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Sergio Ortobelli Lozza
Sergio Ortobelli Lozza
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Title
Cited by
Cited by
Year
Different approaches to risk estimation in portfolio theory
A Biglova, S Ortobelli, ST Rachev, S Stoyanov
The Journal of Portfolio Management 31 (1), 103-112, 2004
3292004
Desirable properties of an ideal risk measure in portfolio theory
S Rachev, S Ortobelli, S Stoyanov, FJ Fabozzi, A Biglova
International Journal of Theoretical and Applied Finance 11 (01), 19-54, 2008
1592008
The proper use of risk measures in portfolio theory
S Ortobelli, ST Rachev, S Stoyanov, FJ Fabozzi, A Biglova
International Journal of Theoretical and Applied Finance 8 (08), 1107-1133, 2005
1282005
Fusion of multiple diverse predictors in stock market
S Barak, A Arjmand, S Ortobelli
Information Fusion 36, 90-102, 2017
972017
Computing the portfolio conditional value-at-risk in the alpha-stable case
SV Stoyanov, G Samorodnitsky, S Rachev, S Ortobelli Lozza
Probability and Mathematical Statistics 26 (1), 1-22, 2006
702006
Portfolio selection with stable distributed returns
S Ortobelli, I Huber, E Schwartz
Mathematical Methods of Operations Research 55, 265-300, 2002
532002
The problem of optimal asset allocation with stable distributed returns
S Ortobelli, S Rachev, E Schwartz
532000
Portfolio choice theory with non-Gaussian distributed returns
S Ortobelli, I Huber, ST Rachev, ES Schwartz
Handbook of Heavy Tailed Distributions in Finance, 547-594, 2003
512003
American and European portfolio selection strategies: The Markovian approach
E Angelelli, S Ortobelli
Technical Report n. 309, Department of Quantitative Methods, University of …, 2008
442008
Safety-first analysis and stable paretian approach to portfolio choice theory
ST Rachev
Mathematical and Computer Modelling 34 (9-11), 1037-1072, 2001
442001
Calibrating affine stochastic mortality models using term assurance premiums
V Russo, R Giacometti, S Ortobelli, S Rachev, FJ Fabozzi
Insurance: mathematics and economics 49 (1), 53-60, 2011
412011
Risk management and dynamic portfolio selection with stable Paretian distributions
S Ortobelli, ST Rachev, FJ Fabozzi
Journal of Empirical Finance 17 (2), 195-211, 2010
362010
An empirical comparison among VaR models and time rules with elliptical and stable distributed returns
F Lamantia, S Ortobelli, S Rachev
Investment Management and Financial Innovations, 8-29, 2006
362006
The classification of parametric choices under uncertainty: analysis of the portfolio choice problem
S Ortobelli Lozza
Theory and Decision 51, 297-328, 2001
362001
Delta hedging strategies comparison
D De Giovanni, S Ortobelli, S Rachev
European Journal of Operational Research 185 (3), 1615-1631, 2008
312008
Portfolio selection in the presence of systemic risk
A Biglova, S Ortobelli, FJ Fabozzi
Journal of Asset Management 15 (5), 285-299, 2014
302014
Diversification versus optimality: is there really a diversification puzzle?
S Ortobelli Lozza, WK Wong, FJ Fabozzi, M Egozcue
Applied Economics 50 (43), 4671-4693, 2018
282018
Orderings and probability functionals consistent with preferences
S Ortobelli, ST Rachev, H Shalit, FJ Fabozzi
Applied Mathematical Finance 16 (1), 81-102, 2009
282009
Impact of different distributional assumptions in forecasting Italian mortality rates
R Giacometti, S Ortobelli, MI Bertocchi
Investment management and financial innovations, 186-193, 2009
282009
VaR, CVaR and time rules with elliptical and asymmetric stable distributed returns
F Lamantia, S Ortobelli, S Rachev
Investment Management and Financial Innovations, 19-39, 2006
282006
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