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Giovanni Barone-Adesi
SFI Faculty Member
Professor of Economics
  +41 58 666 47 53
  giovanni.barone-adesi@sfi.ch   http://usi.to/emk
Giovanni Barone-Adesi is Professor of Economics at the Università della Svizzera italiana. Prof. Barone-Adesi held an SFI Senior Chair from 2006 to 2016. He is President of OpenCapital, an asset management firm based in Lugano. His recent research has focused on developing new tools for the management of market risk.
Research Interests:
His research interests lie in derivative pricing, studies of market volatility, risk management, and the relationship between capital levels and risk-taking in banks.
Recent Research:
In recent research, Prof. Barone-Adesi and his coauthor investigate how one’s misperception of uncertainty leads to asset mispricing and subsequently skews portfolio investment decisions. Asset pricing models usually assume that investors rely on the full available spectrum of historic information to construct their optimal portfolio. The reality is that investors’ knowledge about future events cannot be perfectly forecasted and that predictions get poorer when the quality and the quantity of information available decreases. By releasing the naive assumption regarding investors’ full and perfect information usage, the researchers quantify an information premium – which equals the distance between a theoretically optimal portfolio and the one selected by an investor – and determine the share of information that is lost in the real world. Most of this information comes from investors’ forward-looking beliefs, which are complex to estimate when using only backward-looking data.