Lorenzo Schoenleber

Collegio Carlo Alberto

Assistant Professor

Piazza Vincenzo Arbarello, 8

Torino, Torino 10122

Italy

http://https://www.carloalberto.org/person/lorenzo-schoenleber/

SCHOLARLY PAPERS

5

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2,691

SSRN CITATIONS

3

CROSSREF CITATIONS

4

Scholarly Papers (5)

1.

Option-Implied Correlations, Factor Models, and Market Risk

INSEAD Working Paper No. 2017/20/FIN
Number of pages: 53 Posted: 27 Jan 2017 Last Revised: 08 Mar 2017
Adrian Buss, Lorenzo Schoenleber and Grigory Vilkov
Frankfurt School of Finance & Management, Collegio Carlo Alberto and Frankfurt School of Finance & Management
Downloads 1,246 (23,375)
Citation 4

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Implied Correlation, Factor Model, Market Factor, Factor Exposure, VIX, ETF, Sectors

2.
Downloads 722 ( 50,201)
Citation 1

Expected Correlation and Future Market Returns

Number of pages: 53 Posted: 10 Feb 2018 Last Revised: 05 Jul 2019
Adrian Buss, Lorenzo Schoenleber and Grigory Vilkov
Frankfurt School of Finance & Management, Collegio Carlo Alberto and Frankfurt School of Finance & Management
Downloads 722 (49,533)
Citation 3

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(option-)implied correlation, return predictability, idiosyncratic risk, option-implied information, contemporaneous betas

Expected Correlation and Future Market Returns

CEPR Discussion Paper No. DP12760
Number of pages: 48 Posted: 06 Mar 2018 Last Revised: 04 Jan 2019
Adrian Buss, Lorenzo Schoenleber and Grigory Vilkov
Frankfurt School of Finance & Management, Collegio Carlo Alberto and Frankfurt School of Finance & Management
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contemporaneous betas, correlation risk premium, expected (implied) correlation, Idiosyncratic Risk, option-implied information, return predictability

3.

Correlations, Value Factor Returns, and Growth Options

Number of pages: 78 Posted: 15 Nov 2019 Last Revised: 09 Mar 2021
Lorenzo Schoenleber
Collegio Carlo Alberto
Downloads 285 (150,193)

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option-implied correlations, value premium, present value of growth options, production model, factor return predictability, option-implied information, trading strategy, diversification, factor risk

4.

Investor Behavior under Prospect Theory: Evidence from Mutual Funds

Number of pages: 66 Posted: 11 Feb 2021 Last Revised: 11 Feb 2022
Jin Guo and Lorenzo Schoenleber
Frankfurt School of Finance and Management and Collegio Carlo Alberto
Downloads 265 (161,627)

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Mutual Funds Flows, Prospect Theory, Loss Aversion, Investing Biases, Mutual Funds Performance

5.

Pandemic Tail Risk

Number of pages: 41 Posted: 03 Dec 2020 Last Revised: 11 Feb 2022
University of Turin - Collegio Carlo Alberto, University of Torino & CERP, University of Turin - Collegio Carlo Alberto and Collegio Carlo Alberto
Downloads 173 (239,656)

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COVID-19, tail risk, economic sectors, resilience