Details about Paolo Vanini

Access statistics for papers by Paolo Vanini.

Last updated 2009-10-14. Update your information in the RePEc Author Service.

Short-id: pva303

Working Papers

2007

1. Staying on the Dole
   Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover, Universität Hannover, Wirtschaftswissenschaftliche Fakultät
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006)
   Discussion Papers, University of Copenhagen. Department of Economics (2006)

2005

2. Learning and Asset Prices under Ambiguous Information
   University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen View citations
   See also Journal Article in Review of Financial Studies (2008)

2002

3. A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities
   FAME Research Paper Series, International Center for Financial Asset Management and Engineering
   See also Journal Article in Journal of Economic Dynamics and Control (2004)

Undated

4. An Intergenerational Cross-Country Swap
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

Journal Articles

2008

1. Learning and Asset Prices Under Ambiguous Information
   Review of Financial Studies, 2008, 21, (6), 2565-2597 View citations
   See also Working Paper (2005)
2. Property Derivatives and Index-Linked Mortgages
   The Journal of Real Estate Finance and Economics, 2008, 36, (1), 23-35

2007

3. A simple model of credit contagion
   Journal of Banking & Finance, 2007, 31, (8), 2475-2492 View citations
4. Credit portfolios: What defines risk horizons and risk measurement?
   Journal of Banking & Finance, 2007, 31, (12), 3663-3679

2006

5. Equilibrium impact of value-at-risk regulation
   Journal of Economic Dynamics and Control, 2006, 30, (8), 1277-1313 View citations
6. Optimal credit limit management under different information regimes
   Journal of Banking & Finance, 2006, 30, (2), 463-487

2004

7. A geometric approach to multiperiod mean variance optimization of assets and liabilities
   Journal of Economic Dynamics and Control, 2004, 28, (6), 1079-1113
   See also Working Paper (2002)
8. An analysis of IMF-induced moral hazard
   Journal of Banking & Finance, 2004, 28, (12), 2933-2956 View citations
9. Robustness and Ambiguity Aversion in General Equilibrium
   Review of Finance, 2004, 8, (2), 279-324 View citations

2003

10. On Habits and Addictions
    Journal of Institutional and Theoretical Economics (JITE), 2003, 159, (4), 603-

2002

11. A Note on the Three-Portfolios Matching Problem
    European Financial Management, 2002, 8, (4), 515-527
12. A note on robustness in Merton's model of intertemporal consumption and portfolio choice
    Journal of Economic Dynamics and Control, 2002, 26, (3), 423-435 View citations