Quaderni di Dipartimento [serie ordinaria - Anno 2022]

ELENCO DEI QUADERNI DI DIPARTIMENTO - WORKING PAPERS

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ISSN: 2279-9559 (dal n. 1 al n. 157), 2279-9567 (dal n. 158 al n. 363), 2279-9575 (dal n. 364 in poi)

  • Paper nr. 461
Title:  Reconciling TEV and VaR in Active Portfolio Management: A New Frontier
Authors:  Riccardo Lucchetti, Mihaela Nicolau, Giulio Palomba, Luca Riccetti
Abstract:
This article investigates the risk-return relationship of managed portfolios when two risk indicators, the Tracking Error Volatility (TEV) and the Value-at-Risk (VaR), are both constrained not to exceed pre-set maximum values. While in some cases these constraints may not be mutually compatible, it is often possible to find portfolios that satisfy both constraints. In this paper, we analyze the problem of choosing among these.
Focusing on the trade-off between the joint restrictions that can be imposed on both risk indicators, we de^Lne the Risk Balancing Frontier (RBF), a new portfolio boundary in the traditional absolute risk-total return space, that contains all the portfolios characterized by the minimum VaR attainable for each TEV level. We show that the RBF is the set of all tangency portfolios between two well-known frontiers: the so-called Constrained Tracking Error Volatility Frontier (Jorion, 2003) and the Constrained Value-at-Risk Frontier (Alexander and Baptista, 2008). Thus, the RBF is useful for analyzing the agency problem in delegated portfolio management. The RBF does not have a closed-form de^Lnition and must be determined numerically: to this aim, we develop a fast and accurate algorithm.
JEL Codes: C61, G11
Keywords: Benchmarking, portfolio frontiers, tracking error volatility, Value-at-Risk, misalignment of objectives
 
  • Paper nr. 460
Title:  THE IMPACT OF COVID-19 LOCKDOWN ON THE GENDER GAP IN THE ITALIAN LABOUR MARKET
Authors:  Giulia Bettin, Isabella Giorgetti, Stefano Staffolani
Abstract: 
We study the gendered impact of the nationwide lockdown (March-May 2020) due to the Covid-19 pandemic on the Italian labour market. By using Labour Force Survey data on the first three quarters of 2020, we define a Triple Difference-in-Differences (DDD) strategy by exploiting the exact timing of the lockdown implementation. We found that in non essential sectors (treated group) the lockdown enlarged pre-existent gender inequalities in the extensive margin of labour force participation: the probability of job loss got 0.7 p.p. higher among female workers compared to their male counterparts, and this difference was mainly detected during the reopening period rather than in the strict lockdown phase. The probability to benefit from the wage guarantee fund (CIG) was also higher for female compared to male treated workers (3.6 p.p.), both during the lockdown and in the reopening phase. This is a great change with respect to the past, when men had always been more likely to benefit from this measure due to the fact that CIG application was traditionally restricted to male-dominated sectors of
employment. On the other hand, no significant gender differences emerged among the treated group either on the intensive margin, in terms of working hours, or in terms of remote working, at least in the medium-term.
JEL Codes: C21, D04, J16, J21
Keywords: Covid-19, lockdown, labour market, gender gap, difference-indifferences
 
 
  • Paper nr. 459
Title: NON-MONETARY MOTIVATIONS OF AGROENVIRONMENTAL POLICIES ADOPTION. A CAUSAL FOREST APPROACH.
Authors: Roberto Esposti
Abstract: 
This paper investigates the non-monetary motivations of farmers' adoption of agro-environmental policies. Unlike the monetary (income) motivations, non-monetary drivers can not be directly observed but can be identified from observational data within appropriate quasiexperimental designs. A theoretical justification of farmers' choices is firstly formulated and a consequent natural experiment setting is derived. This latter admits heterogeneous, i.e. Individual, Treatment Effects (ITE) that, in turn, can be interpreted in terms of more targeted and tailored policy expenditure. A Causal Forest (CF) approach is adopted to estimate these ITEs for both the treated and not treated units. The approach is applied to two balanced panel samples of Italian FADN farms observed over the 2008-2018 period. Results show how heterogeneous the farmers' response and the associated non-monetary motivations can be, thus pointing to space for a more efficient policy design.
JEL Codes: C21, Q15, Q51
Keywords: Agro-Environmental Policy, Common Agricultural Policy, Behavioural Motivations, Individual Treatment Effects, Causal Forests.