Enrico De Giorgi

Assistant Professor for Research, University of Lugano
Senior Researcher "National Centre of Competence in Research" FINRISK

Research interests		Contact address
Publications	Working papers	Qualification works
Teaching		Talks
	Curriculum vitae

[Swiss Finance Institute] [Institute for Empirical Research in Economics] [Swiss Banking Institute] [RiskLab]

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Research interests

Behavioural Finance
Risk Management
Evolutionary Finance

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Contact address

Institute of Finance
University of Lugano
Via Buffi 13
CH-6900 Lugano
Switzerland

E-mail: enrico.degiorgi@lu.unisi.ch
Phone: +41-58-666 46 77
Fax: +41-58-666 46 47
Office: Ex-Laboratorio, 4th Floor, Office 4/004

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Publications

De Giorgi E. and S. Reimann (2008): "The α-Beauty Contest: Choosing Numbers, Thinking Intervals," Games and Economic Behavior, Forthcoming.
De Giorgi E. and T. Post (2008): " Second Order Stochastic Dominance, Reward-Risk Portfolio Selection and the CAPM," Journal of Financial and Quantitative Analysis, 43(2), pp. 525–546.
De Giorgi E. (2008): "Evolutionary Portfolio Selection with Liquidity Shocks," Journal of Economic Dynamics and Control, 32(4), pp. 1088-1119.
Audrino, F. and E. De Giorgi (2007): " Beta Regimes for the Yield Curve," Journal of Financial Econometrics, 5(3), pp. 456-490.
De Giorgi E., T. Hens and J. Mayer (2007): "Computational Aspects of Prospect Theory with Asset Pricing Applications," Computational Economics, 29(3-4), pp. 267-281.
De Giorgi E. and T. Hens (2006): "Making Prospect Theory Fit for Finance," Financial Markets and Portfolio Management, 20(3), pp. 339-360.
De Giorgi E. and J. Burkhard (2006): "An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios," Journal of Risk, 8(4), pp. 57-95.
De Giorgi E. (2005): "Reward-Risk Portfolio Selection and Stochastic Dominance," Journal of Banking and Finance 29(4), pp. 895-926.
De Giorgi E., V. Komaric and J. Burkhard (2004): "Default Risk for Residential Mortgage Portfolios," Wilmott Magazine, July, pp. 78-86.
De Giorgi E., S. Daul, F. Lindskog and A. McNeil (2003): "Using the grouped t-copula," Risk, 16(11), pp. 73-76
also appeared in: The Risk Annual. Technical Papers from the Cutting Edge Section of Risk, introduced by Nicholas Dunbar, Risk Books, pp. 537-548, 2004.

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Working papers

De Giorgi E. (with T. Post): Loss Aversion with a State-dependent Reference Point (April 2008).
De Giorgi E. (with T. Hens and M.O. Rieger): Financial Market Equilibria with Cumulative Prospect Theory (May 2008).
De Giorgi E. (with T. Hens and J. Mayer): A Behavioral Foundation of Reward-Risk Portfolio Selection and the Asset Allocation Puzzle (April 2008).
De Giorgi E. (with H. Levy and T. Hens): Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence? (June 2003).
De Giorgi E. (with H. Levy and T. Hens): Existence of CAPM Equilibria with Prospect Theory Preferences (March 2004).
De Giorgi E.: A Note on Portfolio Selection under Various Risk Measures (August 2002).

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Qualification works

2004. De Giorgi E.: Advancements on the Theory of Investment Science, Ph. D. Thesis in Economics, University of Zurich (paperback version available on request).
1999. De Giorgi E.: Ocone's Theorem, M.S. Thesis in Mathematics, Swiss Federal Institute of Technology, Zurich.

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Selected talks

June 21, 2007. Evolutionary Portfolio Selection with Liquidity Shocks (Annual Conference of the Society for the Advancement of Economic Theory, Kos)

June 11, 2007. Beta Regimes for the Yield Curve (IV International Summer School in Risk Management and Control, Rome)

March 23, 2007. Beta Regimes for the Yield Curve (SSES Annual Meeting, St. Gallen)
March 15, 2007. Computational Aspects of Prospect Theory and Asset Pricing Applications (SNDE Annual Symposium, Paris)
August 28, 2006. Beta Regimes for the Yield Curve (Econometric Society European Meeting 2006, Vienna)
August 24, 2006. A Behavioral Foundation of Reward-Risk Portfolio Selection and the Asset Allocation Puzzle (European Finance Association 2006, Zurich)
March 15, 2006. A Risk-Reward Perspective on Prospect Theory with Application to the Asset Allocation Puzzle (BSI Gamma Foundation, Conference on Behavioral Finance, Frankfurt)
March 2, 2006. Beta Regimes for the Yield Curve (International Workshop "Risk Management: from Basel II to Basel III", Monte. Verità, Ascona, Switzerland)
November 4, 2005. Making Prospect Theory Fit for Finance (NHH Workshop, Norwegian School of Economics and Business Administration, Bergen)
October 21, 2005. Beta Regimes for the Yield Curve (RiskDay 2005, ETH Zurich, Zurich)
September 23, 2005. Alternative Risk Measures in Private Banking (Zurich Wealth Forum, University of Zurich, Zurich)
June 24, 2005. Evolutionary Portfolio Selection with Liquidity Shocks (11th International Conference on Computing in Economics and Finance, George Washington University, Washington D.C.)
June 14, 2005. Reward-Risk Portfolio Selection: from EUT to Behavioral Finance (International Summer School in “Risk Measurement and Management”, Istituto Svizzero di Roma, Rome)
April 6, 2005. Second Order Stochastic Dominance, Reward-Risk Portfolio Selection and the CAPM (International Conference on Risk Management and Quantitative Approaches in Finance, Hilton University of Florida Conference Center, Gainesville)
July 23, 2004. Reward-Risk Portfolio Selection and Stochastic Dominance (Third World Congress Bachelier Finance Society, InterContinental Hotel, Chicago)
June 19, 2004. Existence of CAPM Equilibria with Prospect Theory Preferences (13th European Workshop on General Equilibrium Theory, Venice International University, San Servelo Island, Venice)
June 11, 2004. A Credit Risk Model for Retail Portfolios (III Workshop on Risk Measurement and Control, Villa Mondragone, Rome)
June 9, 2004. Reward-Risk Portfolio Selection and the Expected Utility Paradigm (III Workshop on Risk Measurement and Control, Villa Mondragone, Rome)
June 4, 2004. Existence of CAPM Equilibria with Prospect Theory Preferences (FMA European Conference, InterContinental Hotel, Zurich)
April 23, 2004. La dominanza stocastica e la selezione di portafoglio con il modello di rendita-rischio (Risk Measures in the 21st Century, Università Bocconi, Milano)
December 19, 2003. Existence of CAPM Equilibria with Prospect Theory Preferences (AFFI Meeting, BNP Parisbas, Paris)
September 8, 2003. Reward-Risk Portfolio Selection for the two-periods model ( erc/METU International Conference in Economics VII, Economic Research Center, Middle East Technical University, Ankara)
June 13, 2003. Prospect Theory and the CAPM: A contradiction or coexistence? (Second Swiss Doctoral Workshop, Study Center Gerzensee)
June 13, 2002. An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios (2nd World Congress, Bachelier Finance Society, Sofitel Capsis Palace Center, Agia Pelagia, Crete).
October 24, 2001. An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios (UBS Warburg, London).
October 19, 2001. An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios (Risk Day 2001, ETH Zurich).
October 17, 2001. An Intensity Based Approach for Mortgage Portfolios (Credit Risk Summit 2001 Europe, London).
August 24, 2001. An Intensity Based Approach for Mortgage Portfolios (UBS AG, Dino Center, Oerlikon).

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Teaching