Carlo Sala

ESADE Business School

Assistant Professor

Avenida de Torreblanca 59

Barcelona, Barcelona 08172

Spain

http://www.people.usi.ch/salaca

SCHOLARLY PAPERS

7

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Top 41,930

in Total Papers Downloads

998

CITATIONS

7

Scholarly Papers (7)

1.

WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application

Journal of Forecasting, Volume 38, Issue 6, Pages 552-563, Forthcoming , Swiss Finance Institute Research Paper No. 16-53
Number of pages: 25 Posted: 24 Feb 2016 Last Revised: 13 Aug 2019
University of Lugano, Singapore Management University, Swiss Finance Institute and ESADE Business School
Downloads 229 (132,517)
Citation 4

Abstract:

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Option Prices, Risk Measures, VaR and CVaR, Elicitability

2.

Greed and Fear: The Nature of Sentiment

Swiss Finance Institute Research Paper No. 18-45
Number of pages: 114 Posted: 15 Jun 2018
University of Lugano, Universita' della Svizzera Italiana and ESADE Business School
Downloads 223 (136,017)

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sentiment, uncertainty, fear, markets predictability, anomalies

3.

The Impact of Misalignment of Beliefs on the Estimation of the Pricing Kernel

Swiss Finance Institute Research Paper No. 15-66
Number of pages: 41 Posted: 23 Jan 2016 Last Revised: 12 Aug 2019
University of Lugano, Johns Hopkins University - Carey Business School, ESADE Business School and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 177 (168,597)

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Conditional Physical Measure, Pricing Kernel, Option Data, S&P 500

4.

Option-Implied Risk Measures: An Empirical Examination on the S&P500 Index

International Journal of Finance and Economics, Forthcoming
Number of pages: 46 Posted: 16 Apr 2018 Last Revised: 12 Aug 2019
University of Lugano, Swiss Finance Institute and ESADE Business School
Downloads 148 (196,387)

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Option Prices, VaR and CVaR, Long and Short-term Risk Measures, S&P 500 Index

5.

Conditioning the Information in Portfolio Optimization

Swiss Finance Institute Research Paper No. 15-50, 29th Australasian Finance and Banking Conference 2016
Number of pages: 32 Posted: 16 Oct 2015 Last Revised: 10 Nov 2016
Carlo Sala and Giovanni Barone-Adesi
ESADE Business School and University of Lugano
Downloads 103 (258,217)

Abstract:

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Portfolio optimization problem, Levy-Ito mixed model, Pricing kernel, Information premium, Optimal bounds

6.

Sentiment Lost: The Effect of Projecting the Empirical Pricing Kernel onto a Smaller Filtration Set

Swiss Finance Institute Research Paper No. 15-58
Number of pages: 33 Posted: 02 Oct 2015 Last Revised: 03 Aug 2018
Carlo Sala and Giovanni Barone-Adesi
ESADE Business School and University of Lugano
Downloads 103 (258,217)
Citation 2

Abstract:

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Empirical Pricing Kernel, Real World Measure, Fundamental Theorems of Asset Pricing, Risk Premium, Semimartingale

7.

Testing Market Efficiency With the Pricing Kernel

European Journal of Finance, 2019
Number of pages: 43 Posted: 01 Aug 2019
Giovanni Barone-Adesi and Carlo Sala
University of Lugano and ESADE Business School
Downloads 15 (547,805)
Citation 1

Abstract:

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market information; market efficiency; pricing kernel; fundamental theorems of asset pricing; dominating trading strategies