3 papers in the archive (2023–2026), average empirical rigor 6.7/10, average math complexity 6.8/10. Quadrant mix: Holy Grail ×3.
Works mostly in Portfolio Optimization, Factor Investing & Asset Pricing, Risk Management & Tail Risk, Fixed Income & Interest Rates.
Frequent co-authors: Carlo Bechi (1), Gabriele Sbaiz (1), Matteo Ghesini (1), Davide Stocco (1), Lorenzo Viola (1), Roberto Baviera (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
Monroe (1978) demonstrates that any local semimartingale can be represented as a time-changed Brownian Motion (BM). A natural question arises: does this representation theorem hold when the BM and the time-change are independent? We prove that a local semimartingale is not equivalent to a BM with a
Climate-related phenomena are increasingly affecting regions worldwide, manifesting as floods, water scarcity, and heat waves, significantly impairing companies’ assets and productivity. It is essential for asset managers to quantify the exposure of their portfolios to such risk. To this aim, we dev
Driven by the increasing frequency and intensity of natural disasters and chronic climate threats, we investigate the impact of physical climate risk on global equity portfolios. By employing a panel regression analysis on sectoral returns, we provide statistical evidence that extreme temperature ev