Dennis Marco Montagna

University of Pavia - Department of Economics and Management

Corso Strada Nuova, 65

Pavia, +39 0382 984402 27100

Italy

  • University of Pavia - Department of Economics and Management

SCHOLARLY PAPERS

10

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4,994

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Ideas:
“  Market and Equities valuations & Portfolio construction  ”

  • University of Pavia - Department of Economics and Management

Scholarly Papers (10)

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1.

VIX Index Strategies: Shorting Volatility As a Portfolio Enhancing Strategy

Number of pages: 49 Posted: 25 Jan 2018
Alberto Dondoni, Dennis Marco Montagna and Mario Maggi
Banca IMI, University of Pavia - Department of Economics and Management and University of Pavia - Department of Economics and Management
Downloads 2,560 (8,778)

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VIX Index, VIX Futures, equity volatility, trading, asset allocation, cross-correlation, portfolio enhancement

2.

The Low-Risk Effect, from Betting Against Beta to Betting Against Correlation

Number of pages: 14 Posted: 30 Dec 2021 Last Revised: 18 Jan 2022
Tommaso Pasetti and Dennis Marco Montagna
Intermonte SIM and University of Pavia - Department of Economics and Management
Downloads 633 (68,337)

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CAPM; Equity Strategy

3.

Equity Duration: Theoretical and Practical Analysis

Number of pages: 27 Posted: 15 Oct 2022
Dennis Marco Montagna and Luca Bianchi
University of Pavia - Department of Economics and Management and University of Pavia - Department of Economics and Business Sciences
Downloads 357 (135,624)

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Equity Valuation, Equity. Portfolio Strategy, Asset Allocation, Duration, Equity Duration, Risk

4.

Stock Returns and Cash Flows: A New Asset Pricing Approach

Number of pages: 34 Posted: 24 Nov 2020 Last Revised: 29 Dec 2021
Sonia Di Tomaso, Dennis Marco Montagna, Antonio Amendola and Antonio Amendola
University of Pavia, University of Pavia - Department of Economics and Management and affiliation not provided to SSRNAcomeA SGR
Downloads 287 (170,996)

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Asset pricing, Volatility, Return, Quantile Regression, Stock pricing, Cash flow, Financial modelling, value investing, CAPM, Fama – French models

5.

Spotlight on Biotechnology: From a Technological Breakthrough to Valuation Challenges. A Case Study on Crispr Therapeutics and Crispr/Cas 9 Revolution.

Number of pages: 40 Posted: 04 Dec 2020 Last Revised: 05 Dec 2020
Emanuele Fino, Dennis Marco Montagna, Giovanni Nocera, Antonio Amendola and Antonio Amendola
University of Pavia - Department of Economics and Management, University of Pavia - Department of Economics and Management, University of Pavia - Department of Economics and Management and affiliation not provided to SSRNAcomeA SGR
Downloads 222 (220,481)

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Valuation, Real Options, Biotechnology, CRSPR

6.

Spotlight on Biotechnology: valuation challenges of early-stage companies. A case study on CRISPR Therapeutics AG and Allakos, Inc.

Number of pages: 36 Posted: 31 Dec 2020
Dennis Marco Montagna, Emanuele Fino, Giovanni Nocera, Antonio Amendola and Antonio Amendola
University of Pavia - Department of Economics and Management, University of Pavia - Department of Economics and Management, University of Pavia - Department of Economics and Management and affiliation not provided to SSRNAcomeA SGR
Downloads 208 (234,257)

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Equity Valuation, Biotechnology, Volatility, Return, Stock pricing, Financial modelling, Value Investing, DCF, Real Option, Black & Scholes, CRISPR Therapeutics, Allakos, CRISPR, Cas9, Monoclonal Antibodies.

7.

Advanced Valuation: Modelling DCF in Continuous Time

Number of pages: 23 Posted: 23 Feb 2023
Dennis Marco Montagna, Simone Benini, Antonio Amendola and Antonio Amendola
University of Pavia - Department of Economics and Management, AcomeA SGR and affiliation not provided to SSRNAcomeA SGR
Downloads 204 (238,410)

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Equity Valuation, Equity, Portfolio Strategy, Asset Allocation, Valuation

8.

A Journey Into the Biotechnology Industry: Valuation of Early-Stage Companies. Allakos’ Case Study and the Monoclonal Antibody Therapy

Number of pages: 24 Posted: 04 Dec 2020 Last Revised: 05 Dec 2020
Giovanni Nocera, Dennis Marco Montagna, Emanuele Fino, Antonio Amendola and Antonio Amendola
University of Pavia - Department of Economics and Management, University of Pavia - Department of Economics and Management, University of Pavia - Department of Economics and Management and affiliation not provided to SSRNAcomeA SGR
Downloads 201 (241,622)

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Valuation, Real Options, Biotechnology

9.

Valuation Measures: From Simple Ratios to Stock Market’s Predictors

Number of pages: 24 Posted: 31 Dec 2020
Benedetta Sorge, Dennis Marco Montagna, Antonio Amendola and Antonio Amendola
University of Pavia, University of Pavia - Department of Economics and Management and affiliation not provided to SSRNAcomeA SGR
Downloads 171 (278,937)
Citation 1

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CAPE, Stock Market Returns, Returns, Risk Premium, Market Efficiency, Volatility

10.

Analysis of Equity β Principal Components in Low Risk Framework: New Results and Prospectives

Number of pages: 37 Posted: 15 Nov 2017
Antonio Amendola, Antonio Amendola, Dennis Marco Montagna and Mario Maggi
affiliation not provided to SSRNAcomeA SGR, University of Pavia - Department of Economics and Management and University of Pavia - Department of Economics and Management
Downloads 151 (309,577)

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Asset Allocation, Quantitative Portfolio Management, CAPM, High Beta, Low Beta, Hedge Funds, Correlation, Linear Regression