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1

Stable distributions in the Black–Litterman approach to asset allocation

Giacometti, Rosella, Bertocchi, Marida, Rachev, Svetlozar T., Fabozzi, Frank J.

Journal:

Quantitative Finance

Year:

2007

Language:

english

File:

PDF, 168 KB

english, 2007

2

A scenario-based framework for supply planning under uncertainty: stochastic programming versus robust optimization approaches

Maggioni, Francesca, Potra, Florian A., Bertocchi, Marida

Journal:

Computational Management Science

Year:

2017

Language:

english

File:

PDF, 830 KB

english, 2017

3

Risk factor analysis and portfolio immunization in the corporate bond market

Marida Bertocchi, Rosella Giacometti, Stavros A. Zenios

Journal:

European Journal of Operational Research

Year:

2005

Language:

english

File:

PDF, 744 KB

english, 2005

4

[International Series in Operations Research & Management Science] Stochastic Optimization Methods in Finance and Energy Volume 163 ||

Bertocchi, Marida, Consigli, Giorgio, Dempster, Michael A. H.

Year:

2011

Language:

english

File:

PDF, 17.17 MB

english, 2011

5

From data to model and back to data: A bond portfolio management problem

Jitka Dupačová, Marida Bertocchi

Journal:

European Journal of Operational Research

Year:

2001

Language:

english

File:

PDF, 213 KB

english, 2001

6

Sensitivity of Bond Portfolio's Behavior with Respect to Random Movements in Yield Curve: A Simulation Study

Marida Bertocchi, Vittorio Moriggia, Jitka Dupačová

Journal:

Annals of Operations Research

Year:

2000

Language:

english

File:

PDF, 236 KB

english, 2000

7

A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates

Rosella Giacometti, Marida Bertocchi, Svetlozar T. Rachev, Frank J. Fabozzi

Journal:

Insurance: Mathematics and Economics

Year:

2012

Language:

english

File:

PDF, 917 KB

english, 2012

8

Criteria for transforming a Z-matrix into an M-matrix

Abaffy, Jozsef, Bertocchi, Marida, Torrier, Anna

Journal:

Optimization Methods and Software

Year:

1992

Language:

english

File:

PDF, 489 KB

english, 1992

9

Optimizing the Aging, Retirement, and Pensions Dilemma (Bertocchi/Optimizing) || Should Defined Benefit Pension Schemes Be Career Average or Final Salary?

Bertocchi, Marida, Schwartz, Sandra L., Ziemba, William T.

Year:

2010

Language:

english

File:

PDF, 218 KB

english, 2010

10

Optimizing the Aging, Retirement, and Pensions Dilemma (Bertocchi/Optimizing) || The Various Costs of Pensions: Macro and Micro

Bertocchi, Marida, Schwartz, Sandra L., Ziemba, William T.

Year:

2010

File:

PDF, 172 KB

2010

11

Optimizing the Aging, Retirement, and Pensions Dilemma (Bertocchi/Optimizing) || The Innovest Austrian Pension Fund Financial Planning Model

Bertocchi, Marida, Schwartz, Sandra L., Ziemba, William T.

Year:

2010

File:

PDF, 262 KB

2010

12

Perturbations of M-matrices via ABS methods and their applications to input-output analysis

Jozsef Abaffy, Marida Bertocchi, Anna Torriero

Journal:

Applied Mathematics and Computation

Year:

1998

Language:

english

File:

PDF, 1.16 MB

english, 1998

13

A nonparametric model for analysis of the EURO bond market

Jozsef Abaffy, Marida Bertocchi, Jitka Dupačová, Rosella Giacometti, Marie Hušková, Vittorio Moriggia

Journal:

Journal of Economic Dynamics and Control

Year:

2003

Language:

english

File:

PDF, 339 KB

english, 2003

14

Testing the structure of multistage stochastic programs

Jitka Dupačová, Marida Bertocchi, Vittorio Moriggia

Journal:

Computational Management Science

Year:

2009

Language:

english

File:

PDF, 702 KB

english, 2009

15

Horizon and stages in applications of stochastic programming in finance

Marida Bertocchi, Vittorio Moriggia, Jitka Dupačová

Journal:

Annals of Operations Research

Year:

2006

Language:

english

File:

PDF, 564 KB

english, 2006

16

Preface

Marida Bertocchi, Georg C. Pflug, Hercules Vladimirou

Journal:

Annals of Operations Research

Year:

2009

Language:

english

File:

PDF, 130 KB

english, 2009

17

Extensions of the Ho and Lee interest-rate model to the multinomial case

Jozsef Abaffy, Marida Bertocchi, Adriana Gnudi

Journal:

European Journal of Operational Research

Year:

2005

Language:

english

File:

PDF, 351 KB

english, 2005

18

Bond portfolio management with repo contracts: the Italian case

Marida Bertocchi, Rosella Giacometti, Leon Slominski

Journal:

Annals of Operations Research

Year:

2000

Language:

english

File:

PDF, 223 KB

english, 2000

19

Sensitivity Analysis in Stochastic Second Order Cone Programming for Mobile Ad Hoc Networks

Francesca Maggioni, Stein W. Wallace, Marida Bertocchi, Elisabetta Allevi

Journal:

Procedia - Social and Behavioral Sciences

Year:

2010

Language:

english

File:

PDF, 111 KB

english, 2010

20

A stochastic model for investments in different technologies for electricity production in the long period

Vespucci, Maria Teresa, Bertocchi, Marida, Innorta, Mario, Zigrino, Stefano

Journal:

Central European Journal of Operations Research

Year:

2014

Language:

english

File:

PDF, 1.01 MB

english, 2014

21

[International Series in Operations Research & Management Science] Stochastic Optimization Methods in Finance and Energy Volume 163 || Dynamic Portfolio Management for Property and Casualty Insurance

Bertocchi, Marida, Consigli, Giorgio, Dempster, Michael A. H.

Year:

2011

Language:

english

File:

PDF, 1.11 MB

english, 2011

22

Bounds in Multistage Linear Stochastic Programming

Maggioni, Francesca, Allevi, Elisabetta, Bertocchi, Marida

Journal:

Journal of Optimization Theory and Applications

Year:

2014

Language:

english

File:

PDF, 1005 KB

english, 2014

23

Geometric and Computational Models of Chromatin Fibre Folding for Human Embryonic Stem Cells

Maggioni, Francesca, Bertocchi, Marida, Mosca, Ettore, Reinbold, Rolland, Zucchi, Ileana

Journal:

Procedia - Social and Behavioral Sciences

Year:

2014

Language:

english

File:

PDF, 808 KB

english, 2014

24

[IEEE 2013 10th International Conference on the European Energy Market (EEM 2013) - Stockholm, Sweden (2013.05.27-2013.05.31)] 2013 10th International Conference on the European Energy Market (EEM) - Stochastic optimization models for power generation capacity expansion with risk management

Vespucci, Maria Teresa, Bertocchi, Marida, Zigrino, Stefano, Escudero, Laureano F.

Year:

2013

Language:

english

File:

PDF, 368 KB

english, 2013

25

A leader-followers model of power transmission capacity expansion in a market driven environment

Pisciella, Paolo, Bertocchi, Marida, Vespucci, Maria Teresa

Journal:

Computational Management Science

Year:

2016

Language:

english

File:

PDF, 495 KB

english, 2016

26

[IEEE 2010 International Conference on Management and Service Science (MASS 2010) - Wuhan, China (2010.08.24-2010.08.26)] 2010 International Conference on Management and Service Science - A Multi-Stage Stochastic Electricity Portfolio Model with Forwards Contracts

Giacometti, Rosella, Vespucci, Maria Teresa, Bertocchi, Marida

Year:

2010

Language:

english

File:

PDF, 115 KB

english, 2010

27

A parallel algorithm for global optimization 1

Bertocchi, Marida

Journal:

Year:

1990

Language:

english

File:

PDF, 403 KB

english, 1990

28

[International Series in Operations Research & Management Science] Stochastic Optimization Methods in Finance and Energy Volume 163 || Short-Term Trading for Electricity Producers

Bertocchi, Marida, Consigli, Giorgio, Dempster, Michael A. H.

Year:

2011

Language:

english

File:

PDF, 854 KB

english, 2011

29

[International Series in Operations Research & Management Science] Stochastic Optimization Methods in Finance and Energy Volume 163 || Approximations for Probability Distributions and Stochastic Optimization Problems

Bertocchi, Marida, Consigli, Giorgio, Dempster, Michael A. H.

Year:

2011

Language:

english

File:

PDF, 1.38 MB

english, 2011

30

Euro Bonds (Markets, Infrastructure and Trends) || Credit Derivatives Market

Bertocchi, Marida, Consigli, Giorgio, D'Ecclesia, Rita, Giacometti, Rosella, Moriggia, Vittorio, Ortobelli, Sergio

Year:

2013

Language:

english

File:

PDF, 695 KB

english, 2013

31

Two-stage stochastic mixed integer optimization models for power generation capacity expansion with risk measures

Vespucci, Maria Teresa, Bertocchi, Marida, Pisciella, Paolo, Zigrino, Stefano

Journal:

Optimization Methods and Software

Year:

2015

Language:

english

File:

PDF, 1.23 MB

english, 2015

32

The pricing of convertible bonds in the presence of structured conversion clauses: the case of Cashes

Bertocchi, Marida, Moriggia, Vittorio, Torricelli, Costanza, Vitali, Sebastiano

Journal:

International Journal of Financial Engineering and Risk Management

Year:

2015

Language:

english

File:

PDF, 318 KB

english, 2015

33

Euro Bonds (Markets, Infrastructure and Trends) || Securitization Market

Bertocchi, Marida, Consigli, Giorgio, D'Ecclesia, Rita, Giacometti, Rosella, Moriggia, Vittorio, Ortobelli, Sergio

Year:

2013

Language:

english

File:

PDF, 710 KB

english, 2013

34

Monotonic bounds in multistage mixed-integer stochastic programming

Maggioni, Francesca, Allevi, Elisabetta, Bertocchi, Marida

Journal:

Computational Management Science

Year:

2016

Language:

english

File:

PDF, 765 KB

english, 2016

35

Highly parallel computing in simulation on dynamic bond portfolio management

Moriggia, Vittorio, Bertocchi, Marida, Dupaková, Jitka

Journal:

ACM SIGAPL APL Quote Quad

Year:

1999

Language:

english

File:

PDF, 522 KB

english, 1999

36

Optimizing the Aging, Retirement, and Pensions Dilemma (Bertocchi/Optimizing) || The Various Pillars of Retirement: Social Security, Company Pensions, Supplementary Pensions, and Private Savings

Bertocchi, Marida, Schwartz, Sandra L., Ziemba, William T.

Year:

2010

Language:

english

File:

PDF, 220 KB

english, 2010

37

Optimizing the Aging, Retirement, and Pensions Dilemma (Bertocchi/Optimizing) || An Individual ALM Model for Lifetime Asset-Liability Management

Bertocchi, Marida, Schwartz, Sandra L., Ziemba, William T.

Year:

2010

Language:

english

File:

PDF, 142 KB

english, 2010

38

Optimizing the Aging, Retirement, and Pensions Dilemma (Bertocchi/Optimizing) || The Current Economic Crisis and Its Impact on Retirement Decisions

Bertocchi, Marida, Schwartz, Sandra L., Ziemba, William T.

Year:

2010

Language:

english

File:

PDF, 201 KB

english, 2010

39

Optimizing the Aging, Retirement, and Pensions Dilemma (Bertocchi/Optimizing) ||

Bertocchi, Marida, Schwartz, Sandra L., Ziemba, William T.

Year:

2010

Language:

english

File:

PDF, 3.82 MB

english, 2010

40

Optimizing the Aging, Retirement, and Pensions Dilemma (Bertocchi/Optimizing) || Asset Classes: Historical Performance and Risk

Bertocchi, Marida, Schwartz, Sandra L., Ziemba, William T.

Year:

2010

Language:

english

File:

PDF, 848 KB

english, 2010

41

Optimizing the Aging, Retirement, and Pensions Dilemma (Bertocchi/Optimizing) || Front Matter

Bertocchi, Marida, Schwartz, Sandra L., Ziemba, William T.

Year:

2010

Language:

english

File:

PDF, 64 KB

english, 2010

42

Optimizing the Aging, Retirement, and Pensions Dilemma (Bertocchi/Optimizing) || Index

Bertocchi, Marida, Schwartz, Sandra L., Ziemba, William T.

Year:

2010

Language:

english

File:

PDF, 113 KB

english, 2010

43

Optimizing the Aging, Retirement, and Pensions Dilemma (Bertocchi/Optimizing) || The Impact of Population Aging on Household Portfolios and Asset Returns

Bertocchi, Marida, Schwartz, Sandra L., Ziemba, William T.

Year:

2010

File:

PDF, 249 KB

2010

44

Optimizing the Aging, Retirement, and Pensions Dilemma (Bertocchi/Optimizing) || Asset Allocation and Governance Issues of Government-Owned Pensions

Bertocchi, Marida, Schwartz, Sandra L., Ziemba, William T.

Year:

2010

File:

PDF, 133 KB

2010

45

Optimizing the Aging, Retirement, and Pensions Dilemma (Bertocchi/Optimizing) || Learning from Other Models

Bertocchi, Marida, Schwartz, Sandra L., Ziemba, William T.

Year:

2010

File:

PDF, 154 KB

2010

46

Optimizing the Aging, Retirement, and Pensions Dilemma (Bertocchi/Optimizing) || Implementation and Numerical Results of Individual ALM Model for Lifetime Asset-Liability Management

Bertocchi, Marida, Schwartz, Sandra L., Ziemba, William T.

Year:

2010

File:

PDF, 316 KB

2010

47

Optimizing the Aging, Retirement, and Pensions Dilemma (Bertocchi/Optimizing) || Conclusions

Bertocchi, Marida, Schwartz, Sandra L., Ziemba, William T.

Year:

2010

File:

PDF, 89 KB

2010

48

Optimizing the Aging, Retirement, and Pensions Dilemma (Bertocchi/Optimizing) || Applying Stochastic Programming to the US Defined Benefit Pension System

Bertocchi, Marida, Schwartz, Sandra L., Ziemba, William T.

Year:

2010

File:

PDF, 214 KB

2010

49

Optimizing the Aging, Retirement, and Pensions Dilemma (Bertocchi/Optimizing) || Mortality-Linked Securities and Derivatives

Bertocchi, Marida, Schwartz, Sandra L., Ziemba, William T.

Year:

2010

File:

PDF, 179 KB

2010

50

Optimizing the Aging, Retirement, and Pensions Dilemma (Bertocchi/Optimizing) || Issues in Individual Asset-Liability Management for Retirement

Bertocchi, Marida, Schwartz, Sandra L., Ziemba, William T.

Year:

2010

File:

PDF, 251 KB

2010

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