Gabriele Susinno

Pictet Asset Management

Route des Acacias 60

Geneva, 1211

Switzerland

http://www.am.pictet/

  • Pictet Asset Management

SCHOLARLY PAPERS

16

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  • Pictet Asset Management

Scholarly Papers (16)

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1.

Demystifying Rebalancing Premium and Extending Portfolio Theory in the Process

Number of pages: 27 Posted: 07 Mar 2017
Vladislav Dubikovsky and Gabriele Susinno
MSCI Barra and Pictet Asset Management
Downloads 2,402 (10,078)
Citation 1

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Rebalancing Premium, MPT, Maximum growth, Samuelson, Markowitz, Wealth, Path dependence, Minimum Volatility, Defensive

2.

Embedded Options and Integrated Asset-Liability Management for Life Insurance

Seminario de Matematica Financiera, Vol. 3, pp. 203-218, 2003
Number of pages: 18 Posted: 20 Mar 2004
Gabriele Susinno
Pictet Asset Management
Downloads 876 (45,966)

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Insurance, options, ALM, HPC, linux, cluster

3.

News and Prices Divorce: Investment Strategies from Behavioral Finance

Number of pages: 4 Posted: 17 Jan 2005
Gabriele Susinno
Pictet Asset Management
Downloads 833 (49,314)

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Hedge funds, investment strategies, simulation, metropolis, dynamic ising, interacting agents

4.

The Predictive Power of Analysts and Their Impact on Prices

Number of pages: 14 Posted: 21 Jan 2022
Thibault Jaisson, Laurent Nguyen, Reda Jürg Messikh and Gabriele Susinno
Pictet Asset Management, Pictet Asset Management, Pictet Asset Management SA and Pictet Asset Management
Downloads 452 (107,133)
Citation 1

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Sell side analysts, Recommendations, Price impact, Graphical modeling, Analysts Strength

5.

Demystifying Rebalancing Premium: A Methodological Path to Risk Premia Engineering

Number of pages: 29 Posted: 25 Jul 2015
Vladislav Dubikovsky and Gabriele Susinno
MSCI Barra and Pictet Asset Management
Downloads 382 (130,159)

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Volatility, Rebalancing Premium, Optimal Growth Portfolios, Rebalancing Bonus, Low Beta Anomaly, Alternative Beta, Risk Premia, Factor Investing

6.

Consequences of the Reduction of Interest Rates on Insurance

Number of pages: 22 Posted: 19 Apr 2000
Sergio Siglienti, Gabriele Susinno, S. Buttarazzi and G. Stamegna
Gruppo INA S.p.A., Pictet Asset Management, Gruppo INA S.p.A. and Gruppo INA S.p.A.
Downloads 333 (151,199)

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7.

Portfolio Blender: Blending Qualitative Expectations in Portfolio Optimization

Number of pages: 17 Posted: 14 May 2013
Gabriele Susinno, Olivier Powell and Jeremie Smaga
Pictet Asset Management, Unigestion SA and Noble Group
Downloads 329 (153,132)

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Black-Litterman, Portfolio Optimization, Hedge Funds, Qualitative Views

8.

Shortcomings in Advise Versus the Art and Science of Investing in Hedge Funds

Number of pages: 9 Posted: 16 Jan 2005
Gabriele Susinno
Pictet Asset Management
Downloads 329 (153,132)

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Hedge funds, portfolio optimization, correlation, advisers, diversification

9.

How to Improve the ESG Profile of Portfolios While Keeping a Similar Risk-Adjusted Return

Journal of Risk Management in Financial Institutions, Volume 15 Number 1 (2022)
Number of pages: 21 Posted: 18 Apr 2022
Dominic Barber, Antoine Kopp, Remy Cottet and Gabriele Susinno
Pictet Asset Management, ETH Zürich, University of New South Wales (UNSW) and Pictet Asset Management
Downloads 190 (262,841)

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ESG, portfolio construction, risk-adjusted return, sustainable investing, socially responsible investing, convex optimisation

10.

Optimising Asset Allocation between Hedge Funds and Private Equity

Number of pages: 16 Posted: 25 Jul 2015
Gabriele Susinno and Christophe de Dardel
Pictet Asset Management and Unigestion SA
Downloads 108 (412,419)

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hedge funds, private equity, cross assets allocation, liquidity premium, option to redeem, real options, redemption fees

11.

Using Trees to Grow Money

Risk, Vol 16, No 11, November 2003, S11-S12
Number of pages: 2 Posted: 20 Mar 2013 Last Revised: 05 May 2013
Maria-Augusta Miceli and Gabriele Susinno
University of Rome Sapienza and Pictet Asset Management
Downloads 95 (453,355)

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Hedge Funds, Investment Strategies, Classification, Portfolio Diversification, Monitoring, Control

12.

Expected Returns Independent Allocations

Number of pages: 15 Posted: 29 Jul 2015
Gabriele Susinno
Pictet Asset Management
Downloads 67 (552,609)

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Risk Based Allocation, Equally Risk Weighted Portfolios, ERC, Diversification, Expected Returns, Robust Allocation

13.

Computing Journal: Stochastic-volatility Models with Optional Jumps

Number of pages: 43 Posted: 25 Jul 2015
Anna Pretre and Gabriele Susinno
BCV and Pictet Asset Management
Downloads 35 (728,819)

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Heston, Bates, Merton, Implied Volatility, Jump processes

14.

Market Dynamics as a Consequence of Local Complementarity and Global Substitutability in Agent's Strategies

Number of pages: 24 Posted: 02 Nov 2005 Last Revised: 23 Aug 2014
Michele Bagella, Rocco Ciciretti and Gabriele Susinno
University of Rome Tor Vergata - Faculty of Economics, Tor Vergata University of Rome - Department of Economics and Finance and Pictet Asset Management
Downloads 31 (758,143)
Citation 1

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15.

Ultrametricity in Fund of Funds Diversification

Physica A, 2003
Posted: 20 Dec 2003
Gabriele Susinno and Maria-Augusta Miceli
Pictet Asset Management and University of Rome Sapienza

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Hedge Funds, Selection, Correlation, Random Matrices, Graphs, Taxonomy, Classification, Strategies, CTA,Global Macro

16.

Insurance Optional

Risk, Vol. 13, No. 4, April 2000
Posted: 03 Jul 2000
Gabriele Susinno and Claudio Giraldi
Pictet Asset Management and Gruppo INA S.p.A.

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