1,721,103 research outputs found
Models for household portfolios and life-cycle allocations in the presence of labour income and longevity risk
Full text linkCampbell (2006) stressed the two main challenges of household finance: empirical analyses that highlight how households do invest (i.e. positive household finance) have important measurement problems, while suggestions about how investments should be made (i.e. normative household finance) encounter modelling problems. In this latter connection the final aim of this paper is to highlight the modelling requirements necessary to analyse the impact of household-specific risks on their portfolios, with special focus on the financial segment. To this end, after an overview of household portfolio theory, special emphasis is given to models incorporating two increasingly more important risks for the household: labour income and longevity risks. The paper concludes with some research directions
L’architettura delle ricostruzioni possibili. Memoria, invenzione, utopia The architecture of the possible reconstructions. Memory, Invention, Utopia
No full textNella dinamica delle trasformazioni urbane la catastrofe è momento di distruzione, ma anche punto di svolta che innesca nuovi processi inventivi. Dal trauma nasce l’occasione di prove progettuali che mirano non soltanto alla soluzione dei problemi, ma alla critica operativa e all’esplorazione del possibile e del nuovo. Nel paper si intrecciano visioni progettuali che intendono la costruzione della città come luogo di origine e di ritorno del progetto di architettura e come espressione civile.In the urban transformations dynamics the catastrophe is a moment of destruction, but also a turning point that triggers new inventive processes. From the trauma the occasion for design experimentations is born; they aim not only to solve problems, but also to constructively criticize and to explore the possible and the new. The paper interweaves design visions, which understand the construction of the city as the place of origin and return for the architectural project and as a civil expression
La forma dell'assenza. Riflessioni su città, memoria e monumento a partire dal progetto per Braunschweig di Luigi Snozzi
No full textWhen architecture is called to give shape to what is no longer there, the art of building faces the challenge of transposing the emptiness of loss into an image. It then finds itself having to fix a certain temporal segment within the dynamic flow of collective memory, to root the event it has been asked to represent within the specific character of a place, to define a precise image – among the many possible ones – which contributes to locating that trauma within the choral narrative it is a part of. By questioning the potential implicit in the intimate link that exists between construction and destruction, we come face to face with a reflection on the relationship between memory and the city, starting from an investigation around a project in which an erased urban reality is reconstructed in the negative in the ground, like an imprint, while it itself is translated into a monument.Quando l’architettura è chiamata a dare figura a ciò che non c’è più, l’arte del costruire affronta la sfida di trasporre in immagine il vuoto della perdita. Si trova, difatti, a fissare un determinato segmento temporale all’interno del fluire dinamico della memoria collettiva, a radicare l’evento che è chiamata a rappresentare nella specificità di un luogo, a definire un preciso immaginario, tra i molti possibili, che contribuisca a collocare quel trauma all’interno della narrazione corale cui prende parte. Interrogando le potenzialità implicite nell’intimo legame che sussiste tra costruzione e distruzione, si affronta una riflessione sul rapporto tra memoria e città, a partire dall’indagine intorno a un progetto in cui una realtà urbana cancellata viene ricostruita in negativo nel suolo, come un’impronta, e tradotta, essa stessa, in monumento
ESG compliant optimal portfolios: The impact of ESG constraints on portfolio optimization in a sample of European stocks
Full text linkThe introduction of the Environmental, Social, Governance (ESG) dimensions in setting up optimal
portfolios has been becoming of uttermost importance for the financial industry. Given the absence
of consensus in empirical literature and the limited number of studies providing performance
comparison of ESG strategies, the aim of this paper is to assess the impact of ESG on optimal
portfolios and to compare different approaches to the construction of ESG compliant portfolios.
Following Varmaz et al. (2022) optimization model, we minimize portfolio residual risk by imposing
a desired level of portfolio average systemic risk and ESG (measured by Bloomberg ESG score) over
both an unscreened and a screened sample based on the 586 stocks of the EURO STOXX Index in
the period January 2007 – August 2022.
Three are the main results. First, regardless of the level of portfolio systemic risk, the Sharpe ratio of
the optimal portfolios worsens as the target ESG level increases. Second, the Sharpe ratio dynamics
of portfolios with the highest average ESG scores follows market phases: it is very close to/higher
than other portfolios in bull markets, whereas it underperforms in stable or bear markets suggesting
that ESG portfolios do not seem to represent a safe haven. Third, negative screenings with medium low threshold reduce the performance of optimal portfolios with respect to optimization over an
unscreened sample. However, when adopting a very severe screening we obtain a superior
performance implying that very virtuous companies allows investors to do well by doing good
Different approaches to integrate sustainability in corporate valuation
Full text linkAgainst the increased attention to sustainability in corporate valuation, the scope of this paper
is to compare alternative methods, both traditional and innovative, to gauge the role of sustainability when determining a company's fair value. A few main findings emerge from the empirical analysis on Eni S.p.A, a global Italian company operating in the utilities and energy sector. First, all corporate valuation methods accounting for sustainability (Sum of the Part (SOP) adjusted and Real Option Pricing Method) provide a stock price higher than the analysts’ and market one, pointing to sustainability not being valued (or being negatively valued) by the analysts and the market. Second, the quantification of the sustainability intangible, although different according to the approach taken, is positive. Third, such a difference may be reconnected to the rating used to adjust the SOP, whereby such a rating appears to be insufficient to fully capture Eni’s sustainability commitments.
Our results suggests that the sustainability asset may drive-up stock prices once analysts factor it in
in their valuations
Systemic risk measures and macroprudential stress tests An assessment over the 2014 EBA exercise
Full text linkThe European Banking Authority (EBA) stress tests, which aim to quantify banks’ capital shortfall in a potential future crisis (adverse economic scenario), further stimulated an academic debate over systemic risk measures and their predictive/informative content. Focusing on marked based measures, Acharya et al. (2010) provides a theoretical background to justify the use of Marginal Expected Shortfall (MES) for predicting the stress test results, and verify it on the first stress test conducted after the 2007-2008 crises on the US banking system (SCAP, Supervisory Capital Assessment Program). The aim of this paper is to further test the goodness of MES as a predictive measure, by analysing it in relation to the results of the 2014 European stress tests exercise conducted by EBA. Our results are strongly dependent on index used to capture the systemic distress event, whereby MES, based on a global market index, does not show association with EBA stress test, by contrast to F-MES, which is based on a financial market index, and has a significant information and predictive power. Our results may carry useful regulatory implication for the stress test exercises
The Interaction Between Monetary Policy and the Expectation Hypothesis of the Term Structure of Interest Rates in a N-Period Rational Expectation Model
Full text linkThe impact of the Fundamental Review of the Trading Book: A preliminary assessment on a stylized portfolio
Full text linkThe aim of this paper is to gauge the impact in terms of capital requirements of the Fundamental Review of the Trading Book (FRTB). To this end we take a stylized portfolio sensible to the risk factors mostly affected by the review and we implement the new regulation both under the Standard Approach (SA) and the Internal Model Approach (IMA). Our results provide an order of magnitude of the increase across the two regulations and the two approaches (SA and IMA), and disentangle the expected increase implied by the FRTB in its main effects both for the SA and IMA approach. Our analyses prove a very relevant increase especially under the SA and underscore possible implications of the review both in terms of regulamentary model’s choice and business strategies
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