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Risultati da 1 a 20 di 144
Data di pubblicazione Titolo Autore/i Tipologia Documento allegato
1-gen-2001 Safety-first analysis and stable Paretian approach to portfolio choice theory ORTOBELLI LOZZA, Sergio; Rachev, Svetlozar T. 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2001 The classification of parametric choices under uncertainty: Analysis of the portfolio choice problem ORTOBELLI LOZZA, Sergio 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2002 Portfolio selection with stable distributed returns ORTOBELLI LOZZA, Sergio; Huber, Isabella; Schwartz, Eduardo 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2004 The problem of optimal asset allocation with stable distributed returns Schwartz, Eduardo; ORTOBELLI LOZZA, Sergio; Rachev, SVETLOZAR T. 1.2 Contributi in volume - Book chapters::1.2.01 Contributi in volume (Capitoli o Saggi) - Book Chapters/Essays
1-gen-2004 Optimal portfolio selection and risk management: a comparison between the stable paretian approach and the Gaussian one ORTOBELLI LOZZA, Sergio; Rachev, Svetlozar T.; Huber, I.; Biglova, A. 1.2 Contributi in volume - Book chapters::1.2.01 Contributi in volume (Capitoli o Saggi) - Book Chapters/Essays
1-gen-2004 Risk measures for asset allocation models ORTOBELLI LOZZA, Sergio; Giacometti, Rosella 1.2 Contributi in volume - Book chapters::1.2.01 Contributi in volume (Capitoli o Saggi) - Book Chapters/Essays
1-gen-2004 Different approaches to risk estimation in portfolio theory ORTOBELLI LOZZA, Sergio; Biglova, Almira; Rachev, SVETLOZAR T.; Stoyanov, Stoyan 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2004 Time-scale transformations: effects on VaR models Lamantia, Fabio; ORTOBELLI LOZZA, Sergio; Rachev, Svetlozar T. 1.2 Contributi in volume - Book chapters::1.2.01 Contributi in volume (Capitoli o Saggi) - Book Chapters/Essays
1-gen-2005 Portfolio selection with heavy tailed distributions ORTOBELLI LOZZA, Sergio; Biglova, Almira; Huber, Isabella; Stoyanov, Stoyan; Racheva, Boryana 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2005 The proper use of the risk measures in the Portfolio Theory ORTOBELLI LOZZA, Sergio; Rachev, SVETLOZAR T.; Stoyanov, Stoyan; Fabozzi, FRANK J.; Biglova, Almira 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2005 The Impact of Different Distributional Hypothesis on Returns in Asset Allocation Bertocchi, Maria; Giacometti, Rosella; Ortobelli Lozza, Sergio; Rachev, Svetlozar Todorov 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2005 A comparison among performance measures in portfolio theory ORTOBELLI LOZZA, Sergio; Biglova, Armira; Stoyanov, Stoyan; Rachev, Svetlozar; Fabozzi, Frank 1.4 Contributi in atti di convegno - Contributions in conference proceedings::1.4.01 Contributi in atti di convegno - Conference presentations
1-gen-2005 The proper use of risk measures in portfolio theory ORTOBELLI LOZZA, Sergio; Rachev, S.; Stoyanov, S.; Fabozzi, F.; Biglova, A. 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2006 Distributional Approximation of Asset Returns with Nonparametric Markovian Trees Iaquinta, Gaetano; ORTOBELLI LOZZA, Sergio 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2006 Computing the portfolio Conditional Value-at-Risk in the Alfa-stable case Stoyanov, Stoyan; Rachev, SVETLOZAR T.; Samorodnitsky, Gennady; ORTOBELLI LOZZA, Sergio 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2006 An empirical comparison among VaR models and time rules with elliptical and stable distributed returns Lamantia, Fabio; ORTOBELLI LOZZA, Sergio; Rachev, SVETLOZAR T. 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2006 VaR, CVaR and Time Rules with Elliptical and Asymmetric Stable Distributed Returns Lamantia, Fabio; ORTOBELLI LOZZA, Sergio; Rachev, SVETLOZAR T. 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
1-gen-2006 Option pricing with nonparametric Markovian trees Iaquinta, Gaetano; ORTOBELLI LOZZA, Sergio Working paper del Dipartimento di Scienze aziendali, economiche e metodi quantitativi::WPs - Lorenzo Mascheroni Dep. of Mathematics, Statistics, Computing and Applications (2004-2012)
1-gen-2006 Financial Risk Modeling with Markov Chains Leccadito, Arturo; ORTOBELLI LOZZA, Sergio; Russo, Emilio; Iaquinta, Gaetano 1.2 Contributi in volume - Book chapters::1.2.01 Contributi in volume (Capitoli o Saggi) - Book Chapters/Essays
1-gen-2007 A comparison among Portfolio Selection Models with Subordinated Lévy Processes ORTOBELLI LOZZA, Sergio; Staino, Alessandro; Massabò, Ivar 1.1 Contributi in rivista - Journal contributions::1.1.01 Articoli/Saggi in rivista - Journal Articles/Essays
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