Dear Colleagues,

Please find below information about the second seminar “Financial Management Seminars - Theory Meets Practice”, organized by prof. Giuseppe Alesii. In order not to forget the opportunity, add this event to your calendar.

Speaker: Stefano Colucci (Pictet Asset Management, Milan)

When: Friday, April 29th, 2022, 17:00. 

Where: Microsoft Teams, name of the team “Financial Management Seminars - Theory Meets Practice”, code v7bx9or. The meeting is accessible through the link  

https://teams.microsoft.com/l/meetup-join/19%3asBxQuzOPVKnWrHSOD4RmQD6xSE9IoD3TCPOUC9gopwE1%40thread.tacv2/1648126376268?context=%7b%22Tid%22%3a%229df08a7c-31d7-4024-9ba6-5ed5efac1a01%22%2c%22Oid%22%3a%2262dbf026-cc65-492f-9373-b3e49001bc44%22%7d

Abstract: In this presentation we propose an extensive empirical analysis on three different categories of portfolio selection models, each focused on different objectives: minimization of risk, maximization of capital diversification, and uniform distribution of risk allocation. This latter approach, also called Risk Parity (RP) or Equal Risk Contribution (ERC), is a recent strategy for asset allocation, where the risk measure commonly used to select RP portfolios is volatility. We propose here new developments on the ERC approach based on Conditional Value-at-Risk as risk measure. We investigate how these classes of portfolio models (Minimum-Risk, Capital and Risk Diversification) work on seven investment universes, each with different sources of risk, which consist of equities, bonds and mixed assets. Then we highlight some strengths and weaknesses of all portfolio strategies in terms of various performance measures.

Bio: Stefano Colucci lavora in Pictet Asset Management da ottobre 2018 ed è Portfolio Analyst all’interno del team Multi Asset Euro, basato a Milano. Ha precedentemente lavorato per Symphonia SGR a Torino (Italia) come Senior Risk Manager dal 2007. Stefano si è laureato in Economics presso l’Università degli Studi dell’Aquila (AA 2003-2004), e in Scienze Statistiche all’Università di Torino (AA 2009-10). Ha ottenuto due master in Finance (2006-07) e un mater in Insurance & Risk Management (2011-12) al Collegio Carlo Alberto Moncalieri, Torino). Ha un Ph.D in Finance ottenuto all’Università degli Studi Roma Tre (2019). I suoi interessi di ricerca si focalizzano sul risk management e su metodi quantitativi per la selezione dei portafogli. Ha, inoltre, pubblicato 4 paper su peer reviewed journals.