Enrico G. De Giorgi

University of St. Gallen - SEPS: Economics and Political Sciences

Department of Economics

Bodanstrasse 6

CH-9000 St. Gallen

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

  • University of St. Gallen - SEPS: Economics and Political Sciences

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  • Swiss Finance Institute

SCHOLARLY PAPERS

33

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Scholarly Papers (33)

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1.

CAPM Equilibria with Prospect Theory Preferences

Number of pages: 26 Posted: 21 Jul 2003 Last Revised: 06 Aug 2012
Enrico G. De Giorgi, Thorsten Hens and Haim Levy
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 1,636 (21,908)
Citation 2

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asset pricing, cumulative prospect theory, capital asset pricing model

2.

A Behavioral Foundation of Reward-Risk Portfolio Selection and the Asset Allocation Puzzle

EFA 2006 Zurich Meetings Paper
Number of pages: 65 Posted: 03 May 2006 Last Revised: 11 Jun 2008
Enrico G. De Giorgi, Thorsten Hens and Janos Mayer
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and University of Zurich - Institute of Business Administration
Downloads 1,483 (25,404)
Citation 3

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Portfolio selection, asset allocation puzzle, prospect theory, coherent risk measures, mental accounting

3.

A Note on Portfolio Selection Under Various Risk Measures

Number of pages: 22 Posted: 27 Jul 2005
Enrico G. De Giorgi
University of St. Gallen - SEPS: Economics and Political Sciences
Downloads 1,234 (33,275)
Citation 22

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Decision under risk, mean-risk models, portfolio optimization, value-at-risk, expected shortfall, efficient frontier

4.

Aspirational Preferences and Their Representation by Risk Measures

Downloads 1,218 (33,930)
Citation 11

Aspirational Preferences and Their Representation by Risk Measures

Swiss Finance Institute Research Paper No. 09-19, U. of St. Gallen Law & Economics Working Paper No. 2009-07
Number of pages: 34 Posted: 22 May 2009 Last Revised: 23 Feb 2012
David B. Brown, Enrico G. De Giorgi and Melvyn Sim
Duke University - Decision Sciences, University of St. Gallen - SEPS: Economics and Political Sciences and National University of Singapore (NUS) - NUS Business School
Downloads 1,083 (39,527)
Citation 5

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Representation of choice, risk measures, aspiration levels, decision theory paradoxes

Aspirational Preferences and Their Representation by Risk Measures (Online Appendix)

Number of pages: 7 Posted: 15 Feb 2012
David B. Brown, Enrico G. De Giorgi and Melvyn Sim
Duke University - Decision Sciences, University of St. Gallen - SEPS: Economics and Political Sciences and National University of Singapore (NUS) - NUS Business School
Downloads 135 (409,823)

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Representation of choice, risk measures, aspiration levels, decision theory paradoxes

5.

Second Order Stochastic Dominance, Reward-Risk Portfolio Selection and the CAPM

NCCR-FINRISK Working Paper No. 205
Number of pages: 27 Posted: 02 Feb 2005
Enrico G. De Giorgi and Thierry Post
University of St. Gallen - SEPS: Economics and Political Sciences and Graduate School of Business of Nazarbayev University
Downloads 918 (50,620)
Citation 11

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Stochastic dominance, mean-risk models, portfolio optimization, CAPM

6.

Dynamic Portfolio Choice and Asset Pricing with Narrow Framing and Probability Weighting

Swiss Finance Institute Research Paper No. 09-25
Number of pages: 64 Posted: 03 Jun 2009 Last Revised: 21 Jun 2012
Enrico G. De Giorgi and Shane Legg
University of St. Gallen - SEPS: Economics and Political Sciences and University of Lugano
Downloads 904 (51,713)
Citation 26

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Narrow framing, cumulative prospect theory, probability weighting function, negative skewness, simulation methods

7.

The Grouped t-Copula with an Application to Credit Risk

Number of pages: 7 Posted: 13 Mar 2009
Stéphane Daul, Stéphane Daul, Enrico G. De Giorgi, Filip Lindskog and Alexander McNeil
affiliation not provided to SSRNPictet Asset Management, University of St. Gallen - SEPS: Economics and Political Sciences, affiliation not provided to SSRN and ETH Zürich - Department of Mathematics
Downloads 829 (58,273)
Citation 19

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risk management, credit risk, copula, estimation

8.

Reward-Risk Portfolio Selection and Stochastic Dominance

Downloads 797 (61,458)
Citation 11

Reward-Risk Portfolio Selection and Stochastic Dominance

Zurich IEER Working Paper No. 121
Number of pages: 28 Posted: 23 Aug 2002
Enrico G. De Giorgi
University of St. Gallen - SEPS: Economics and Political Sciences
Downloads 797 (60,542)
Citation 11

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stochastic dominance, coherent risk measure, decision under risk, mean-risk models, portfolio optimization

Reward-Risk Portfolio Selection and Stochastic Dominance

Posted: 19 May 2005
Enrico G. De Giorgi
University of St. Gallen - SEPS: Economics and Political Sciences

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Stochastic dominance, coherent risk measure, decision under risk, mean-risk models, portfolio optimizatio

9.

Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?

Number of pages: 32 Posted: 13 Aug 2003 Last Revised: 15 May 2011
Enrico G. De Giorgi, Thorsten Hens and Haim Levy
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 791 (62,071)
Citation 37

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asset pricing, cumulative prospect theory, capital asset pricing model, equilibrium.

10.

An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios

ETH Zurich, RiskLab Working Paper
Number of pages: 71 Posted: 08 Nov 2002
Jürg Burkhard and Enrico G. De Giorgi
International Center FAME and University of St. Gallen - SEPS: Economics and Political Sciences
Downloads 736 (68,317)
Citation 1

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reduced-form, structural approach, default risk, default intensity, mortgages, generalized additive model, CreditRisk+

11.

Financial Market Equilibria with Cumulative Prospect Theory

Swiss Finance Institute Research Paper No. 07-21
Number of pages: 34 Posted: 14 May 2007 Last Revised: 13 Jan 2021
Enrico G. De Giorgi, Thorsten Hens and Marc Oliver Rieger
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and University of Trier
Downloads 686 (74,658)
Citation 15

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Cumulative prospect theory, general equilibrium model, non-convex preferences, continuum of agents

12.

Loss Aversion with a State-Dependent Reference Point

Swiss Finance Institute Research Paper No. 07-14
Number of pages: 34 Posted: 13 Apr 2007 Last Revised: 17 Feb 2011
Enrico G. De Giorgi and Thierry Post
University of St. Gallen - SEPS: Economics and Political Sciences and Graduate School of Business of Nazarbayev University
Downloads 633 (82,601)
Citation 4

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behavioral finance, asset pricing, equity premium puzzle, reference-dependent preferences, loss aversion, stochastic reference point

13.

Computational Aspects of Prospect Theory with Asset Pricing Applications

Number of pages: 14 Posted: 26 Jan 2006
Enrico G. De Giorgi, Thorsten Hens and Janos Mayer
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and University of Zurich - Institute of Business Administration
Downloads 602 (87,980)
Citation 3

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prospect theory, asset pricing, equity premium puzzle, global optimization

14.

Loss Aversion with Multiple Investment Goals

Number of pages: 53 Posted: 14 Aug 2009 Last Revised: 29 Sep 2011
Enrico G. De Giorgi
University of St. Gallen - SEPS: Economics and Political Sciences
Downloads 569 (94,498)
Citation 1

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loss aversion, risk seeking, mental accounting, narrow framing, portfolio selection.

15.

Monetary Policy Regimes: Implications for the Yield Curve and Bond Pricing

Number of pages: 58 Posted: 14 Mar 2013 Last Revised: 08 Oct 2013
Kameliya Filipova, Francesco Audrino and Enrico G. De Giorgi
University of St. Gallen, University of St. Gallen and University of St. Gallen - SEPS: Economics and Political Sciences
Downloads 532 (102,785)
Citation 3

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Threshold regime switching model; Macroeconomic variables; Term structure of interest rates; Asset pricing; Nonlinear dynamics; Business cycles.

16.

A Concave Security Market Line

Number of pages: 55 Posted: 04 Apr 2011 Last Revised: 20 May 2018
Enrico G. De Giorgi, Thierry Post and Atakan Yalcin
University of St. Gallen - SEPS: Economics and Political Sciences, Graduate School of Business of Nazarbayev University and Ozyegin University
Downloads 450 (125,621)
Citation 5

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capital market equilibrium, asset pricing, investment restrictions, portfolio theory, market beta, stock selection

17.

Beta Regimes for the Yield Curve

Downloads 335 (175,144)

Beta Regimes for the Yield Curve

Number of pages: 34 Posted: 20 May 2005
Francesco Audrino and Enrico G. De Giorgi
University of St. Gallen and University of St. Gallen - SEPS: Economics and Political Sciences
Downloads 335 (173,815)

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Threshold Regime Switching Model, Affine Model, Term Structure of Interest Rate, Linearized Kalman Filter.

Beta Regimes for the Yield Curve

Journal of Financial Econometrics, Vol. 5, Issue 3, pp. 456-490, 2007
Posted: 16 Jun 2008
Francesco Audrino and Enrico G. De Giorgi
University of St. Gallen and University of St. Gallen - SEPS: Economics and Political Sciences

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affine model, linearized Kalman filter, term structure of interest rate, threshold regime switching model

18.

A Behavioural Gap in Survival Beliefs

Number of pages: 72 Posted: 09 Apr 2021 Last Revised: 14 Mar 2023
Giovanna Apicella and Enrico G. De Giorgi
University of Udine and University of St. Gallen - SEPS: Economics and Political Sciences
Downloads 304 (194,178)
Citation 1

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longevity risk, mortality risk, subjective beliefs, sentiment

19.

How Elementary is Diversification? A Study of Children's Portfolio Choice

Number of pages: 36 Posted: 15 Aug 2017 Last Revised: 11 Dec 2017
Enrico G. De Giorgi and Ola Mahmoud
University of St. Gallen - SEPS: Economics and Political Sciences and University of St. Gallen
Downloads 277 (213,850)
Citation 3

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diversification, portfolio choice, risk aversion, children's decision making

20.

Diversification Preferences in the Theory of Choice

Decisions in Economics and Finance, Forthcoming
Number of pages: 35 Posted: 08 Jul 2015 Last Revised: 05 Nov 2016
Enrico G. De Giorgi and Ola Mahmoud
University of St. Gallen - SEPS: Economics and Political Sciences and University of St. Gallen
Downloads 259 (228,769)

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diversification, risk aversion, convex preferences

21.

The Alpha-Beauty Contest: Choosing Numbers, Thinking Intervals

Number of pages: 35 Posted: 04 Mar 2004
Enrico G. De Giorgi and Stefan Reimann
University of St. Gallen - SEPS: Economics and Political Sciences and University of Zurich - Department of Economics
Downloads 246 (240,612)

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Experiments, alpha-beauty contest, beliefs

22.

A Note on Reward-Risk Portfolio Selection and Two-Fund Separation

Number of pages: 9 Posted: 24 Nov 2010
Enrico G. De Giorgi, Thorsten Hens and Janos Mayer
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and University of Zurich - Institute of Business Administration
Downloads 241 (245,627)
Citation 2

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Two-fund separation, reward-risk preferences

23.

Evolutionary Portfolio Selection With Liquidity Shocks

Number of pages: 40 Posted: 09 Nov 2004
Enrico G. De Giorgi
University of St. Gallen - SEPS: Economics and Political Sciences
Downloads 238 (248,619)
Citation 1

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Insurance, portfolio theory, evolutionary finance

24.

A Leveraged Gender Gap: The Combined Effect of Longevity Risk (Mis)-Perception and Financial Risk-Taking

Swiss Finance Institute Research Paper No. 23-09
Number of pages: 36 Posted: 09 Feb 2023
Giovanna Apicella and Enrico G. De Giorgi
University of Udine and University of St. Gallen - SEPS: Economics and Political Sciences
Downloads 224 (263,487)

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gender pension gap, financial risk tolerance, longevity risk, demographic literacy

25.

Naive Diversification Preferences and Their Representation

Number of pages: 30 Posted: 04 Nov 2016 Last Revised: 18 Mar 2018
Enrico G. De Giorgi and Ola Mahmoud
University of St. Gallen - SEPS: Economics and Political Sciences and University of St. Gallen
Downloads 222 (265,625)
Citation 4

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naive diversification, convex preferences, permutation invariant preferences, Schur-concave utility, inequality aversion, majorization, Dalton transfer, Lorenz order

26.

Prospect Theory and the Size and Value Premium Puzzles

NHH Finance & Management Science Discussion Paper No. 20/2005
Number of pages: 10 Posted: 13 Mar 2007
Enrico G. De Giorgi, Thorsten Hens and Thierry Post
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Graduate School of Business of Nazarbayev University
Downloads 214 (274,895)
Citation 6

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27.

A Remark on the Guessing Game

Zurich IEER Working Paper No. 160
Number of pages: 20 Posted: 09 Nov 2003
Enrico G. De Giorgi and Stefan Reimann
University of St. Gallen - SEPS: Economics and Political Sciences and University of Zurich - Department of Economics
Downloads 157 (362,166)
Citation 1

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Experiments, Guessing Game, Beliefs

28.

Gender-Inclusive Financial and Demographic Literacy: Lessons from the Empirical Evidence

Swiss Finance Institute Research Paper No. 23-02
Number of pages: 50 Posted: 24 Jan 2023
Giovanna Apicella, Enrico G. De Giorgi, Emilia Di Lorenzo and Marilena Sibillo
University of Udine, University of St. Gallen - SEPS: Economics and Political Sciences, University of Naples Federico II - Department of Economic and Statistical Sciences and Università degli Studi di Salerno
Downloads 144 (388,600)

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Gender gap in mortality, financial well-being, demographic literacy

29.

Econometric Equilibria for Non-Cooperative Games

Number of pages: 30 Posted: 08 Mar 2021
Enrico G. De Giorgi and Andrin Pelican
University of St. Gallen - SEPS: Economics and Political Sciences and Rofna
Downloads 89 (550,670)

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non-cooperative games, Nash equilibrium, stastistical estimation

30.

Mental Framing Effects in Dynamic Portfolio Choice

Number of pages: 41 Posted: 28 Mar 2024
Enrico G. De Giorgi, Askhat Omar and Thierry Post
University of St. Gallen - SEPS: Economics and Political Sciences, Nazarbayev University - Graduate School of Business and Graduate School of Business of Nazarbayev University
Downloads 82 (586,943)

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choice experiment; risky choice; dynamic problem; framing effects; behavioral finance

31.

Range-dependence and memory in portfolio selection and asset pricing

Number of pages: 55 Posted: 06 Dec 2023
Enrico G. De Giorgi and Cédric Müller
University of St. Gallen - SEPS: Economics and Political Sciences and University of St. Gallen - SEPS: Economics and Political Sciences
Downloads 41 (802,018)

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range-dependent utility, memory, portfolio selection, asset pricing, dynamic programming

32.

Analyzing Individual Bracketing Behavior in Risk Aggregation Tasks

Number of pages: 29 Posted: 21 Feb 2024
Alessandra Cillo, Enrico G. De Giorgi and Thierry Post
LIUC Cattaneo University, University of St. Gallen - SEPS: Economics and Political Sciences and Graduate School of Business of Nazarbayev University
Downloads 33 (865,354)

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choice bracketing, repeated choices, individual decision-making, experiment.

33.

Making Prospect Theory Fit for Finance

Financial Markets and Portfolio Management, Vol. 20, No. 3, pp. 339-360, 2006
Posted: 17 Sep 2006
Enrico G. De Giorgi and Thorsten Hens
University of St. Gallen - SEPS: Economics and Political Sciences and University of Zurich - Department of Banking and Finance

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