Luca Pezzo

Courses Taught:

Undergraduate: Investments, Portfolio Analysis, Derivatives Analysis, Statistics, Econometrics.

Master of Finance: Portfolio Analysis, Derivatives Analysis.

MBA: Investments. DBA/MSF: Research Methods in Finance.

Ph.D.: Econometrics, Derivatives, Investment theory, Macroeconomics.

• Ph.D., Washington University in St. Louis — Olin Business School, St. Louis, MO
• M.S. in Finance, Bocconi University, Milan, Italy
• B.A. in Business Administration, Bocconi University, Milan, Italy

I am broadly interested in asset pricing theory and empirics. My agenda is structured around the following questions:

1. What are the determinants of the wedge between theoretical and actual prices in financial markets?
2. What are the implications for investment decisions?

Transaction costs are one determinant of the wedge. They are typically neglected in theory models but far from second order in many realities. For example, minimizing over transaction costs in the very liquid FX market dramatically increases after-cost performance. Proportional and fixed costs in the much less liquid real estate market, in the form of brokerage fees and opportunity costs, can also play an important role in the investment decision process.