Luisa Tibiletti

University of Turin - Department of Management

Professor

C.so Unione Sovietica, 218 bis

Turin, Turin 10100

Italy

http://www.management.unito.it/tibiletti

SCHOLARLY PAPERS

21

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CITATIONS
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7

Scholarly Papers (21)

1.

Approximations for the Value-at-Risk Approach to Risk-Return Analysis

EFMA 2001 Lugano Meetings
Number of pages: 22 Posted: 12 May 2001
Dirk Tasche and Luisa Tibiletti
Swiss Financial Market Supervisory Authority (FINMA) and University of Turin - Department of Management
Downloads 1,398 (12,792)
Citation 1

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Sharpe Ratio, Value-at-Risk (VaR), Conditional Value-at-Risk (CVaR), linear regression, quadratic regression.

2.

Sharpe Thinking with Asymmetrical Preferences

Number of pages: 15 Posted: 13 Nov 2002
Luisa Tibiletti and Simone Farinelli
University of Turin - Department of Management and Core Dynamics GmbH
Downloads 421 (67,548)
Citation 3

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Sharpe Index, One-Sided Risk Measures, First Order Risk Aversion

3.

The Riskier the Assets, the Riskier the Portfolios: Pitfalls and Misinterpretations

Number of pages: 20 Posted: 16 Jan 2003
Luisa Tibiletti
University of Turin - Department of Management
Downloads 197 (152,076)

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Coherent measures of risk, Portfolio risk models, Copula, Multivariate Stochastic Dominance

4.

Behavioural Finance: A User-Oriented Procedure to Assessing Preferences Under Risk

Number of pages: 6 Posted: 14 Jun 2014
Robert Bordley, Luisa Tibiletti and Mariacristina Uberti
University of Michigan at Ann Arbor, University of Turin - Department of Management and University of Turin
Downloads 151 (192,082)
Citation 1

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Prospect Theory, Behavioral Finance, Value function assessment, Loss aversion, Benchmarking procedure

5.

Behavioral Agency Model: A Target-Oriented Approach for Executive Incentives

Number of pages: 6 Posted: 18 Apr 2014
University of Michigan at Ann Arbor, University of Turin, University of Turin and University of Turin - Department of Management
Downloads 120 (230,266)
Citation 1

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Behavioral Agency Model; Behavioral Theory of the firm; Executive incentives; Utility function assessment; Contract theory; Moral hazard; Risk

6.

Mean-Extended Gini Portfolios Personalized to the Investor’s Risk-Gain Profile

Number of pages: 13 Posted: 09 Jun 2011
Marta Cardin, Bennet Eisenberg and Luisa Tibiletti
Ca Foscari University of Venice - Dipartimento di Economia, Lehigh University - Industrial and Systems Engineering Department and University of Turin - Department of Management
Downloads 107 (250,047)

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extended gini index, MEG, risk-aversion and gain-properness

7.

Why Investors are Loss Averters During Bull Markets and Gain Seekers During Bear Markets?

Number of pages: 13 Posted: 15 Aug 2015
Robert Bordley and Luisa Tibiletti
University of Michigan at Ann Arbor and University of Turin - Department of Management
Downloads 106 (251,635)

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Market sentiment, Investor sentiment, Bull and bear markets, Loss-gain asymmetry, Disposition Effect, van Zwet asymmetry conditions, Pearson utility functions.

8.

Compensation of Uncertain Lost Earnings

10800
Number of pages: 12 Posted: 27 Sep 1997
Goran Skogh and Luisa Tibiletti
affiliation not provided to SSRN and University of Turin - Department of Management
Downloads 85 (290,592)

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9.

Bid and Ask Asset Pricing Through the Extended Gini Premium Principle: Sufficient and Necessary Conditions for Trading

Number of pages: 29 Posted: 08 Nov 2009
Luisa Tibiletti, Bennet Eisenberg and Marta Cardin
University of Turin - Department of Management, Lehigh University - Industrial and Systems Engineering Department and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 76 (310,647)

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Choquet integral, Distortion functions, Extended Gini Index, Bid and Ask prices, Pessimism and Optimism index, Probability of trading

10.

Bid and Ask Prices Tailored to Traders’ Risk-Aversion and Gain-Propension

Number of pages: 20 Posted: 09 Jun 2011
Marta Cardin, Bennet Eisenberg and Luisa Tibiletti
Ca Foscari University of Venice - Dipartimento di Economia, Lehigh University - Industrial and Systems Engineering Department and University of Turin - Department of Management
Downloads 58 (358,214)

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Extended Gini Index, bid and ask prices, pessimism and optimism index

11.

A Target-Based Foundation for the 'Hard-Easy Effect' Bias

Department of Management, Università Ca' Foscari Venezia Working Paper No. 2014/23
Number of pages: 16 Posted: 23 Oct 2014
Robert Bordley, Marco LiCalzi and Luisa Tibiletti
University of Michigan at Ann Arbor, Dept. Management, Università Ca' Foscari Venezia and University of Turin - Department of Management
Downloads 46 (397,233)

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Expected utility, Hard-easy effect bias, Endowment effect bias, Sunk cost effect bias, Benchmarking procedure, Loss-gain asymmetry, van Zwet skewness conditions.

12.

A Target-Oriented Approach: A 'One-Size' Model to Suit Humans and Econs Behaviors

Number of pages: 8 Posted: 15 Nov 2013 Last Revised: 28 Aug 2015
Robert Bordley, Luisa Tibiletti and Mariacristina Uberti
University of Michigan at Ann Arbor, University of Turin - Department of Management and University of Turin
Downloads 42 (411,712)

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Goal-oriented decision making, Value function assessment, Skew normal uncertain target

13.

A Shortcut Way of Pricing Default Risk Through Zero-Utility Principle

Journal of Risk & Insurance, Vol. 73, No. 2, pp. 303-308, June 2006
Number of pages: 6 Posted: 30 May 2006
Luisa Tibiletti
University of Turin - Department of Management
Downloads 29 (466,369)
Citation 3
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14.

Loss Aversion and Gain Appetite in the Small and in the Large

International Mathematical Forum, Vol. 11, 2016, no. 14, 673 - 678
Number of pages: 6 Posted: 03 Aug 2016
Robert Bordley, Luisa Tibiletti and Mariacristina Uberti
University of Michigan at Ann Arbor, University of Turin - Department of Management and University of Turin
Downloads 25 (487,117)

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Loss-gain asymmetry, Preference-based definition of loss aversion and gain appetite; Multiple reference points

15.

Financial Leverage in Multi-Period Appraisal: Do ROE and APV Move in the Same Direction?

Posted: 19 Jan 2016 Last Revised: 31 May 2016
Simone Farinelli and Luisa Tibiletti
Core Dynamics GmbH and University of Turin - Department of Management

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Capital Structure; Financial Leverage; Project financing; Multi-period ROE; APV; OCE

16.

Hydroassets Portfolio Management for Intraday Electricity Trading from a Discrete Time Stochastic Optimization Perspective

Posted: 22 Aug 2015 Last Revised: 25 Aug 2017
Simone Farinelli and Luisa Tibiletti
Core Dynamics GmbH and University of Turin - Department of Management
Downloads 0 (661,885)

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Stochastic multiperiod optimization, Energy market, Blomvall and Lindberg interior point model

17.

An User-Friendly Approach to Assess Preferences Under Risk: The Target-Oriented Model

Posted: 25 Feb 2014
Robert Bordley, Luisa Tibiletti and Mariacristina Uberti
University of Michigan at Ann Arbor, University of Turin - Department of Management and University of Turin

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Risk assessment, goal-oriented decision making, utility function assessment

18.

How Skewness Influences Optimal Allocation in a Risky Asset

Posted: 21 Oct 2012
Martin Eling, K. Sudheesh and Luisa Tibiletti
University of St. Gallen - Institute of Insurance Economics, affiliation not provided to SSRN and University of Turin - Department of Management

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Stein’s Lemma, optimal asset allocation, skew-normal distribution, skewness

19.

Coward Behaviour and First-Order Risk Aversion

Posted: 10 Sep 1998
Luisa Tibiletti
University of Turin - Department of Management

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20.

Does Taxation Induce Risk-Cowardice in the Risk-Neutral Firm?

Posted: 18 Aug 1998
Luisa Tibiletti
University of Turin - Department of Management

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21.

Beneficial Changes in Random Variables Via Copulas: An Application to Insurance

GENEVA PAPERS ON RISK AND INSURANCE THEORY, Vol. 20 No 2, December 1995
Posted: 13 Jul 1998
Luisa Tibiletti
University of Turin - Department of Management

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