Zobrazeno 1 - 10
of 58
pro vyhledávání: '"Rosella Giacometti"'
Publikováno v:
Investment Management & Financial Innovations, Vol 5, Iss 3 (2017)
Externí odkaz:
https://doaj.org/article/a7928143ee714365b7d169669a47c237
Publikováno v:
Journal of Applied Mathematics, Vol 2013 (2013)
We discuss structural models based on Merton's framework. First, we observe that the classical assumptions of the Merton model are generally rejected. Secondly, we implement a structural credit risk model based on stable non-Gaussian processes as a r
Externí odkaz:
https://doaj.org/article/f4930f0b64da43519805aeca2a300ab1
Publikováno v:
Investment Management & Financial Innovations, Vol 6, Iss 3 (2009)
Externí odkaz:
https://doaj.org/article/7459d7e08d154f2b92b89e4667748cb6
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:
Computational Management Science. 17:549-567
The global financial crisis in 2008, and the European sovereign debt crisis in 2010, highlighted how credit risk in banking sectors cannot be analysed from a uniquely micro-prudential perspective, focused on individual institutions, but it has instea
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a7f1dcbfe6424384ddd0439a8b0c8687
https://doi.org/10.1007/s10287-020-00385-2
https://doi.org/10.1007/s10287-020-00385-2
Publikováno v:
Annals of Operations Research. 292:833-848
This paper examines the impact of the joints tails of the portfolio return and its empirical volatility on the optimal portfolio choices. We assume that the portfolio return and its volatility dynamic is approximated by a bivariate Markov chain const
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ec247ce2662fe341e90390a791b71cc2
https://doi.org/10.1007/s10479-020-03531-w
https://doi.org/10.1007/s10479-020-03531-w
Autor:
Gabriele Torri, Rosella Giacometti
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ef864d31628a3ef0ac434690a7b9a26d
https://doi.org/10.2139/ssrn.4018243
https://doi.org/10.2139/ssrn.4018243
Autor:
Gabriele Torri, Rosella Giacometti
Publikováno v:
Communications in Nonlinear Science and Numerical Simulation. 117:106924
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::44c070454f8d9d5e5e8cd9b486ce4f90
https://doi.org/10.1016/j.cnsns.2022.106924
https://doi.org/10.1016/j.cnsns.2022.106924
We consider a new measure of diversification for a portfolio of risky assets, and we address the problem of finding portfolios with maximum diversification, possibly with the addition of return constraints. The diversification measure is based on a c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______3668::196431d268a3dc3cc8fbfa76571eb7e4
https://hdl.handle.net/11590/418217
https://hdl.handle.net/11590/418217
Accurate estimation and optimal control of tail risk is important for building portfolios with desirable properties, especially when dealing with a large set of assets. In this work, we consider optimal asset allocations strategies based on the minim
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f8988c07a5f95496bbbf2bb3c40b676a
http://hdl.handle.net/10446/166961
http://hdl.handle.net/10446/166961