Department of Finance Tel: +44 (0) 20 7000 8242
London Business School Mobile: +44 (0) 78 3359 4027
Regent’s Park E-mail: agraniero.phd2010@london.edu
London, NW1 4SA https://sites.google.com/site/alessandrograniero
United Kingdom
EDUCATION
2010- present LONDON BUSINESS SCHOOL
Ph.D. Candidate in Finance
Advisor: Christian Heyerdahl-Larsen
2010-2012 LONDON BUSINESS SCHOOL
M.Res. in Finance, September 2012
Advisor: Christian Heyerdahl-Larsen
2007-2009 UNIVERSITY OF TURIN, FACULTY OF BUSINESS AND ECONOMICS
Master in Finance (M.Sc.), 2009
Advisor: Giovanna Nicodano
2004-2007 UNIVERSITY OF TURIN, FACULTY OF BUSINESS AND ECONOMICS
Laurea Triennale (B.Sc. equivalent) in Finance, 2007
RESEARCH INTERESTS
My research interests are in the fields of Asset Pricing, Heterogeneous Beliefs and Life-Cycle Models.
WORKING PAPERS
Asset Prices and Portfolio Choice with Learning from Experience (with P. Ehling and C. Heyerdahl-Larsen)
We study asset prices and portfolio choice in an overlapping generations economy in which the young disregard history to learn from own experience. In equilibrium, the young act as trend chasers as they increase their investment in risky assets after a positive return. Since the young have less precise estimates of consumption growth they lose wealth and consumption shares to the old. Consistent with findings from survey data, the average belief about expected returns in the economy is negatively related to future realized returns.
Portfolio Choice for Retirees: Medical Costs Risk over the Business Cycle
This paper solves a realistically calibrated life cycle model of consumption and portfolio choice with non-insurable medical expenditures that fluctuate over the business cycle. The fluctuation of medical ex- penditures is modeled through the correlation between shock to medical expenditures and innovations to real interest rates. The introduction of such correlation in the set-up with uncertain out-of-pocket med- ical expenditures explains the portfolio allocation over the life cycle in the Health and Retirement Study. The portfolio allocation is more tilted towards the risk-less asset. The model for males produces a declin- ing profile of stock holdings while the model for females predicts a flatter pattern. The main difference among genders seems to be due to the variances of the shocks to the out-of-pocket medical expenditures. Moreover, the presence of the correlation generates more precautionary savings in the last years of the life cycle, when medical expenditures risk becomes more important, compared to a model that doesn’t allow for this correlation.
Confidence Risk in a Production-Based Asset Pricing Model
Preliminary.
HONORS AND AWARDS
2012 Argonne-Chicago Initiative for Computational Economics Summer Workshop (ICE12)
2010 London Business School, M.Res. Program Financial Award
TEACHING EXPERIENCE
2012 Investments, Teaching Assistant, London Business School
2012 Asset Pricing, Teaching Assistant, London Business School
2009 Financial Economics, M.Sc., Teaching Assistant, Collegio Carlo Alberto 2006-2007 Financial Intermediaries, B.Sc., Teaching Assistant, University of Turin
CONFERENCES
2015 North American Winter Meeting of the Econometric Society, Boston, USA.
2014 Conference on Behavioural Aspects in Macroeconomics and Finance, Milan, Italy.
2014 FIRN Asset Pricing Group Meeting, Melbourne, Australia (co-author).
2014 EEA, Toulouse School of Economics, Toulouse, France.
2014 ESSFM, Gerzensee, Switzerland (co-author).
2014 WFA, Monterrey, California, USA.
2014 22nd Mitsui Finance Symposium, Ross School of Business, University of Michigan, Ann Harbor, Michigan, USA.
2012 Argonne-Chicago Initiative for Computational Economics Summer Workshop (ICE12).
PROFESSIONAL EXPERIENCE
2005 Accounting office, ELPE S.p.A, Turin, Italy
ADDITIONAL INFORMATION
Languages: Italian (native), English (fluent), Spanish (moderate).
Sport: Football, I have played professionally for over 15 years in Italy.
TRANSFER COMMITTEE
Christian Heyerdahl-Larsen(Advisor)
Assistant Professor of Finance
London Business School, Department of Finance, Regent’s Park, Sussex Place, London, NW1 4SA, UK
cheyerdahllarsen@london.edu
+44 (0) 20 7000 8273
Helene Rey(Chair)
Professor of Economics
London Business School Department of Economics Regent’s Park, Sussex Place London, NW1 4SA, UK
hrey@london.edu
+44 (0) 20 7000 8412
Francisco Gomes
Professor of Finance
London Business School Department of Finance Regent’s Park, Sussex Place London, NW1 4SA, UK
fgomes@london.edu
+44-20-7000-8215