Gabriele Susinno

Pictet Asset Management SA

Route des Acacias 60

Geneva, 1211

Switzerland

http://https://www.am.pictet/#IndependentThinking

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 13,566

SSRN RANKINGS

Top 13,566

in Total Papers Downloads

4,683

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Ideas:
“  Characterization of behavioral characteristics of defensive equities  ”

Scholarly Papers (15)

1.

Demystifying Rebalancing Premium and Extending Portfolio Theory in the Process

Number of pages: 27 Posted: 07 Mar 2017
Vladislav Dubikovsky and Gabriele Susinno
MSCI Barra and Pictet Asset Management SA
Downloads 1,552 (15,003)
Citation 1

Abstract:

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Rebalancing Premium, MPT, Maximum growth, Samuelson, Markowitz, Wealth, Path dependence, Minimum Volatility, Defensive

2.

Embedded Options and Integrated Asset-Liability Management for Life Insurance

Seminario de Matematica Financiera, Vol. 3, pp. 203-218, 2003
Number of pages: 18 Posted: 20 Mar 2004
Gabriele Susinno
Pictet Asset Management SA
Downloads 853 (36,128)

Abstract:

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Insurance, options, ALM, HPC, linux, cluster

3.

News and Prices Divorce: Investment Strategies from Behavioral Finance

Number of pages: 4 Posted: 17 Jan 2005
Gabriele Susinno
Pictet Asset Management SA
Downloads 813 (38,627)

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Hedge funds, investment strategies, simulation, metropolis, dynamic ising, interacting agents

4.

Consequences of the Reduction of Interest Rates on Insurance

Number of pages: 22 Posted: 19 Apr 2000
Sergio Siglienti, Gabriele Susinno, S. Buttarazzi and G. Stamegna
Gruppo INA S.p.A., Pictet Asset Management SA, Gruppo INA S.p.A. and Gruppo INA S.p.A.
Downloads 317 (122,596)

Abstract:

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5.

Shortcomings in Advise Versus the Art and Science of Investing in Hedge Funds

Number of pages: 9 Posted: 16 Jan 2005
Gabriele Susinno
Pictet Asset Management SA
Downloads 307 (126,828)

Abstract:

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Hedge funds, portfolio optimization, correlation, advisers, diversification

6.

Demystifying Rebalancing Premium: A Methodological Path to Risk Premia Engineering

Number of pages: 29 Posted: 25 Jul 2015
Vladislav Dubikovsky and Gabriele Susinno
MSCI Barra and Pictet Asset Management SA
Downloads 301 (129,556)

Abstract:

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Volatility, Rebalancing Premium, Optimal Growth Portfolios, Rebalancing Bonus, Low Beta Anomaly, Alternative Beta, Risk Premia, Factor Investing

7.

Portfolio Blender: Blending Qualitative Expectations in Portfolio Optimization

Number of pages: 17 Posted: 14 May 2013
Gabriele Susinno, Olivier Powell and Jeremie Smaga
Pictet Asset Management SA, Unigestion SA and Noble Group
Downloads 295 (132,366)

Abstract:

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Black-Litterman, Portfolio Optimization, Hedge Funds, Qualitative Views

8.

Optimising Asset Allocation between Hedge Funds and Private Equity

Number of pages: 16 Posted: 25 Jul 2015
Gabriele Susinno and Christophe de Dardel
Pictet Asset Management SA and Unigestion SA
Downloads 84 (372,280)

Abstract:

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hedge funds, private equity, cross assets allocation, liquidity premium, option to redeem, real options, redemption fees

9.

Using Trees to Grow Money

Risk, Vol 16, No 11, November 2003, S11-S12
Number of pages: 2 Posted: 20 Mar 2013 Last Revised: 05 May 2013
Maria-Augusta Miceli and Gabriele Susinno
University of Rome Sapienza and Pictet Asset Management SA
Downloads 72 (406,619)

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Hedge Funds, Investment Strategies, Classification, Portfolio Diversification, Monitoring, Control

10.

Expected Returns Independent Allocations

Number of pages: 15 Posted: 29 Jul 2015
Gabriele Susinno
Pictet Asset Management SA
Downloads 52 (477,171)

Abstract:

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Risk Based Allocation, Equally Risk Weighted Portfolios, ERC, Diversification, Expected Returns, Robust Allocation

11.

Computing Journal: Stochastic-volatility Models with Optional Jumps

Number of pages: 43 Posted: 25 Jul 2015
Anna Pretre and Gabriele Susinno
BCV and Pictet Asset Management SA
Downloads 22 (635,596)

Abstract:

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Heston, Bates, Merton, Implied Volatility, Jump processes

12.

Market Dynamics as a Consequence of Local Complementarity and Global Substitutability in Agent's Strategies

Number of pages: 24 Posted: 02 Nov 2005 Last Revised: 23 Aug 2014
Michele Bagella, Rocco Ciciretti and Gabriele Susinno
University of Rome Tor Vergata - Faculty of Economics, Tor Vergata University of Rome - Department of Economics and Finance and Pictet Asset Management SA
Downloads 12 (709,570)
Citation 1

Abstract:

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13.

The predictive power of analysts and their impact on prices

Number of pages: 14
Pictet Asset Management, affiliation not provided to SSRN, Pictet Asset Management SA and Pictet Asset Management SA
Downloads 3

Abstract:

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Sell side analysts, Recommendations, Price impact, Graphical modeling, Analysts Strength

14.

Ultrametricity in Fund of Funds Diversification

Physica A, 2003
Posted: 20 Dec 2003
Gabriele Susinno and Maria-Augusta Miceli
Pictet Asset Management SA and University of Rome Sapienza

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Hedge Funds, Selection, Correlation, Random Matrices, Graphs, Taxonomy, Classification, Strategies, CTA,Global Macro

15.

Insurance Optional

Risk, Vol. 13, No. 4, April 2000
Posted: 03 Jul 2000
Gabriele Susinno and Claudio Giraldi
Pictet Asset Management SA and Gruppo INA S.p.A.

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