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

View CV
SCHOLARLY PAPERS

22

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CITATIONS
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Top 25,450

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10

Scholarly Papers (22)

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 1,345 (10,347)
Citation 1

Abstract:

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 382 (57,544)
Citation 4

Abstract:

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 186 (130,551)

Abstract:

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
University of Michigan at Ann Arbor, University of Turin - Department of Management and University of Turin
Downloads 106 (170,658)

Abstract:

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

5.

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 92 (221,538)

Abstract:

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

6.

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 76 (248,367)

Abstract:

7.

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 73 (212,625)

Abstract:

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

8.

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 71 (268,250)

Abstract:

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

9.

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 52 (308,245)
Citation 1

Abstract:

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

10.

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

Number of pages: 13 Posted: 15 Aug 2015
Robert F. Bordley and Luisa Tibiletti
University of Michigan at Ann Arbor and University of Turin - Department of Management
Downloads 41 (241,159)

Abstract:

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

11.

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 28 (394,297)
Citation 4

Abstract:

12.

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 F. 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 22 (374,224)

Abstract:

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

13.

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
University of Michigan at Ann Arbor, University of Turin - Department of Management and University of Turin
Downloads 18 (381,877)

Abstract:

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

14.

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

Number of pages: 43 Posted: 22 Aug 2015 Last Revised: 26 Apr 2017
Simone Farinelli and Luisa Tibiletti
Core Dynamics GmbH and University of Turin - Department of Management
Downloads 9 (453,534)

Abstract:

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

15.

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
University of Michigan at Ann Arbor, University of Turin - Department of Management and University of Turin
Downloads 0 (438,118)

Abstract:

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

16.

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

Abstract:

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

17.

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

Number of pages: 43 Posted: 22 Aug 2015
Simone Farinelli and Luisa Tibiletti
Core Dynamics GmbH and University of Turin - Department of Management
Downloads 0 (548,341)

Abstract:

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

18.

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

Posted: 25 Feb 2014
University of Michigan at Ann Arbor, University of Turin - Department of Management and University of Turin

Abstract:

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

19.

How Skewness Influences Optimal Allocation in a Risky Asset

Posted: 21 Oct 2012
Martin Eling, K. 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

Abstract:

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

20.

Coward Behaviour and First-Order Risk Aversion

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

Abstract:

21.

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

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

Abstract:

22.

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

Abstract: