Antonio Manzini

UBS Global Asset Management

Zurich, CH-8098

Switzerland

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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 (5,781)

Abstract:

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

2.

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

Number of pages: 28 Posted: 28 Jun 2007
Deutsche Bank, Fixed Income Research, Laboratory of Statistics and UBS Global Asset Management
Downloads 252 (119,161)

Abstract:

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