Fausto Corradin

GRETA Associati

San Marco 3870

Venezia, 30124

Italy

SCHOLARLY PAPERS

6

DOWNLOADS

214

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

Fund Ratings: The Method Reconsidered

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 17/WP/2014
Number of pages: 40 Posted: 30 Oct 2014 Last Revised: 05 Jan 2015
Fausto Corradin and Domenico Sartore
GRETA Associati and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 79 (344,867)
Citation 1

Abstract:

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Quadratic Utility Function, Positive and Negative Returns, Absolute Risk Aversion, Morningstar Rating, Truncated Normal Distribution, Incomplete Gamma Function, Italian Pension Fund

2.

Non Central Moments of the Truncated Normal Variable

Number of pages: 26 Posted: 01 Sep 2016 Last Revised: 21 Dec 2016
Fausto Corradin and Domenico Sartore
GRETA Associati and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 36 (493,226)

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truncated normal variable, non central moments, lower incomplete gamma function

3.

Weak Dependence of CRRA on Standard Deviation in the Case of Truncated Normal Distribution of Returns

Number of pages: 47 Posted: 01 Sep 2016 Last Revised: 04 Oct 2016
Fausto Corradin and Domenico Sartore
GRETA Associati and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 29 (528,615)
Citation 1

Abstract:

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Constant Relative Risk Aversion, Certainty Equivalent Return, Standard Deviation, Quadratic Utility Function, Morningstar, Italian Pension Funds

4.

A Scoring Rule for Factor and Autoregressive Models Under Misspecification

Number of pages: 33 Posted: 26 Jul 2018
University Ca' Foscari of Venice - Department of Economics, GRETA Associati, Free University of Bozen-Bolzano and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 27 (539,942)

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Factor models, Large datasets, Multivariate autoregressive models, Forecasting, Scoring rules, VAR models

5.

Risk Aversion: Differential Conditions for the Concavity in Transformed Two-Parameter Distributions

Number of pages: 54 Posted: 14 Nov 2016
Fausto Corradin and Domenico Sartore
GRETA Associati and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 27 (539,942)
Citation 1

Abstract:

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utility function, expected utility function, risk aversion, transformation, parametric functions, differential condition, Jacobian, truncated normal distribution

6.

Risk Aversion: Differential Conditions for the Iso-Utility Curves with Positive Slope in Transformed Two Parameter Distributions

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 24/WP/2018
Number of pages: 44 Posted: 28 Nov 2018
Fausto Corradin and Domenico Sartore
GRETA Associati and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 16 (610,395)

Abstract:

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Concavity, CRRA, Differential Condition, Expected Shortfall, Expected Utility Function, Quadratic Utility Function, Risk Aversion, Standard Deviation, Transformation of Parametric Functions, Truncated Normal distribution, Value at Risk