Details about Paolo Vanini

Access statistics for papers by Paolo Vanini.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pva551

Working Papers

2012

1. Fiancial Innovation, Structuring and Risk Transfer
   MPRA Paper, University Library of Munich, Germany

2009

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

2007

3. Staying on the Dole
   Hannover Economic Papers (HEP), Leibniz 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

4. 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 (13)
   See also Journal Article Learning and Asset Prices Under Ambiguous Information, The Review of Financial Studies, Society for Financial Studies (2008) View citations (52) (2008)

2002

5. A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities
   FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (5)
   See also Journal Article A geometric approach to multiperiod mean variance optimization of assets and liabilities, Journal of Economic Dynamics and Control, Elsevier (2004) View citations (55) (2004)

Journal Articles

2011

1. Arbitrage Free Price Bounds for Property Derivatives
   The Journal of Real Estate Finance and Economics, 2011, 43, (3), 281-298 View citations (2)

2010

2. Stated and revealed investment decisions concerning retail structured products
   Journal of Banking & Finance, 2010, 34, (6), 1400-1411 View citations (15)

2008

3. Learning and Asset Prices Under Ambiguous Information
   The Review of Financial Studies, 2008, 21, (6), 2565-2597 View citations (52)
   See also Working Paper Learning and Asset Prices under Ambiguous Information, University of St. Gallen Department of Economics working paper series 2005 (2005) View citations (13) (2005)
4. Property Derivatives and Index-Linked Mortgages
   The Journal of Real Estate Finance and Economics, 2008, 36, (1), 23-35 View citations (6)

2007

5. A simple model of credit contagion
   Journal of Banking & Finance, 2007, 31, (8), 2475-2492 View citations (58)
6. Credit portfolios: What defines risk horizons and risk measurement?
   Journal of Banking & Finance, 2007, 31, (12), 3663-3679 View citations (9)

2006

7. Equilibrium impact of value-at-risk regulation
   Journal of Economic Dynamics and Control, 2006, 30, (8), 1277-1313 View citations (18)
8. Optimal credit limit management under different information regimes
   Journal of Banking & Finance, 2006, 30, (2), 463-487 View citations (3)

2004

9. A geometric approach to multiperiod mean variance optimization of assets and liabilities
   Journal of Economic Dynamics and Control, 2004, 28, (6), 1079-1113 View citations (55)
   See also Working Paper A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities, FAME Research Paper Series (2002) View citations (5) (2002)
10. An analysis of IMF-induced moral hazard
    Journal of Banking & Finance, 2004, 28, (12), 2933-2956 View citations (5)
11. Robustness and Ambiguity Aversion in General Equilibrium
    Review of Finance, 2004, 8, (2), 279-324 View citations (35)
    Also in Review of Finance, 2004, 8, (2), 279-324 (2004) View citations (31)

2003

12. On Habits and Addictions
    Journal of Institutional and Theoretical Economics (JITE), 2003, 159, (4), 603-626 View citations (2)

2002

13. A Note on the Three–Portfolios Matching Problem
    European Financial Management, 2002, 8, (4), 515-527 View citations (1)
14. 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 (33)
15. Optimal Decision-Making with Time Diversification
    Review of Finance, 2002, 6, (1), 1-30