Zobrazeno 1 - 10
of 60
pro vyhledávání: '"Giorgio Consigli"'
Autor:
Marida Bertocchi, Giorgio Consigli, Rosella Giacometti, Vittorio Moriggia, Sergio Ortobelli, Rita Laura D'ecclesia
Euro Bonds: Markets, Infrastructure and Trends presents the most recent developments in the Euro bond market. It discusses the problems of the Euro countries, the proposed solutions advocated by European as well as international institutions and inve
Publikováno v:
Quantitative Finance. 22:1759-1784
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::08bf79609927f48bafe430ba0ed5f979
https://doi.org/10.1080/14697688.2022.2092329
https://doi.org/10.1080/14697688.2022.2092329
Publikováno v:
OR Spectrum. 44:967-1007
We apply a dynamic stochastic control (DSC) approach based on an open-loop linear feedback policy to a classical asset-liability management problem as the one faced by a defined-benefit pension fund (PF) manager. We assume a PF manager seeking an opt
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::000fa573ae06f64c23d315838ea08bd5
https://doi.org/10.1007/s00291-022-00673-0
https://doi.org/10.1007/s00291-022-00673-0
Publikováno v:
Quantitative Finance. 22:28-30
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6c71f3637e3aec92a9015828b3ff8bd8
https://doi.org/10.1080/14697688.2021.2013621
https://doi.org/10.1080/14697688.2021.2013621
Publikováno v:
Annals of Operations Research. 292:575-580
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9be1a3fdcaca07cddf82327a73c1a208
https://doi.org/10.1007/s10479-020-03672-y
https://doi.org/10.1007/s10479-020-03672-y
Publikováno v:
Annals of Operations Research
We introduce a new stochastic dominance relationship, the interval-based stochastic dominance (ISD). By choosing different reference points, we show that ISD may span a continuum of preferences between kth and \documentclass[12pt]{minimal} \usepackag
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::da56522d19911bac4399ed9d7eb179db
https://pubmed.ncbi.nlm.nih.gov/34483426
https://pubmed.ncbi.nlm.nih.gov/34483426
Publikováno v:
Annals of Operations Research. 292:973-1000
We analyse an optimal goal-based households’ asset-liability management problem characterised by a real estate target and a retirement goal over a long-term planning horizon. The problem is formulated as a multistage stochastic program and we evalu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::da23da9ab8c40b4a1b469843058abbf9
https://doi.org/10.1007/s10479-019-03253-8
https://doi.org/10.1007/s10479-019-03253-8
Publikováno v:
Annals of Operations Research. 292:849-881
Global financial investors have been confronted in recent years with an increasing frequency of market shocks and returns’ outliers, until the unprecedented surge of financial risk observed in 2008. From a statistical viewpoint, those market dynami
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bc6533cde3929101571dc1e4652f3547
https://doi.org/10.1007/s10479-019-03147-9
https://doi.org/10.1007/s10479-019-03147-9
Autor:
Giorgio Consigli
The second edition of Optimization Methods in Finance comes 11 years after the successful first edition with a relevant extension to include material on mean-variance portfolio selection and multi-...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bf46a565bda5af1c857148a3840f4105
http://hdl.handle.net/10446/138248
http://hdl.handle.net/10446/138248