Valerio Poti


School of Business
UCD Michael Smurfit Graduate Business School
University College Dublin, Carysfort Avenue, Blackrock
Co Dublin, Ireland

Tel: +353-1-7168961


Valerio is Professor of Finance in the Business School of University College Dublin, where he teaches portfolio and risk management as well as MBA corporate finance. He was previously in Dublin City University, where he taught courses on quantitative finance and risk modelling, led the development of the renewed M.Sc. in Finance and was head of Economics, Finance and Entrepreneurship. He graduated in Banking and Finance from Bocconi University Milan, gained a PhD in Finance from Trinity College Dublin, and subsequently conducted post-doctoral research in the Finance department of New York University Stern Business School as an International Visiting Research Scholar, under the mentoring of Professor Richard Levich. His research interests include asset pricing, performance attribution, market efficiency, behavioural finance, financial econometrics. His papers have been published or are forthcoming in International peer reviewed journals such as Management Science, the International Journal of Forecasting, the Journal of Banking and Finance, the Journal of International Money and Finance, European Financial Management, and he has contributed to practitioner-oriented books on portfolio and risk management. He also engages in consulting activities on risk and performance attribution and on issues related to the usage of derivatives to generate economic value. In the past, he taught International Finance at Queen's University Belfast and, before moving to academia, he worked as an equity option market maker on the Milan derivatives exchange and was the head of the Financial Engineering desk of the Dublin subsidiary of Banca Monte dei Paschi di Siena.




Year 2012 Institution: Open University
Qualification: Dip MathSc Subject:
Year 2007 Institution: Trinity College Dublin
Qualification: PhD Subject: PhD in Finance
Year 1995 Institution: Univ Commerciale 'Luigi Boccon
Qualification: BA Subject: Laurea in Economia (Economia degli Intermediari Finanziari)



Book Chapters

Poti, V. and D. Wang (2014) 'Performance Attribution for Chinese Investment Vehicles: An Application to Open-End Active Mutual Funds' In: Gregoriou, G.N. and D.K.C. Lee (eds). Handbook of Asian Finance: REITs, Trading, and Fund Performance. New York: Elsevier. [Details]
Poti, V. and M.G. Zoia (2014) 'Tailoring the logistic density to fit the distribution of financial asset returns' In: J. Bozeman, V. Girardin and C. H. Skiadas (eds). New Perspectives on Stochastic Modeling and Data Analysis. Athens: ISAST. [Details]
Poti, V. (2009) 'A DCC-VARMA Model of Portfolio Risk' In: Gregoriou, G.N (eds). Stock Market Volatility. London: Chapman Hall-CRC/Taylor & Francis. [Details]
(2008) 'Credit Risk Capital Allocation and Performance Measurement in Banking Institutions' In: Gregoriou, G.N. and C. Hoppe (eds). The Handbook of Credit Portfolio Management. New York: McGraw-Hill. [Details]
Poti, V. and E. Duffie (2006) 'Performance Persistence of Unit Funds: Evidence from a Small, Integrated Market' In: Gregoriou, G.N (eds). Performance of Mutual Funds. New York: Palgrave MacMillan. [Details]

Peer Reviewed Journals

Post, T. and V. Potì (2016) 'Portfolio Analysis Using Stochastic Dominance, Relative Entropy, and Empirical Likelihood'. Management Science, . Available Online [DOI] [Details]
Bredin, Don; Conlon, Thomas; Potì, Valerio (2015) 'Does gold glitter in the long-run? Gold as a hedge and safe haven across time and investment horizon'. International Review of Financial Analysis, 41 :320-328. Available Online [DOI] [Details]
Poti, V.; Levich, R. (2015) 'Preditctability and Good Deals in Currency Markets'. International Journal of Forecasting, 31 (2):454-472. Available Online [DOI] [Details]
Pattitoni, P. Petracci, B., Poti, V. and M. Spisni (2015) 'Fee Structure, Financing, and Investment Decisions: The Case of REITs'. Journal of European Real Estate Research, 8 (1):46-65. Available Online [DOI] [Details]
Poti, V., Levich, R.M., Pattitoni, P. and P. Cucurachi (2014) 'Predictability, Trading Rule Profitability and Learning in Currency Markets'. International Review of Financial Analysis, 33 :117-129. [DOI] [Details]
Poti, V., Sheffrin, H. (2014) 'The signature of sentiment in conditional consumption CAPM estimates: A note'. Journal of Behavioural and Experimental Finance, . Available Online [DOI] [Details]
Bagnato, L., Poti, V. and M.G. Zoia (2015) 'The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns'. Statistical Papers, 56 (4):1205-1234. Available Online [DOI] [Details]
Faliva, M., Zoia G. and V. Poti (2013) 'Orthogonal Polynomials for Tailoring Density Functions to Excess Kurtosis, Asymmetry and Dependence'. Communications in Statistics - Theory and Methods, . [Details]
Poti, V. and A.R. Siddique (2013) 'What Drives Currency Predictability'. Journal of International Money and Finance, 36 :86-106. [DOI] [Details]
P. Pattitoni, B. Petracci, Poti, V. and M. Spisni (2013) 'Cost of Entrepreneurial Capital and Under-diversification: A Euro-Mediterranean Perspective'. Research in International Business & Finance, . [Details]
Poti, V and D. Wang (2010) 'The Coskewness Puzzle'. Journal of Banking and Finance, . [Details]
D. Fahy, O¿Brian, M. and V. Poti (2010) 'From Boom to Bust: A Post-Celtic Tiger Analysis of the Norms, Values and Roles of Irish Financial Journalists'. Irish Communications Review, . [Details]
Kearney, C. and V. Poti (2008) 'Have European Stocks Become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro-Area'. European Financial Management, . [Details]
Kearney, C. (2006) 'Correlation Dynamics in European Equity Markets'. Research in International Business & Finance, . [Details]
Lucey, B, Tully, E. and V. Poti (2006) 'International Portfolio Formation, Skewness and the Role of Gold'. Frontiers in Finance and Economics, . [Details]
Poti, V. (2005) 'Discount Factor and Conditional Return Volatility'. Applied Economics Letters, . [Details]


Research Interests

My research is largely focused on asset pricing, models of economic and financial volatility, tests of market efficiency and behavioral economics, time-series econometrics and, more recently, corporate finance and SMEs financing. I have published in many high-quality peer-reviewed journals, including the International Journal of Forecasting, the Journal of Banking and Finance, the Journal of International Money and Finance, European Financial Management. Electronic copies of a number of my articles and working papers can be found on my (slightly out-of-date) website,, together with links to my NBER and SSRN (the most up-to-date) author pages.

A zip folder containing a Matlab script (and accompanying datasets) that performs the EL DSD test using the 2-step method described in the paper "Stochastic Efficiency Analysis using Relative Entropy and Empirical Likelihood" (Post, T. and V. Poti', 2015) is available at the following link (it's a bit heavy so it might take a while to open): zip folder on EL DSD test


Recent Postgraduates

Dr. DengLi Wang (asset pricing, completed in 2013)

Emmanuel Eyiah-Donkor (asset pricing and risk modelling, started in August 2013) 




Modules Coordinated

201500   FIN41360     Finance: Portfolio & Risk Mgt