IDEAS home Printed from https://ideas.repec.org/e/pce87.html
   My authors  Follow this author

Riccardo Cesari

Personal Details

First Name:Riccardo
Middle Name:
Last Name:Cesari
Suffix:
RePEc Short-ID:pce87

Affiliation

(in no particular order)

Dipartimento di Matematica per le Scienze Economiche e Sociali "MatemateS" (Department of Mathematics for Economics and Social Sciences)
Alma Mater Studiorum - Università di Bologna (University of Bologna)

Bologna, Italy
http://www.matemates.unibo.it/
RePEc:edi:dmbolit (more details at EDIRC)

Facoltà di Economia (Faculty of Economics)
Alma Mater Studiorum - Università di Bologna (University of Bologna)

Forlì, Italy
http://www.ecofo.unibo.it/
RePEc:edi:ffbolit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Cesari, Riccardo & Marzo, Massimiliano & Zagaglia, Paolo, 2012. "Effective Trade Execution," MPRA Paper 39619, University Library of Munich, Germany.
  2. Riccardo Cesari & Giuseppe Grande & Fabio Panetta, 2007. "Supplementary pension schemes in Italy: features, development and opportunities for workers," Questioni di Economia e Finanza (Occasional Papers) 8, Bank of Italy, Economic Research and International Relations Area.
  3. Riccardo Cesari & Giuseppe Grande & Fabio Panetta, 2007. "La Previdenza Complementare in Italia: Caratteristiche, Sviluppo e Opportunità per i Lavoratori," CeRP Working Papers 60, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  4. R. Cesari & C. D'Adda, 2005. "A suggestion for simplifying the theory of asset prices," Working Papers 537, Dipartimento Scienze Economiche, Universita' di Bologna.
  5. Riccardo Cesari & Marzia Freo, 2003. "Analysis of european stock returns: evidence of a new risk factor," Quaderni di Dipartimento 3, Department of Statistics, University of Bologna.
  6. R. Cesari, 2003. "Option Pricing and Asset Valuation," Working Papers 467, Dipartimento Scienze Economiche, Universita' di Bologna.
  7. R. Cesari, 2001. "A Simple Approach to CAPM and Option Pricing," Working Papers 418, Dipartimento Scienze Economiche, Universita' di Bologna.
  8. Riccardo Cesari, 1999. "The economic effects of the new rules for the taxation of income from financial investment," Temi di discussione (Economic working papers) 349, Bank of Italy, Economic Research and International Relations Area.
  9. Riccardo Cesari & Fabio Panetta, 1998. "Style, Fees and Performance of Italian Equity Funds," Temi di discussione (Economic working papers) 325, Bank of Italy, Economic Research and International Relations Area.
  10. Bianchi, C. & Cesari, R. & Panattoni, L., 1994. "Alternative Estimators of the Cox, ingersoll and Ross Model of the Term Structure of Interest Rates: A Monte Carlo Comparison," Papers 236, Banca Italia - Servizio di Studi.
  11. R. Cesari, 1994. "A generalized measure of competition," Working Papers 204, Dipartimento Scienze Economiche, Universita' di Bologna.
  12. R. Cesari, 1991. "Maturity Effects of Futures and Forward Prices in a Two-Factor General Equilibrium Model," Working Papers 124, Dipartimento Scienze Economiche, Universita' di Bologna.

Articles

  1. Riccardo Cesari & Anna Grazia Quaranta, 2011. "A robust risk-based approach in portfolio management," BANCARIA, Bancaria Editrice, vol. 1, pages 18-31, January.
  2. Riccardo Cesari & Giuseppe Grandi & Fabio Panetta, 2008. "Supplementary Pension Schemes in Italy: Features,Development and Opportunities for Workers," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 67(1), pages 21-73, March.
  3. Cesari, Riccardo & Cremonini, David, 2003. "Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 987-1011, April.
  4. Cesari, Riccardo & Panetta, Fabio, 2002. "The performance of Italian equity funds," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 99-126, January.
  5. Cesari, Riccardo, 1991. "La valutazione delle attività finanziarie in mercati imperfetti: una nota su premio al rischio e potere di mercato - The Valuation of Assets in Imperfect Markets: A Note on Risk Premium and Market Pow," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 44(1), pages 20-26.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Cesari, Riccardo & Marzo, Massimiliano & Zagaglia, Paolo, 2012. "Effective Trade Execution," MPRA Paper 39619, University Library of Munich, Germany.

    Cited by:

    1. Luyao Zhang & Tianyu Wu & Saad Lahrichi & Carlos-Gustavo Salas-Flores & Jiayi Li, 2022. "A Data Science Pipeline for Algorithmic Trading: A Comparative Study of Applications for Finance and Cryptoeconomics," Papers 2206.14932, arXiv.org.

  2. Riccardo Cesari & Giuseppe Grande & Fabio Panetta, 2007. "Supplementary pension schemes in Italy: features, development and opportunities for workers," Questioni di Economia e Finanza (Occasional Papers) 8, Bank of Italy, Economic Research and International Relations Area.

    Cited by:

    1. Holzmann, Robert & Pouget, Yann & Vodopivec, Milan & Weber, Michael, 2011. "Severance pay programs around the world : history, rationale, status, and reforms," Social Protection Discussion Papers and Notes 62726, The World Bank.
    2. Renata Bottazzi & Tullio Jappelli & Mario Padula, 2009. "The Portfolio Effect of Pension Reforms," Working Papers 2009_17, Department of Economics, University of Venice "Ca' Foscari".
    3. Devis Geron, 2011. "Severance Pay or Pension Funds?," "Marco Fanno" Working Papers 0139, Dipartimento di Scienze Economiche "Marco Fanno".
    4. Giuseppe Grande & Ignazio Visco, 2010. "A public guarantee of a minimum return to defined contribution pension scheme members," Temi di discussione (Economic working papers) 762, Bank of Italy, Economic Research and International Relations Area.

  3. Riccardo Cesari & Giuseppe Grande & Fabio Panetta, 2007. "La Previdenza Complementare in Italia: Caratteristiche, Sviluppo e Opportunità per i Lavoratori," CeRP Working Papers 60, Center for Research on Pensions and Welfare Policies, Turin (Italy).

    Cited by:

    1. Monica Paiella & Andrea Tiseno, 2009. "Saving for retirement and retirement investment choices," Discussion Papers 1_2009, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
    2. Immacolata Marino & Filippo Pericoli & Luigi Ventura, 2011. "Tax Incentives and Household Investment in Complementary Pension Insurance: Some Recent Evidence From the Italian Experience," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 14(2), pages 247-263, September.
    3. Lorenzo Corsini & Pier Mario Pacini & Luca Spataro, 2012. "Workers' Choice on Pension Schemes," Public Finance Review, , vol. 40(2), pages 207-239, March.
    4. Sergio Cesaratto, 2008. "The Macroeconomics of the Pension Fund Reform and the case of the TFR reform in Italy," Department of Economics University of Siena 549, Department of Economics, University of Siena.
    5. Sergio Cesaratto, 2011. "The macroeconomics of pension reform: The case of severance pay reform in Italy," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, vol. 8(1), pages 69-89.

  4. R. Cesari, 2003. "Option Pricing and Asset Valuation," Working Papers 467, Dipartimento Scienze Economiche, Universita' di Bologna.

    Cited by:

    1. Stefan Lutz, 2011. "Simultaneous determination of market value and risk premium in the valuation of firms," Economics Discussion Paper Series 1120, Economics, The University of Manchester.

  5. Riccardo Cesari & Fabio Panetta, 1998. "Style, Fees and Performance of Italian Equity Funds," Temi di discussione (Economic working papers) 325, Bank of Italy, Economic Research and International Relations Area.

    Cited by:

    1. Luigi Guiso & Tullio Jappelli, 2003. "Stockholding in Italy," Palgrave Macmillan Books, in: Luigi Guiso & Michael Haliassos & Tullio Jappelli (ed.), Stockholding in Europe, chapter 6, pages 141-167, Palgrave Macmillan.
    2. Andrea Brandolini, 1999. "The Distribution of Personal Income in Post-War Italy: Source Description, Data Quality, and the Time Pattern of Income Inequality," Temi di discussione (Economic working papers) 350, Bank of Italy, Economic Research and International Relations Area.
    3. Luigi Guiso & Tullio Jappelli, 2000. "Household Portfolios in Italy," CSEF Working Papers 43, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    4. Anolli, Mario & Del Giudice, Alfonso, 2008. "Italian Open End Mutual Fund Costs," MPRA Paper 8111, University Library of Munich, Germany.
    5. Roberto Casarin & Loriana Pelizzon & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 0817, University of Brescia, Department of Economics.
    6. Annaert, Jan & van den Broeck, Julien & Vander Vennet, Rudi, 2003. "Determinants of mutual fund underperformance: A Bayesian stochastic frontier approach," European Journal of Operational Research, Elsevier, vol. 151(3), pages 617-632, December.

  6. Bianchi, C. & Cesari, R. & Panattoni, L., 1994. "Alternative Estimators of the Cox, ingersoll and Ross Model of the Term Structure of Interest Rates: A Monte Carlo Comparison," Papers 236, Banca Italia - Servizio di Studi.

    Cited by:

    1. Giorgio Calzolari & F. Di Iorio & G. Fiorentini, 1999. "Indirect Estimation of Just-Identified Models with Control Variates," Econometrics Working Papers Archive quaderno46, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    2. Roberto Reno' & Antonio Roma & Stephen Schaefer, 2004. "A Comparison of Alternative Nonparametric Estimators of the Short Rate Diffusion Coefficient," Department of Economics University of Siena 445, Department of Economics, University of Siena.
    3. Giorgio Calzolari & Francesca Di Iorio & Gabriele Fiorentini, 1998. "Control variates for variance reduction in indirect inference: Interest rate models in continuous time," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 100-112.
    4. Cleur, Eugene M & Manfredi, Piero, 1999. "One Dimensional SDE Models, Low Order Numerical Methods and Simulation Based Estimation: A Comparison of Alternative Estimators," Computational Economics, Springer;Society for Computational Economics, vol. 13(2), pages 177-197, April.

  7. R. Cesari, 1994. "A generalized measure of competition," Working Papers 204, Dipartimento Scienze Economiche, Universita' di Bologna.

    Cited by:

    1. Pedauga, Luis & Pineda, Julio & Miguel, Dorta, 2004. "Rivalidad por clientes en el mercado cambiario venezolano [Rivalry for customers in the Venezuelan exchange market]," MPRA Paper 62431, University Library of Munich, Germany.
    2. Yusak Susilo & Kay Axhausen, 2014. "Repetitions in individual daily activity–travel–location patterns: a study using the Herfindahl–Hirschman Index," Transportation, Springer, vol. 41(5), pages 995-1011, September.
    3. Melanie Parravano & Luis Enrique Pedauga, 2008. "Oil market dynamics: A Markow chain analysis," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, vol. 33(25), pages 87-115, january-j.

Articles

  1. Riccardo Cesari & Giuseppe Grandi & Fabio Panetta, 2008. "Supplementary Pension Schemes in Italy: Features,Development and Opportunities for Workers," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 67(1), pages 21-73, March.
    See citations under working paper version above.
  2. Cesari, Riccardo & Cremonini, David, 2003. "Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 987-1011, April.

    Cited by:

    1. Samuel Kyle Jones & Joe Bert Stine, 2010. "Expected utility and the non-normal returns of common portfolio rebalancing strategies," Journal of Asset Management, Palgrave Macmillan, vol. 10(6), pages 406-419, February.
    2. Mahayni, Antje & Schneider, Judith C., 2012. "Variable annuities and the option to seek risk: Why should you diversify?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2417-2428.
    3. Zhang, Tao & Zhou, Hongfeng & Li, Larry & Gu, Feng, 2015. "Optimal rebalance rules for the constant proportion portfolio insurance strategy – Evidence from China," Economic Systems, Elsevier, vol. 39(3), pages 413-422.
    4. Lan-chih Ho & John Cadle & Michael Theobald, 2022. "Portfolio Insurance Strategies," Springer Books, in: Cheng-Few Lee & Alice C. Lee (ed.), Encyclopedia of Finance, edition 0, chapter 62, pages 1437-1465, Springer.
    5. Olga Biedova & Victoria Steblovskaya, 2020. "Multiplier Optimization For Constant Proportion Portfolio Insurance (Cppi) Strategy," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-22, March.
    6. Raquel M. Gaspar & Paulo M. Silva, 2019. "Investors’ Perspective on Portfolio InsuranceExpected Utility vs Prospect Theories," Working Papers REM 2019/92, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    7. Vahidreza Yousefi & Siamak Haji Yakhchali & Jolanta Tamošaitienė, 2019. "Application of Duration Measure in Quantifying the Sensitivity of Project Returns to Changes in Discount Rates," Administrative Sciences, MDPI, vol. 9(1), pages 1-14, February.
    8. Dichtl, Hubert & Drobetz, Wolfgang, 2011. "Portfolio insurance and prospect theory investors: Popularity and optimal design of capital protected financial products," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1683-1697, July.
    9. Luca Di Persio & Immacolata Oliva & Kai Wallbaum, 2021. "Options on constant proportion portfolio insurance with guaranteed minimum equity exposure," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 37(1), pages 98-112, January.
    10. J. Marin-Solano (Universitat de Barcelona) & O. Roch (Universitat de Barcelona) & J. Dhaene (Katholieke Univerisiteit Leuven) & C. Ribas (Universitat de Barcelona) & M. Bosch-Princep (Universitat de B, 2009. "Buy-and-Hold Strategies and Comonotonic Approximations," Working Papers in Economics 213, Universitat de Barcelona. Espai de Recerca en Economia.
    11. Daniele Mancinelli & Immacolata Oliva, 2023. "Constant or Variable? A Performance Analysis among Portfolio Insurance Strategies," Risks, MDPI, vol. 11(6), pages 1-14, June.
    12. Gruszka, Jarosław & Szwabiński, Janusz, 2020. "Best portfolio management strategies for synthetic and real assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
    13. Guohui Guan & Lin He & Zongxia Liang & Litian Zhang, 2024. "Optimal VPPI strategy under Omega ratio with stochastic benchmark," Papers 2403.13388, arXiv.org.
    14. Lord Mensah, 2016. "Asset Allocation Brewed Accross African Stock Markets," Proceedings of Economics and Finance Conferences 3205757, International Institute of Social and Economic Sciences.
    15. João Carvalho & João Beleza Sousa & Raquel M. Gaspar, 2019. "On Path–dependency ofConstant Proportion Portfolio Insurance strategies," Working Papers REM 2019/94, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    16. Ine Marquet & Wim Schoutens, 2018. "CONIC CPPIs," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-20, March.
    17. Giuseppe Galloppo, 2010. "A Comparison Of Pre And Post Modern Portfolio Theory Using Resampling," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 4(1), pages 1-16.
    18. Philippe Bertrand & Jean-Luc Prigent, 2011. "Omega performance measure and portfolio insurance," Post-Print hal-01445954, HAL.
    19. Farid MKAOUAR & Jean-luc PRIGENT, 2014. "Constant Proportion Portfolio Insurance under Tolerance and Transaction Costs," Working Papers 2014-303, Department of Research, Ipag Business School.
    20. Agić-Šabeta Elma, 2016. "Constant Proportion Portfolio Insurance Strategy in Southeast European Markets," Business Systems Research, Sciendo, vol. 7(1), pages 59-80, March.
    21. Van Weert, Koen & Dhaene, Jan & Goovaerts, Marc, 2010. "Optimal portfolio selection for general provisioning and terminal wealth problems," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 90-97, August.
    22. Raquel M. Gaspar & Paulo M. Silva, 2023. "Investors’ perspective on portfolio insurance," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 22(1), pages 49-79, January.
    23. L. Di Persio & I. Oliva. K. Wallbaum, 2019. "Options on CPPI with guaranteed minimum equity exposure," Papers 1902.06505, arXiv.org.
    24. Sami Attaoui & Vincent Lacoste, 2013. "A scenario-based description of optimal American capital guaranteed strategies," Post-Print hal-00867667, HAL.
    25. Shin Kimura & Tomoki Kitamura & Kunio Nakashima, 2023. "Investment risk-taking and benefit adequacy under automatic balancing mechanism in the Japanese public pension system," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-19, December.
    26. Jiang, Chonghui & Ma, Yongkai & An, Yunbi, 2009. "The effectiveness of the VaR-based portfolio insurance strategy: An empirical analysis," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 185-197, September.
    27. Sermpinis, Georgios & Hassanniakalager, Arman & Stasinakis, Charalampos & Psaradellis, Ioannis, 2021. "Technical analysis profitability and Persistence: A discrete false discovery approach on MSCI indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    28. Jaros{l}aw Gruszka & Janusz Szwabi'nski, 2019. "Best Portfolio Management Strategies For Synthetic and Real Assets," Papers 1904.10250, arXiv.org, revised Sep 2019.
    29. Ariful Hoque & Robin Kämmer & Frieder Meyer-Bullerdiek, 2018. "Portfolio insurance strategies in a low interest rate environment: A simulation based study," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 7(3), pages 1-2.
    30. Ben Ameur, H. & Prigent, J.L., 2014. "Portfolio insurance: Gap risk under conditional multiples," European Journal of Operational Research, Elsevier, vol. 236(1), pages 238-253.
    31. Lu, Richard & Horng, Tzyy-Leng & Horng, Min-Sun & Wang, Amy Z.-H., 2023. "A performance evaluation of portfolio insurance under the Black and Scholes framework: An application of the economic index of riskiness," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 269-276.
    32. Ardia, David & Boudt, Kris & Hartmann, Stefan & Nguyen, Giang, 2022. "Properties of the Margrabe Best-of-two strategy to tactical asset allocation," International Review of Financial Analysis, Elsevier, vol. 81(C).
    33. Pagnoncelli, Bernardo K. & Vanduffel, Steven, 2012. "A provisioning problem with stochastic payments," European Journal of Operational Research, Elsevier, vol. 221(2), pages 445-453.
    34. Jacques Pézier & Johanna Scheller, 2011. "A Comprehensive Evaluation of Portfolio Insurance Strategies," ICMA Centre Discussion Papers in Finance icma-dp2011-15, Henley Business School, University of Reading.
    35. Diana Barro & Elio Canestrelli, 2005. "Tracking Error: a multistage portfolio model," GE, Growth, Math methods 0510012, University Library of Munich, Germany.
    36. V. Ivanyuk A. & N. Abdikeyev M. & В. Иванюк А. & Н. Абдикеев М., 2018. "Управление рыночными активами в условиях кризиса // Management of Market Assets in Crisis," Управленческие науки // Management Science, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 8(1), pages 72-81.
    37. Emmanuel Olateju Oyatoye & Waheed Oladimeji Arilesere, 2012. "A non-linear programming model for insurance company investment portfolio management in Nigeria," International Journal of Data Analysis Techniques and Strategies, Inderscience Enterprises Ltd, vol. 4(1), pages 83-100.
    38. Rakesh Gupta & Junhao Yang & Thadavillil Jithendranathan, 2017. "Diversification into Emerging Markets – An Australian and the US Perspective Using a Time-varying Approach," Australian Economic Papers, Wiley Blackwell, vol. 56(2), pages 134-162, June.
    39. Stefano Ferretti, 2023. "On the Modeling and Simulation of Portfolio Allocation Schemes: an Approach Based on Network Community Detection," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 969-1005, October.
    40. Pézier, Jacques & Scheller, Johanna, 2013. "Best portfolio insurance for long-term investment strategies in realistic conditions," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 263-274.
    41. Richard Lu, 2016. "The Returns and Risk of Dynamic Investment Strategies: A Simulation Comparison," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 15(1), pages 79-83, June.
    42. Hoedemakers, Tom & Darkiewicz, Grzegorz & Goovaerts, Marc, 2005. "Approximations for life annuity contracts in a stochastic financial environment," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 239-269, October.
    43. Ahmad, Mashood & Ali, Syed Babar, 2008. "Technical Analysis in the Stock Markets of Pakistan: A Case of Commercial Banks," MPRA Paper 64521, University Library of Munich, Germany.
    44. Annaert, Jan & Osselaer, Sofieke Van & Verstraete, Bert, 2009. "Performance evaluation of portfolio insurance strategies using stochastic dominance criteria," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 272-280, February.
    45. Balder, Sven & Brandl, Michael & Mahayni, Antje, 2009. "Effectiveness of CPPI strategies under discrete-time trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 204-220, January.
    46. Erdinc Akyildirim & Matteo Gambara & Josef Teichmann & Syang Zhou, 2023. "Randomized Signature Methods in Optimal Portfolio Selection," Papers 2312.16448, arXiv.org.
    47. Valdez, Emiliano A. & Dhaene, Jan & Maj, Mateusz & Vanduffel, Steven, 2009. "Bounds and approximations for sums of dependent log-elliptical random variables," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 385-397, June.
    48. Zieling, Daniel & Mahayni, Antje & Balder, Sven, 2014. "Performance evaluation of optimized portfolio insurance strategies," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 212-225.
    49. Georgios Sermpinis & Arman Hassanniakalager & Charalampos Stasinakis & Ioannis Psaradellis, 2018. "Technical Analysis and Discrete False Discovery Rate: Evidence from MSCI Indices," Papers 1811.06766, arXiv.org, revised Jun 2019.
    50. Lan-chih Ho & John Cadle & Michael Theobald, 2011. "An analysis of risk-based asset allocation and portfolio insurance strategies," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 247-267, February.
    51. Hubert Dichtl & Wolfgang Drobetz & Martin Wambach, 2017. "A bootstrap-based comparison of portfolio insurance strategies," The European Journal of Finance, Taylor & Francis Journals, vol. 23(1), pages 31-59, January.
    52. Christian Hertrich, 2013. "Asset Allocation Considerations for Pension Insurance Funds," Springer Books, Springer, edition 127, number 978-3-658-02167-2, September.
    53. J. Annaert & S. Van Osselaer & B. Verstraete, 2007. "Performance evaluation of portfolio insurance strategies using stochastic dominance criteria," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/473, Ghent University, Faculty of Economics and Business Administration.
    54. Gerritsen, Dirk F., 2016. "Are chartists artists? The determinants and profitability of recommendations based on technical analysis," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 179-196.

  3. Cesari, Riccardo & Panetta, Fabio, 2002. "The performance of Italian equity funds," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 99-126, January.

    Cited by:

    1. Amporn SOONGSWANG & Yosawee SANOHDONTREE, 2011. "Equity Mutual Fund: Performances, Persistence and Fund Rankings," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, vol. 1(6), pages 1-27, October.
    2. Basu, Anup K. & Huang-Jones, Jason, 2015. "The performance of diversified emerging market equity funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 116-131.
    3. Matallin-Saez Juan Carlos, 2008. "The Dynamics of Mutual Funds and Market Timing Measurement," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-37, December.
    4. Beckmann, Daniela & Lütje, Torben & Rebeggiani, Luca, 2007. "Italian Asset Managers’ Behavior: Evidence on Overconfidence, Risk Taking and Gender," Hannover Economic Papers (HEP) dp-358, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    5. Giuseppe Cappelletti & Giovanni Guazzarotti & Pietro Tommasino, 2019. "Tax Deferral and Mutual Fund Inflows: Evidence from a Quasi‐Natural Experiment," Fiscal Studies, John Wiley & Sons, vol. 40(2), pages 211-237, June.
    6. Ana C. Díaz†Mendoza & Germán López†Espinosa & Miguel A. Martínez, 2014. "The Efficiency of Performance†Based Fee Funds," European Financial Management, European Financial Management Association, vol. 20(4), pages 825-855, September.
    7. Feng Dong & John A. Doukas, 2019. "The payback of mutual fund selectivity in European markets," European Financial Management, European Financial Management Association, vol. 25(1), pages 160-180, January.
    8. Daraio, Cinzia & Simar, Leopold, 2006. "A robust nonparametric approach to evaluate and explain the performance of mutual funds," European Journal of Operational Research, Elsevier, vol. 175(1), pages 516-542, November.
    9. Martin T. Bohl, Judith Lischewski and Svitlana Voronkova, 2008. "Does Regulation Hurt Pension Funds' Performance? Evidence from Strongly Regulated Pension Fund Industries," The Institute for International Integration Studies Discussion Paper Series iiisdp247, IIIS.
    10. Amparo Soler Domínguez & Juan Carlos Matallín Sáez & Emili Tortosa Ausina, 2011. "On the informativeness of persistence for mutual funds' performance evaluation using partial frontiers," Working Papers. Serie EC 2011-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    11. Gil Bazo, Javier & Martínez Sedano, Miguel Ángel, 2004. "The Black Box of Mutual Fund Fees," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
    12. Herrmann, Ulf & Scholz, Hendrik, 2013. "Short-term persistence in hybrid mutual fund performance: The role of style-shifting abilities," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2314-2328.
    13. Linh Tran Dieu & Linh Tran Dieu, 2017. "Mutual Fund Governance: Depositary Independence and Investor Protection," Post-Print hal-01698557, HAL.
    14. Białkowski, Jędrzej & Bohl, Martin T. & Kaufmann, Philipp & Wisniewski, Tomasz P., 2013. "Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey," Emerging Markets Review, Elsevier, vol. 15(C), pages 211-232.
    15. Roberto Casarin & Loriana Pelizzon & Andrea Piva, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," Working Papers 0817, University of Brescia, Department of Economics.
    16. Mehreen Mahmud & Nawazish Mirza, 2011. "An Evaluation of Mutual Fund Performance in an Emerging Economy: The Case of Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 16(Special E), pages 301-316, September.
    17. Alves, Paulo, 2015. "The Fees of Mutual Funds and Real Estate Funds: Their Determinants in a Small Market," MPRA Paper 65490, University Library of Munich, Germany.
    18. Giambona, Erasmo & Golec, Joseph, 2009. "Mutual fund volatility timing and management fees," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 589-599, April.
    19. Christensen, Michael, 2003. "Evaluating Danish Mutual Fund Performance," Finance Working Papers 03-4, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    20. Paolo Zagaglia, 2014. "International portfolio allocation with European fixed-income funds: What scope for Italian funds?," Working Paper series 18_14, Rimini Centre for Economic Analysis.
    21. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
    22. Dariusz Stanko, 2003. "Performance Evaluation of Public Pension Funds: The Reformed Pension System in Poland," Finance 0306002, University Library of Munich, Germany.
    23. Massimo Coletta & Raffaele Santioni, 2019. "Households' investments in foreign mutual funds made transparent," Questioni di Economia e Finanza (Occasional Papers) 533, Bank of Italy, Economic Research and International Relations Area.
    24. Christensen, Michael, 2005. "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence," Finance Research Group Working Papers F-2005-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    25. Roberto Savona, 2006. "Tax‐induced Dissimilarities Between Domestic and Foreign Mutual Funds in Italy," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 35(2), pages 173-202, July.
    26. Bechmann, Ken L. & Rangvid, Jesper, 2007. "Rating mutual funds: Construction and information content of an investor-cost based rating of Danish mutual funds," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 662-693, December.
    27. Miguel A. Ferreira & Aneel Keswani & António F. Miguel & Sofia B. Ramos, 2013. "The Determinants of Mutual Fund Performance: A Cross-Country Study," Review of Finance, European Finance Association, vol. 17(2), pages 483-525.
    28. Venanzi, Daniela, 2016. "The performance of the Italian mutual funds: Does the metric matter?," Research in International Business and Finance, Elsevier, vol. 37(C), pages 406-421.
    29. David R. Gallagher & Adrian Looi & Matt Pinnuck, 2010. "Are active fund managers collectors of private information or fast interpreters of public information?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(3), pages 635-662, September.
    30. Michele Leonardo Bianchi, 2014. "Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective," Temi di discussione (Economic working papers) 957, Bank of Italy, Economic Research and International Relations Area.
    31. Giorgio Albareto & Andrea Cardillo & Andrea Hamaui & Giuseppe Marinelli, 2020. "Mutual funds' performance: the role of distribution networks and bank affiliation," Temi di discussione (Economic working papers) 1272, Bank of Italy, Economic Research and International Relations Area.
    32. Dimitrios V Kousenidis & Christos Negakis, 2013. "The Underperformance of Young Closed-End Funds in Greece," Multinational Finance Journal, Multinational Finance Journal, vol. 17(1-2), pages 107-148, March - J.
    33. David R. Gallagher & Adrian Looi, 2006. "Trading behaviour and the performance of daily institutional trades," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 46(1), pages 125-147, March.
    34. Pedro Luiz Albertin Bono Milan & William Eid Junior, 2015. "Determinants of Portfolio Turnover for Equity Mutual Funds," Brazilian Business Review, Fucape Business School, vol. 12(5), pages 1-15, September.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FMK: Financial Markets (3) 2003-04-09 2006-04-29 2006-09-03
  2. NEP-FIN: Finance (2) 2001-11-05 2004-12-12
  3. NEP-MST: Market Microstructure (2) 2012-07-01 2012-07-08
  4. NEP-CFN: Corporate Finance (1) 2006-09-03
  5. NEP-RMG: Risk Management (1) 2004-12-12

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Riccardo Cesari should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.