Homepage of Enrico De Giorgi

Enrico G. De Giorgi

Assistant Professor for Mathematics, University of St. Gallen

Contact Information

Publications

Working Papers

Qualification Works

Selected Presentations

Teaching

Curriculum vitae

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Research interests

The goal of my research is to contribute to the development of theoretical foundations for Behavioral Finance. Behavioral Finance is a subfield of financial economics which applies psychology to financial decision making and financial markets.

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Contact Information

Institute for Mathematics and Statistics
University of St. Gallen
Bodanstrasse 6
CH-9000 St. Gallen
Switzerland
Phone: +41-71-224 24 30
E-mail: enrico.degiorgi[at]unisg.ch

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Publications

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, Accepted.
De Giorgi E. (2011): "Loss Aversion with Multiple Investment Goals," Mathematics and Financial Economics, Accepted.
De Giorgi E., H. Levy and T. Hens (2011): "Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?," European Financial Management, Forthcoming.
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 Selection and 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. 73-76
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 and A. Yalçın): A Concave Security Market Line (NEW: January 2012).
De Giorgi E. (with D.B. Brown and M. Sim): Aspirational preferences and their representation by risk measures (NEW: January 2012).
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 (NEW: August 2011).
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 Presentations

Dual representation of choice and aspirational preferences (with D. B. Brown and M. Sim)

Risk, Uncertainty, and Decision 2010 (RUD) conference, Paris, June 20-July 2, 2010.
FUR XIV International Conference, University of Newcastle, June 15-18, 2010.

A Satisficing Alternative to Prospect Theory (with D.B. Brown and M. Sim)
- 5th Annual CARISMA Conference 2010: The Interface Of Behavioural Finance and Quantitative Finance (invited speaker), London, February 2-3, 2010.
- Workshop on Risk Measures and Robust Optimization in Finance, National University of Singapore, November 16-20, 2009.
- ESE Conferences Behavioural Economics, Erasmus School of Economics, Rotterdam, November 4, 2009.
Portfolio Selection with Narrow Framing: Probability Weighting Matters (with S. Legg)

15th International Conference on Computing in Economics and Finance, Sidney, Australia, July, 2009

Loss Aversion with a State-dependent Reference Point (with T. Post)

North American Winter Meeting of the Econometric Society, San Francisco, USA, January 4, 2009.

Computational Aspects of Prospect Theory with Asset Pricing Applications (with J. Mayer and T. Hens)

Society for Nonlinear Dynamics and Econometrics Annual Conference, Paris, France, March 15, 2007.

A Behavioral Foundation of Reward-Risk Portfolio Selection and the Asset Allocation Puzzle (with J. Mayer and T. Hens)

European Finance Association 2006, Zurich, Switzerland, August 22, 2006.
BSI Gamma Foundation Conference on Behavioural Finance, Frankfurt, Germany, March 15, 2006.

Beta Regimes for the Yield Curve (with F. Audrino)

IV International Summer School in Risk Management and Control, Rome, Italy, June 11, 2007.
Swiss Society of Economics and Statistics Annual Meeting, St. Gallen, Switzerland, March 23, 2007 (awarded with the Young Economist Award of the Swiss Society of Economics and Statistics).
Econometric Society European Meeting 2006, Vienna, Austria, August 28, 2006
International Workshop "Risk Management: From Basel II to Basel III," Monte Verità, Ascona, Switzerland, March 2, 2006.
RiskDay 2005, ETH Zurich, Zurich, Switzerland, October 21, 2005.

Evolutionary Portfolio Selection with Liquidity Shocks
- Annual Conference of the Society for the Advancement of Economic Theory, Kos, Greece, June 21, 2007.
- 11th International Conference on Computing in Economics and Finance, George Washington University, Washington D.C., USA, June 24, 2005.
Second Order Stochastic Dominance, Reward-Risk Portfolio Selection and the CAPM (with T. Post)
- 14th European Workshop on General Equilibrium Theory, Zurich, Switzerland, May 21, 2005.
- International Conference on Risk Management and Quantitative Methods in Finance, University of Florida, Gainesville, USA, April 6-8, 2005.
Existence of CAPM Equilibria with Prospect Theory Preferences (with H. Levy and T. Hens)
- NHH Workshop, Norwegian School of Economics and Business Administration, Bergen, Norway, November 4, 2005.
- 13th European Workshop on General Equilibrium Theory, Venice, Italy, June 19, 2004.
- 2004 Financial Management Association European Conference, Zurich, Switzerland, June 4, 2004.
- Meeting of the French Finance Association, Paris, December 19, 2003.
Reward-Risk Portfolio Selection and Stochastic Dominance
- Third World Congress Bachelier Finance Society, Chicago, USA, July 21-24, 2004.
- III Workshop on Risk Measurement and Control, Rome, Italy, Keynote Lecture, June 9, 2004.
- Workshop Risk Measures in the 21st Century, Università Bocconi, Milano, Italy, April 23, 2004.
- erc/METU International Conference in Economics, Ankara, Turkey, September 8, 2003 (awarded with the Young Economist Award of the Central Bank of the Republic of Turkey).
An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios (with J. Burkhard)
- II Workshop on Risk Measurement and Control, Rome, Italy, Keynote Lecture, June 11, 2004.
- 2nd World Congress, Bachelier Finance Society, Crete, June 13, 2002.
- RiskDay, ETH, Zurich, October 19, 2001.

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Teaching

University of St. Gallen

Mathematik II (Assessment Level: Spring Term 2011, Spring Term 2010)
Advanced Mathematics and Statistics (Master Level: Spring Term 2010)
Behavioural Finance (Master Level: Fall Term 2011, Fall Term 2010, Fall Term 2009)
Quantitative Risk Management (Master Level: Fall Term 2011, Fall Term 2010, Fall Term 2009)

University of Lugano

Financial Intermediation (Master Level: Spring Term 2011)
Risk Management (Master Level: Fall Term 2009, Fall Term 2008, Fall Term 2007, Winter Term 2006-2007, Winter Term 2005-2006)
Behavioural Finance (Master Level: Fall Term 2011, Spring Term 2010, Spring Term 2009, Spring Term 2008, Summer Term 2007)
Derivatives (Master Level: Summer Term 2006)

University of Zurich

Behavioural Portfolio Theory (PhD Level: Spring Term 2011, Fall Term 2009, Fall Term 2008, Fall Term 2007, Summer Term 2006)
Derivatives and Financial Engineering (Master Level: Summer Term 2004)

University of Lausanne