Zobrazeno 1 - 10
of 47
pro vyhledávání: '"Diana Barro"'
Publikováno v:
Mathematics, Vol 12, Iss 15, p 2424 (2024)
Recently, liquidity issues in financial markets and portfolio asset management have attracted much attention among investors and scholars, fuelling a stream of research devoted to exploring the role of liquidity in investment decisions. In this paper
Externí odkaz:
https://doaj.org/article/d246868257804d8c9d368045e3df6013
Publikováno v:
SSRN Electronic Journal.
We introduce elements of Cumulative Prospect Theory into the portfolio selection problem and then compare stock portfolios selected under the behavioral approach with those selected according to classical approaches, such as Mean Variance and Mean Ab
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::15dfec87e2068a97f4b31461a78e85f3
https://doi.org/10.2139/ssrn.3764530
https://doi.org/10.2139/ssrn.3764530
Volatility-based and volatility targeting approaches have become popular among equity fund managers after the introduction in 1993 of the VIX, the implied volatility index on the S&P500 at the Chicago Board of Exchange (CBOE), followed, in 2004, by f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4941dd5b735cf6ac9e81561434622caa
http://hdl.handle.net/10446/128497
http://hdl.handle.net/10446/128497
Autor:
Diana Barro
Publikováno v:
Mathematical and Statistical Methods for Actuarial Sciences and Finance ISBN: 9783319898230
In recent years the awareness of social, environmental and governance issues associated with investments have drawn relevant interest in the investment industry. Investors are more careful in considering investments that comply with their ethical and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6c7537d11511a483794d06e3c37c7ad4
https://doi.org/10.1007/978-3-319-89824-7_17
https://doi.org/10.1007/978-3-319-89824-7_17
Autor:
Elio Canestrelli, Diana Barro
The paper suggests a possible cooperation between stochastic programming and optimal control for the solution of multistage stochastic optimization problems. We propose a decomposition approach for a class of multistage stochastic programming problem
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b8d1641542982e0e1d81c68d2a3a6fa0
http://hdl.handle.net/10278/3665370
http://hdl.handle.net/10278/3665370
Autor:
Antonella Basso, Diana Barro
Publikováno v:
European Journal of Operational Research. 205:459-468
This contribution studies the effects of credit contagion on the credit risk of a portfolio of bank loans. To this aim we introduce a model that takes into account the counterparty risk in a network of interdependent firms that describes the presence
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::87ce17c935db77e2827779d17efd931c
https://doi.org/10.1016/j.ejor.2010.01.017
https://doi.org/10.1016/j.ejor.2010.01.017
Autor:
Diana Barro, Elio Canestrelli
Publikováno v:
Annals of Operations Research. 165:47-66
We study multistage tracking error problems. Different tracking error measures, commonly used in static models, are discussed as well as some problems which arise when we move from static to dynamic models. We are interested in dynamically replicatin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::010ffe613f3868bfbaf6629c3aa2d630
https://doi.org/10.1007/s10479-007-0308-8
https://doi.org/10.1007/s10479-007-0308-8
Autor:
Elio Canestrelli, Diana Barro
Publikováno v:
European Journal of Operational Research. 163:217-229
We study a dynamic portfolio management problem over a finite horizon with transaction costs and a risk averse objective function. We assume that the uncertainty faced by the investor can be modelled or approximated using discrete probability distrib
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f572bb99e93b2ffa4662b42f6d0359dc
https://doi.org/10.1016/j.ejor.2004.01.012
https://doi.org/10.1016/j.ejor.2004.01.012
Publikováno v:
SSRN Electronic Journal.
As a consequence of recent market conditions an increasing number of investors are realizing the importance of controlling tail risk to reduce drawdowns thus increasing possibilities of achieving long-term objectives. Recently, so called volatility c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::af2e5084ab2da2a54443684e8c0ce6c5
https://doi.org/10.2139/ssrn.2521007
https://doi.org/10.2139/ssrn.2521007