Enrico G. De Giorgi

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

Department of Economics

Bodanstrasse 6

CH-9000 St. Gallen

Switzerland

SCHOLARLY PAPERS

27

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CITATIONS
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68

Scholarly Papers (27)

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 1,402 (11,986)
Citation 8

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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 1,293 (13,623)
Citation 3

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

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 958 (21,102)
Citation 2

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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 88 (274,238)
Citation 2

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

4.

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 994 (20,321)
Citation 4

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

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 867 (24,815)
Citation 6

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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 765 (29,591)
Citation 4

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

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 727 (31,280)
Citation 7

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

Reward-Risk Portfolio Selection and Stochastic Dominance

Journal of Banking and Finance, Vol. 29, pp. 895-926, 2005
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

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 709 (32,384)
Citation 2

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

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

European Financial Management, Vol. 18, Issue 2, pp. 163-182, 2012
Number of pages: 20 Posted: 17 Mar 2012
Haim Levy, Enrico G. De Giorgi and Thorsten Hens
Hebrew University of Jerusalem - Jerusalem School of Business Administration, University of St. Gallen - SEPS: Economics and Political Sciences and University of Zurich - Department of Banking and Finance
Downloads 0
Citation 2
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asset pricing, cumulative prospect theory, capital asset pricing model, equilibrium

9.

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 640 (37,702)
Citation 1

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

10.

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: 08 Jul 2009
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 626 (38,851)
Citation 4

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

11.

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 562 (44,746)
Citation 2

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

12.

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 543 (46,713)
Citation 4

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

13.

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 507 (51,017)
Citation 2

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

14.

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 461 (57,447)
Citation 1

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

15.

The Grouped t-Copula with an Application to Credit Risk

Number of pages: 7 Posted: 13 Mar 2009
Stéphane Daul, Enrico G. De Giorgi, Filip Lindskog and Alexander McNeil
Pictet Asset Management, University of St. Gallen - SEPS: Economics and Political Sciences, affiliation not provided to SSRN and ETH Zürich - Department of Mathematics
Downloads 420 (64,358)
Citation 9

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risk management, credit risk, copula, estimation

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 355 (78,452)

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

17.
Downloads 300 ( 94,896)
Citation 4

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 300 (94,399)
Citation 4

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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.

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 212 (135,343)
Citation 1

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Insurance, portfolio theory, evolutionary finance

19.

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 210 (136,574)

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Experiments, alpha-beauty contest, beliefs

20.

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 178 (159,168)

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Two-fund separation, reward-risk preferences

21.

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 California, Berkeley
Downloads 169 (166,609)

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diversification, risk aversion, convex preferences

22.

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 158 (176,510)
Citation 2

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23.

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 California, Berkeley
Downloads 144 (191,715)

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

24.

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 California, Berkeley
Downloads 117 (224,137)

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

25.

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 81 (286,150)
Citation 2

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Experiments, Guessing Game, Beliefs

26.

The Willingness to Pay for Editing

Number of pages: 35 Posted: 14 Apr 2017 Last Revised: 21 Nov 2017
Alessandra Cillo and Enrico G. De Giorgi
Bocconi University - Department of Decision Sciences and University of St. Gallen - SEPS: Economics and Political Sciences
Downloads 71 (308,808)

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editing, hedonic editing, cognitive effort, segregation, aggregation

27.

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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