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1

Delta hedging strategies comparison

Domenico De Giovanni, Sergio Ortobelli, Svetlozar Rachev

Journal:

European Journal of Operational Research

Year:

2008

Language:

english

File:

PDF, 241 KB

english, 2008

2

Different Approaches to Risk Estimation in Portfolio Theory

Biglova, Almira, Ortobelli, Sergio, Rachev, Svetlozar T, Stoyanov, Stoyan

Journal:

The Journal of Portfolio Management

Year:

2004

Language:

english

File:

PDF, 1.45 MB

english, 2004

3

Relative deviation metrics and the problem of strategy replication

Stoyan V. Stoyanov, Svetlozar T. Rachev, Sergio Ortobelli, Frank J. Fabozzi

Journal:

Journal of Banking & Finance

Year:

2008

Language:

english

File:

PDF, 195 KB

english, 2008

4

DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY

RACHEV, SVETLOZAR, ORTOBELLI, SERGIO, STOYANOV, STOYAN, FABOZZI, FRANK J., BIGLOVA, ALMIRA

Journal:

International Journal of Theoretical and Applied Finance

Year:

2008

Language:

english

File:

PDF, 599 KB

english, 2008

5

Portfolio selection strategy for fixed income markets with immunization on average

Ortobelli, Sergio, Vitali, Sebastiano, Cassader, Marco, Tichý, Tomáš

Journal:

Annals of Operations Research

Year:

2016

Language:

english

File:

PDF, 2.01 MB

english, 2016

6

Calibrating affine stochastic mortality models using term assurance premiums

Vincenzo Russo, Rosella Giacometti, Sergio Ortobelli, Svetlozar Rachev, Frank J. Fabozzi

Journal:

Insurance: Mathematics and Economics

Year:

2011

Language:

english

File:

PDF, 251 KB

english, 2011

7

PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS

LOZZA, SERGIO ORTOBELLI, SHALIT, HAIM, FABOZZI, FRANK J.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2013

Language:

english

File:

PDF, 806 KB

english, 2013

8

THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY

ORTOBELLI, SERGIO, RACHEV, SVETLOZAR T., STOYANOV, STOYAN, FABOZZI, FRANK J., BIGLOVA, ALMIRA

Journal:

International Journal of Theoretical and Applied Finance

Year:

2005

Language:

english

File:

PDF, 494 KB

english, 2005

9

Orderings and Probability Functionals Consistent with Preferences

Ortobelli, Sergio, Rachev, Svetlozar T., Shalit, Haim, Fabozzi, Frank J.

Journal:

Applied Mathematical Finance

Year:

2009

Language:

english

File:

PDF, 639 KB

english, 2009

10

Theoretical and practical motivations for the use of the moving average rule in the stock market

Kouaissah, Noureddine, Orlandini, Davide, Ortobelli, Sergio, Tichý, Tomas

Journal:

IMA Journal of Management Mathematics

Year:

2019

File:

PDF, 3.50 MB

2019

11

Portfolio selection with stable distributed returns

Sergio Ortobelli, Isabella Huber, Eduardo Schwartz

Journal:

Mathematical Methods of Operations Research

Year:

2002

Language:

english

File:

PDF, 297 KB

english, 2002

12

Moment based approaches to value the risk of contingent claim portfolios

Gaetano Iaquinta, Fabio Lamantia, Ivar Massabò, Sergio Ortobelli

Journal:

Annals of Operations Research

Year:

2009

Language:

english

File:

PDF, 728 KB

english, 2009

13

The classification of parametric choices under uncertainty: analysis of the portfolio choice problem

Sergio Ortobelli Lozza

Journal:

Theory and Decision

Year:

2001

Language:

english

File:

PDF, 239 KB

english, 2001

14

Risk management and dynamic portfolio selection with stable Paretian distributions

Sergio Ortobelli, Svetlozar T. Rachev, Frank J. Fabozzi

Journal:

Journal of Empirical Finance

Year:

2010

Language:

english

File:

PDF, 749 KB

english, 2010

15

Structural Credit Risk Models with Subordinated Processes

Gurny, Martin, Ortobelli Lozza, Sergio, Giacometti, Rosella

Journal:

Journal of Applied Mathematics

Year:

2013

Language:

english

File:

PDF, 452 KB

english, 2013

16

Financial Applications of Bivariate Markov Processes

Ortobelli Lozza, Sergio, Angelelli, Enrico, Bianchi, Annamaria

Journal:

Mathematical Problems in Engineering

Year:

2011

Language:

english

File:

PDF, 299 KB

english, 2011

17

[IEEE 2015 12th International Conference on Service Systems and Service Management (ICSSSM) - Guangzhou, China (2015.6.22-2015.6.24)] 2015 12th International Conference on Service Systems and Service Management (ICSSSM) - Some implications of the moving average rule usage for portfolio trading

Tichy, Tomas, Orlandini, Davide, Kouaissah, Nouraddine, Ortobelli, Sergio

Year:

2015

Language:

english

File:

PDF, 295 KB

english, 2015

18

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

19

[IEEE 2015 Second International Conference on Mathematics and Computers in Sciences and in Industry (MCSI) - Sliema, Malta (2015.8.17-2015.8.17)] 2015 Second International Conference on Mathematics and Computers in Sciences and in Industry (MCSI) - Alternative Methods to Estimate the State Price Density

Lozza, Sergio Ortobelli, Kouaissah, Noureddine

Year:

2015

Language:

english

File:

PDF, 185 KB

english, 2015

20

Asymptotic stochastic dominance rules for sums of i.i.d. random variables

Ortobelli, Sergio, Lando, Tommaso, Petronio, Filomena, Tichý, Tomas

Journal:

Journal of Computational and Applied Mathematics

Year:

2016

Language:

english

File:

PDF, 3.07 MB

english, 2016

21

Set-Portfolio Selection with the Use of Market Stochastic Bounds

Lozza, Sergio Ortobelli, Angelelli, Enrico, Toninelli, Daniele

Journal:

Emerging Markets Finance and Trade

Year:

2011

Language:

english

File:

PDF, 918 KB

english, 2011

22

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

23

A COMPARISON AMONG PERFORMANCE MEASURES IN PORTFOLIO THEORY

Ortobelli, Sergio, Biglova, Almira, Stoyanov, Stoyan, Rachev, Svetlozar, Fabozzi, Frank

Journal:

IFAC Proceedings Volumes

Year:

2005

Language:

english

File:

PDF, 267 KB

english, 2005

24

On the impact of semidefinite positive correlation measures in portfolio theory

Ortobelli, Sergio, Tichý, Tomáš

Journal:

Annals of Operations Research

Year:

2015

Language:

english

File:

PDF, 1.07 MB

english, 2015

25

A portfolio return definition coherent with the investors' preferences

Ortobelli Lozza, Sergio, Petronio, Filomena, Lando, Tommaso

Journal:

IMA Journal of Management Mathematics

Year:

2015

Language:

english

File:

PDF, 878 KB

english, 2015

26

Asymptotic Multivariate Dominance: A Financial Application

Lozza, Sergio Ortobelli, Lando, Tommaso, Petronio, Filomena, Tichý, Tomáš

Journal:

Methodology and Computing in Applied Probability

Year:

2016

Language:

english

File:

PDF, 624 KB

english, 2016

27

Portfolio selection in the presence of systemic risk

Biglova, Almira, Ortobelli, Sergio, Fabozzi, Frank J

Journal:

Journal of Asset Management

Year:

2014

Language:

english

File:

PDF, 616 KB

english, 2014

28

Fusion of Multiple Diverse Predictors in Stock Market

Barak, Sasan, Arjmand, Azadeh, Ortobelli, Sergio

Journal:

Information Fusion

Year:

2016

Language:

english

File:

PDF, 1.09 MB

english, 2016

29

A Comparison of Gaussian and Non-Gaussian Portfolio Choice Models

Ortobelli, Sergio, Huber, Isabella, Höchstötter, Markus, Rachev, Svetlozar

Journal:

IFAC Proceedings Volumes

Year:

2001

Language:

english

File:

PDF, 3.69 MB

english, 2001

30

Safety First Portfolio Selection and Market Trend Analysis

Lozza, Sergio Ortobelli

Journal:

IFAC Proceedings Volumes

Year:

2003

Language:

english

File:

PDF, 742 KB

english, 2003

31

Non-Gaussian Distribution for Var Calculation: an Assessment for the Italian Market

Consiglio, Andrea, Massabò, Ivar, Ortobelli, Sergio

Journal:

IFAC Proceedings Volumes

Year:

2001

Language:

english

File:

PDF, 3.26 MB

english, 2001

32

On the use of conditional expectation in portfolio selection problems

Ortobelli, Sergio, Kouaissah, Noureddine, Tichý, Tomáš

Journal:

Annals of Operations Research

Year:

2018

Language:

english

File:

PDF, 1.38 MB

english, 2018

33

Timing portfolio strategies with exponential Lévy processes

Ortobelli Lozza, Sergio, Angelelli, Enrico, Ndoci, Alda

Journal:

Computational Management Science

Year:

2018

Language:

english

File:

PDF, 1.48 MB

english, 2018

34

Joint tails impact in stochastic volatility portfolio selection models

Bonomelli, Marco, Giacometti, Rosella, Ortobelli Lozza, Sergio

Journal:

Annals of Operations Research

Year:

2020

File:

PDF, 1.90 MB

2020

35

Multivariate stochastic dominance applied to sector-based portfolio selection

Kouaissah, Noureddine, Ortobelli Lozza, Sergio

Journal:

IMA Journal of Management Mathematics

Year:

2020

File:

PDF, 512 KB

2020

36

Second order of stochastic dominance efficiency vs mean variance efficiency

Malavasi, Matteo, Ortobelli Lozza, Sergio, TrÃ¼ck, Stefan

Journal:

European Journal of Operational Research

Year:

2020

File:

PDF, 2.60 MB

2020

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