Last Revised: 08 Dec 2011
Stefano Colucci and Dario Brandolini
University of Rome III - Department of Business Studies and University of Turin
Downloads 187 (308,231)
Citation 1

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VaR, Backtest, Filtered Bootstrap, Historical Simalation, Sovereign Risk

9.

Shrunk Volatility VaR: An Application on US Balanced Portfolios

Number of pages: 42 Posted: 12 Jan 2017
Stefano Colucci
University of Rome III - Department of Business Studies
Downloads 117 (451,989)
Citation 1

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Value-at-Risk Forecast, Backtest, Shrinkage, Empirical Finance, Market Risk, UCITS

10.

An Heuristic Improvement of a Filtered Bootstrap Approach

Number of pages: 18 Posted: 21 Sep 2013
Stefano Colucci
University of Rome III - Department of Business Studies
Downloads 115 (457,965)
Citation 1

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Filtered Bootstrap, Filtered Historical Simulation, VaR, Backtest, Bayes, ESMA, CERS