Carlo Sala

ESADE Business School

Assistant Professor

Avenida de Torreblanca 59

Barcelona, Barcelona 08172

Spain

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

SCHOLARLY PAPERS

5

DOWNLOADS

726

CITATIONS

0

Scholarly Papers (5)

1.

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 212 (140,450)

Abstract:

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sentiment, uncertainty, fear, markets predictability, anomalies

2.

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

Swiss Finance Institute Research Paper No. 15-66
Number of pages: 54 Posted: 23 Jan 2016 Last Revised: 03 Aug 2018
ESADE Business School, University of Lugano and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 173 (169,255)

Abstract:

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

3.

S&P 500 Index, an Option-Implied Risk Analysis

Swiss Finance Institute Research Paper No. 18-29
Number of pages: 46 Posted: 16 Apr 2018 Last Revised: 30 Apr 2018
University of Lugano, Swiss Finance Institute and ESADE Business School
Downloads 137 (205,645)

Abstract:

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

4.

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 102 (255,924)

Abstract:

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

5.

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 102 (255,924)

Abstract:

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