Details about Claudio Tebaldi

Access statistics for papers by Claudio Tebaldi.

Last updated 2025-07-07. Update your information in the RePEc Author Service.

Short-id: pte303

Working Papers

2023

1. Supply Chain Finance and Firm Capital Structure
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2022

2. Optimal order execution under price impact: A hybrid model
   Papers, arXiv.org View citations (2)
   See also Journal Article Optimal order execution under price impact: a hybrid model, Annals of Operations Research, Springer (2024) (2024)
3. Star-shaped Risk Measures
   Papers, arXiv.org View citations (26)
   See also Journal Article Star-Shaped Risk Measures, Operations Research, INFORMS (2022) View citations (4) (2022)

2019

4. Consumer Protection and the Design of the Default Option of a Pan-European Pension Product
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2018

5. Levered Returns and Capital Structure Imbalances
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
6. The scale of predictability
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (5)
   Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2014) View citations (2)
   CIRANO Working Papers, CIRANO (2015) View citations (1)
   See also Journal Article The scale of predictability, Journal of Econometrics, Elsevier (2019) View citations (23) (2019)

2017

7. A Multivariate Model of Strategic Asset Allocation with Longevity Risk
   Post-Print, HAL View citations (5)
   Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2013)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015)
   See also Journal Article A Multivariate Model of Strategic Asset Allocation with Longevity Risk, Journal of Financial and Quantitative Analysis, Cambridge University Press (2017) View citations (5) (2017)
8. Multivariate Wold Decompositions
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)

2015

9. The Price of the Smile and Variance Risk Premia
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (12)
   See also Journal Article The Price of the Smile and Variance Risk Premia, Management Science, INFORMS (2021) View citations (3) (2021)

2011

10. The Relative Leverage Premium
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (3)

2006

11. Illiquid Assets and Optimal Portfolio Choice
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (28)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2004) View citations (1)

2002

12. Hedging using simulation: a least squares approach
    Computing in Economics and Finance 2002, Society for Computational Economics
    See also Journal Article Hedging using simulation: a least squares approach, Journal of Economic Dynamics and Control, Elsevier (2005) View citations (3) (2005)

Journal Articles

2024

1. Financial Contagion in Network Economies and Asset Prices
   Management Science, 2024, 70, (1), 484-506
2. Optimal order execution under price impact: a hybrid model
   Annals of Operations Research, 2024, 336, (1), 605-636
   See also Working Paper Optimal order execution under price impact: A hybrid model, Papers (2022) View citations (2) (2022)
3. Saving for retirement in Europe: the long-term risk-return tradeoff
   Journal of Pension Economics and Finance, 2024, 23, (2), 272-293

2023

4. Multivariate Wold decompositions: a Hilbert A-module approach
   Decisions in Economics and Finance, 2023, 46, (1), 45-96

2022

5. Star-Shaped Risk Measures
   Operations Research, 2022, 70, (5), 2637-2654 View citations (4)
   See also Working Paper Star-shaped Risk Measures, Papers (2022) View citations (26) (2022)

2021

6. The Price of the Smile and Variance Risk Premia
   Management Science, 2021, 67, (7), 4056-4074 View citations (3)
   See also Working Paper The Price of the Smile and Variance Risk Premia, Swiss Finance Institute Research Paper Series (2015) View citations (12) (2015)

2020

7. A persistence‐based Wold‐type decomposition for stationary time series
   Quantitative Economics, 2020, 11, (1), 203-230 View citations (10)

2019

8. The scale of predictability
   Journal of Econometrics, 2019, 208, (1), 120-140 View citations (23)
   See also Working Paper The scale of predictability, LSE Research Online Documents on Economics (2018) View citations (5) (2018)

2017

9. A Multivariate Model of Strategic Asset Allocation with Longevity Risk
   Journal of Financial and Quantitative Analysis, 2017, 52, (5), 2251-2275 View citations (5)
   See also Working Paper A Multivariate Model of Strategic Asset Allocation with Longevity Risk, Post-Print (2017) View citations (5) (2017)

2013

10. Long-Run Risk and the Persistence of Consumption Shocks
    The Review of Financial Studies, 2013, 26, (11), 2876-2915 View citations (62)

2009

11. A "COHERENT STATE TRANSFORM" APPROACH TO DERIVATIVE PRICING
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (02), 125-151

2008

12. A multifactor volatility Heston model
    Quantitative Finance, 2008, 8, (6), 591-604 View citations (77)
13. SOLVABLE AFFINE TERM STRUCTURE MODELS
    Mathematical Finance, 2008, 18, (1), 135-153 View citations (41)

2007

14. Option pricing when correlations are stochastic: an analytical framework
    Review of Derivatives Research, 2007, 10, (2), 151-180 View citations (77)

2005

15. Hedging using simulation: a least squares approach
    Journal of Economic Dynamics and Control, 2005, 29, (8), 1287-1312 View citations (3)
    See also Working Paper Hedging using simulation: a least squares approach, Computing in Economics and Finance 2002 (2002) (2002)

2001

16. Hedging a Portfolio of Derivative Securities: A Simulation Approach
    Economic Notes, 2001, 30, (2), 257-279

Books

2025

1. Lectures on the Theory and Application of Modern Finance with R and ChatGPT
   World Scientific Books, World Scientific Publishing Co. Pte. Ltd.

Chapters

2019

1. Optimal Asset Allocation with Heterogeneous Persistent Shocks and Myopic and Intertemporal Hedging Demand
   Chapter 4 in Behavioral Finance The Coming of Age, 2019, pp 57-108 View citations (1)