94 results on '"Ortobelli, Sergio"'
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2. On the use of conditional expectation in portfolio selection problems
3. Mean–variance vs trend–risk portfolio selection
4. Fusion of multiple diverse predictors in stock market
5. Asymptotic stochastic dominance rules for sums of i.i.d. random variables
6. The Problem of Optimal Asset Allocation with Stable Distributed Returns
7. On the impact of conditional expectation estimators in portfolio theory
8. On the impact of semidefinite positive correlation measures in portfolio theory
9. Optimal Portfolio Selection and Risk Management: A Comparison between the Stable Paretian Approach and the Gaussian One
10. Time-Scale Transformations: Effects on VaR Models
11. Calibrating affine stochastic mortality models using term assurance premiums
12. Risk management and dynamic portfolio selection with stable Paretian distributions
13. Relative deviation metrics and the problem of strategy replication
14. Delta hedging strategies comparison
15. Moment based approaches to value the risk of contingent claim portfolios
16. Portfolio selection with stable distributed returns
17. Modeling, estimation, and optimization of equity portfolios with heavy-tailed distributions
18. A COMPARISON AMONG PERFORMANCE MEASURES IN PORTFOLIO THEORY
19. The Problem of Optimal Asset Allocation with Stable Distributed Returns
20. Time-Scale Transformations: Effects on VaR Models
21. A Comparison of Gaussian and Non-Gaussian Portfolio Choice Models
22. Portfolio Choice Theory with Non-Gaussian Distributed Returns
23. Non-Gaussian Distribution for Var Calculation
24. Theoretical and practical motivations for the use of the moving average rule in the stock market
25. Non-Gaussian Distribution for Var Calculation: an Assessment for the Italian Market
26. A Comparison of Gaussian and Non-Gaussian Portfolio Choice Models
27. Theoretical and practical motivations for the use of the moving average rule in the stock market.
28. On the use of conditional expectation in portfolio selection problems
29. Portfolio selection strategy for fixed income markets with immunization on average
30. Portfolio selection strategy for fixed income markets with immunization on average.
31. Some implications of the moving average rule usage for portfolio trading
32. Portfolio Selection with Uncertainty Measures Consistent with Additive Shifts
33. Portfolio selection in the presence of systemic risk
34. Chapter 5 - Modeling, estimation, and optimization of equity portfolios with heavy-tailed distributions
35. Optimal portfolio performance with exchange traded funds
36. BACK MATTER
37. FRONT MATTER
38. Euro Bonds
39. The impact of association measures within the portfolio dimensionality reduction problem
40. Orderings and Probability Functionals Consistent with Preferences
41. DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
42. Moment based approaches to value the risk of contingent claim portfolios
43. THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
44. Different Approaches to Risk Estimation in Portfolio Theory
45. A NOTE ON THE IMPACT OF NON LINEAR REWARD AND RISK MEASURES.
46. PORTFOLIO SELECTION BASED ON A SIMULATED COPULA.
47. SEMIPARAMETRIC ESTIMATORS FOR HEAVY TAILED DISTRIBUTIONS.
48. Analysis of the Factors Influencing Momentum Profits.
49. Chapter 14 - Portfolio choice theory with non-Gaussian distributed returns
50. Chapter 38 - A Comparison of Gaussian and Non-Gaussian Portfolio Choice Models
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