Dear Colleagues, We are pleased to announce that Prof. Liuren Wu will be visiting the Department of Economics and Management (DISEI) at the University of Florence and will deliver a seminar on Tuesday, April 21st. Speaker: Liuren Wu (Zicklin School of Business, Baruch College, City University of New York) Title: Separate Risk from Optionality Abstract: Investors are averse to risk but love convex payoffs. This paper proposes to use a security’s delta and vega exposures to differentiate the contributions from linear risks and convex payoffs. We construct the delta and vega exposures on the stock and bond of a company through a classic structural model representation, and build a joint stock and bond return factor model linking their return variation to their delta and vega exposure estimates. The delta factor portfolio targeting linear asset return risk generates a significantly positive average excess return. The vega portfolio targeting the optionality exposure generates a significantly negative average excess return. The separation of asset return risk from optionality sheds light on several market observations, including the distress puzzle in the stock and bond markets, the bet-against-beta anomaly, and time-varying stock-bond co-movements. The seminar will be held in person at 2:45 PM at DISEI, Via delle Pandette 9, 50127 Florence, Aula Bracco (1st floor, Building D6). Best Regard, Federico Maglione, PhD Assistant Professor of Mathematical Finance Erasmus+ Delegate ¦ Degree in Sustainable Business for Societal Challenges UNIVERSITY OF FLORENCE Department of Economics and Management Via delle Pandette, 9, 50127 Firenze