Research – Homepage of Enrico De Giorgi

Working papers

De Giorgi Enrico, Askhat Omar and Thierry Post, Mental Framing Effects in Dynamics Portfolio Choice (March 2024).
De Giorgi E. (with Alessandra Cillo and Thierry Post): Analyzing Individual Bracketing Behaviour in Risk Aggregation Tasks (February 2024).
De Giorgi E. and Cédric Müller: Range-dependence and memory in portfolio selection and asset pricing (November 2023).
Apicella, Giovanna and Enrico De Giorgi: A Leveraged Gender Gap: The Combined Effect of Longevity Risk (Mis)-Perception and Financial Risk-Taking (February 2023).
De Giorgi, E. and Andrin Pelican: Econometric Equilibria for Non-cooperative Games (January 2021).
De Giorgi, E. (with Thomas Epper and Ola Mahmoud): A Behavioural Analysis of Investor, In preparation.
De Giorgi, E. (with Tatiana Dvinyaninova and Jacopo Conte): Momentum Strategies in a Prospect Theory Framework (December 2018).
De Giorgi E. (with Ola Mahmoud): How Elementary is Diversification? A Study of Children’s Portfolio Choice (September 2018).
De Giorgi E. (with Ola Mahmoud): Naive Diversification Preferences and their Representation (March 2018).
De Giorgi E. (with D.B. Brown and M. Sim): A Satisficing Alternative to Prospect Theory (May 2009).
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): CAPM Equilibria with Prospect Theory Preferences (August 2011).
De Giorgi E.: A Note on Portfolio Selection under Various Risk Measures (August 2002).

Published papers

Apicella, G. and E. De Giorgi (2024): A Behavioural Gap in Survival Beliefs, Journal of Risk and Insurance, 91(1), pp. 213-247.
Apicella, G. and E. De Giorgi, E. (2022). Gender Attitudes Toward Longevity and Retirement Planning: Theory and Evidence. In: Corazza, M., Perna, C., Pizzi, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. MAF 2022. Springer, Cham. https://doi.org/10.1007/978-3-030-99638-3_4
De Giorgi E., T. Post and A. Yalçın(2019): A Concave Security Market Line, Journal of Banking and Finance, Volume 106, September 2019, Pages 65-81.
De Giorgi E. and O. Mahmoud (2016): Diversification Preferences in the Theory of Choice, Decisions in Economics and Finance, 39(2), pp. 143-174.
Filipova K., F. Audrino and E. De Giorgi (2014): “Monetary Policy Regimes: Implications for the Yield Curve and Bond Pricing,” Journal of Financial Economics, 113(3), 427-454.
Brown D.B., E. De Giorgi and M. Sim (2012): “Aspirational preferences and their representation by risk measures,” Management Science, 58(11), pp. 2095-2113 (Online Appendix).
De Giorgi E. and S. Legg (2012): “Dynamic Portfolio Choice and Asset Pricing with Narrow Framing and Probability Weighting,” Journal of Economic Dynamics and Control, 36(7), pp. 951-972.
De Giorgi E., H. Levy and T. Hens (2012): “Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?,” European Financial Management, 18(2), pp. 163-182.
De Giorgi E. (2011): “Loss Aversion with Multiple Investment Goals,” Mathematics and Financial Economics, 5(3), pp. 203-227.
De Giorgi E. (2011): “A Behavioral Explanation of the Asset Allocation Puzzle,” Investment Management and Financial Innovations, 8(4), pp. 36-44.
De Giorgi E. and T. Post (2011): “Loss Aversion with a State-dependent Reference Point,” Management Science, 57(6), pp. 1094-1110.
De Giorgi E., T. Hens and J. Mayer (2011): “A Note on Reward-Risk Portfolio Selectionand Two-Fund Separation,” Finance Research Letters, 8(2), pp. 52-58.
De Giorgi E., T. Hens and M.O. Rieger (2010): “Financial Market Equilibria with Cumulative Prospect Theory,” Journal of Mathematical Economics,46(5), pp. 633–651.
De Giorgi E. and T. Hens (2009): “Prospect Theory and Mean-Variance Analysis: Does it Make a Difference in Wealth Management?,” Investment Management and Financial Innovations, 6(1), pp. 122-129.
De Giorgi E. and S. Reimann (2008): “The α-Beauty Contest: Choosing Numbers, Thinking Intervals,” Games and Economic Behavior, 64(2), pp. 470-486.
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): “The Grouped t-Copula with an Application to Credit Risk,” Risk, 16(11), pp. 73-76also appeared in: The Risk Annual. Technical Papers from the Cutting Edge Section of Risk, introduced by Nicholas Dunbar, Risk Books, pp. 537-548, 2004.