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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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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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- Brown D.B., E. De Giorgi and M. Sim (2012): "Aspirational preferences and their representation by risk measures," Management Science, Accepted (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 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.
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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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- 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): 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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- 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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- 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