Lorenzo Schoenleber

University of Turin - Collegio Carlo Alberto

Piazza Albarello , 8

Turin

Italy

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 25,285

SSRN RANKINGS

Top 25,285

in Total Papers Downloads

3,827

SSRN CITATIONS

9

CROSSREF CITATIONS

2

Scholarly Papers (8)

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, University of Turin - Collegio Carlo Alberto and Frankfurt School of Finance & Management
Downloads 1,406 (26,346)
Citation 4

Abstract:

Loading...

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

2.
Downloads 861 (53,025)
Citation 3

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, University of Turin - Collegio Carlo Alberto and Frankfurt School of Finance & Management
Downloads 861 (52,241)

Abstract:

Loading...

(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, University of Turin - Collegio Carlo Alberto and Frankfurt School of Finance & Management
Downloads 0
  • Add to Cart

Abstract:

Loading...

contemporaneous betas, correlation risk premium, expected (implied) correlation, Idiosyncratic Risk, option-implied information, return predictability

3.

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 University of Turin - Collegio Carlo Alberto
Downloads 507 (104,682)
Citation 1

Abstract:

Loading...

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

4.

Correlations, Value Factor Returns, and Growth Options

Number of pages: 86 Posted: 15 Nov 2019 Last Revised: 30 Nov 2023
Lorenzo Schoenleber
University of Turin - Collegio Carlo Alberto
Downloads 375 (148,714)

Abstract:

Loading...

Option-implied correlations, investment-specific technology shocks, present value of growth options, value premium, factor return predictability, option-implied information

5.

Pandemic Tail Risk

Number of pages: 62 Posted: 03 Dec 2020 Last Revised: 18 Jan 2024
University of Turin - Collegio Carlo Alberto, University of Torino & CERP, University of Turin - Collegio Carlo Alberto and University of Turin - Collegio Carlo Alberto
Downloads 294 (193,061)
Citation 3

Abstract:

Loading...

COVID-19, tail risk, economic sectors, resilience

6.

Yield Farming for Liquidity Provision

Number of pages: 65 Posted: 26 Apr 2023 Last Revised: 17 Jan 2024
Thomas LI, Siddharth Naik, Andrew Papanicolaou and Lorenzo Schoenleber
New York University - Courant Institute of Mathematical Sciences, Independent, North Carolina State University - Department of Mathematics and University of Turin - Collegio Carlo Alberto
Downloads 255 (222,978)

Abstract:

Loading...

Yield Farming, Impermanent Loss, Staking, Stochastic Control, Decentralized Exchanges, Decentralized Finance, Portfolio Optimization, Cryptocurrency.

7.

Implied Impermanent Loss: A Cross-Sectional Analysis of Decentralized Liquidity Pools

Number of pages: 40 Posted: 06 May 2024
Thomas LI, Siddharth Naik, Andrew Papanicolaou and Lorenzo Schoenleber
New York University - Courant Institute of Mathematical Sciences, Independent, North Carolina State University - Department of Mathematics and University of Turin - Collegio Carlo Alberto
Downloads 88 (534,810)

Abstract:

Loading...

Decentralized Exchanges, Decentralized Finance, Impermanent Loss, Derivatives, Risk-Neutral Pricing, Staking, Yield Farming

8.

Decentralized and Centralized Options Trading: A Risk Premia Perspective

Number of pages: 94 Posted: 15 May 2024
Andrea Andolfatto, Siddharth Naik and Lorenzo Schoenleber
Bocconi University, Independent and University of Turin - Collegio Carlo Alberto
Downloads 41 (774,270)

Abstract:

Loading...

Decentralized Exchanges, Decentralized Finance, Blockchain, European Options, Implied Volatility, Liquidity Provision