Alessandro Paolo Luigi Cipollini

Deutsche Bank, Fixed Income Research

Associate

Winchester House

Great Winchester Street, 1

London EC2N 2DB

United Kingdom

Università Degli Studi del Sacro Cuore di Milano - Laboratory of Statistics

Member

Via Necchi 9

Milano, MI 20121

Italy

http://www.unicatt.it

University of Milan-Bicocca - Department of Mathematics and Applications

PhD Student

Piazza dell'Ateneo Nuovo, 1

Milano, MI 20126

Italy

http://www.matapp.unimib.it

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

1.

Can the VIX Signal Market's Direction? An Asymmetric Dynamic Strategy

Number of pages: 24 Posted: 27 Jun 2007
Alessandro Paolo Luigi Cipollini and Antonio Manzini
Deutsche Bank, Fixed Income Research and UBS Global Asset Management
Downloads 2,245 (5,782)

Abstract:

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Implied volatility, Asset pricing forecast, Asymmetric strategies, Market's efficiency

2.

Capital Protection: Modeling the CPPI Portfolio

Number of pages: 36 Posted: 20 Sep 2008
Alessandro Paolo Luigi Cipollini
Deutsche Bank, Fixed Income Research
Downloads 1,146 (17,286)

Abstract:

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Capital protection, CPPI, Non-arbitrage price, Monte-Carlo methods

3.

The Effect of Analysts' Forecasts on Stock Market Returns: A Composite Multifactor Approach

Number of pages: 50 Posted: 03 Jun 2007 Last Revised: 25 Mar 2009
Stefano Bonini, Vincenzo Capizzi, Alessandro Paolo Luigi Cipollini and Fabrizio Erbetta
Stevens Institute of Technology - School of Business, University of Piemonte Orientale - Department of Economics and Business Studies, Deutsche Bank, Fixed Income Research and University of Piemonte Orientale
Downloads 591 (43,947)

Abstract:

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asset pricing models, forecasting stock returns, APT, autoregressive models, cost of equity

4.

Assessing the Performance of the Hedge Funds Market: An Application to the Italian Hedge Funds Industry

Number of pages: 28 Posted: 28 Jun 2007
Alessandro Paolo Luigi Cipollini, Riccardo Bramante and Antonio Manzini
Deutsche Bank, Fixed Income Research, Laboratory of Statistics and UBS Global Asset Management
Downloads 252 (119,198)

Abstract:

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Hedge funds, Assessing performance, Portfolio's efficiency, Principal component analysis, Modigliani-Modigliani Index

5.

Pricing Inflation Indexed Derivatives: A Reinterpretation of the Jarrow-Yildirim model

Posted: 30 Jul 2008 Last Revised: 22 Jun 2016
Paul Canty and Alessandro Paolo Luigi Cipollini
Deutsche Bank AG (London) and Deutsche Bank, Fixed Income Research

Abstract:

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Inflation indexed derivatives, Jarrow and Yildirim model, Zero Coupon and Year-on-Year volatility