Sergio Ortobelli Lozza
Sergio Ortobelli Lozza
Verified email at unibg.it
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
2582004
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
1282008
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
952005
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
562006
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
482003
The problem of optimal asset allocation with stable distributed returns
S Ortobelli, S Rachev, E Schwartz
392000
American and European portfolio selection strategies: the Markovian approach
E Angelelli, S Ortobelli
Financial hedging 5, 119-152, 2009
382009
Portfolio selection with stable distributed returns
S Ortobelli, I Huber, E Schwartz
Mathematical Methods of Operations Research 55 (2), 265-300, 2002
382002
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
312010
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
302006
The classification of parametric choices under uncertainty: analysis of the portfolio choice problem
SO Lozza
Theory and Decision 51 (2-4), 297-328, 2001
302001
Fusion of multiple diverse predictors in stock market
S Barak, A Arjmand, S Ortobelli
Information Fusion 36, 90-102, 2017
282017
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
282011
Orderings and probability functionals consistent with preferences
S Ortobelli, ST Rachev, H Shalit, FJ Fabozzi
Applied Mathematical Finance 16 (1), 81-102, 2009
282009
Optimal portfolio selection and Risk management: A comparison between the stable paretian approach and the Gaussian one
S Ortobelli, S Rachev, I Huber, A Biglova
Handbook of computational and numerical methods in finance, 197-252, 2004
252004
Relative deviation metrics and the problem of strategy replication
SV Stoyanov, ST Rachev, S Ortobelli, FJ Fabozzi
Journal of Banking & Finance 32 (2), 199-206, 2008
232008
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
232006
Portfolio selection problems consistent with given preference orderings
SO Lozza, H Shalit, FJ Fabozzi
International Journal of Theoretical and Applied Finance 16 (05), 1350029, 2013
212013
Delta hedging strategies comparison
D De Giovanni, S Ortobelli, S Rachev
European Journal of Operational Research 185 (3), 1615-1631, 2008
212008
Impact of different distributional assumptions in forecasting Italian mortality rates
R Giacometti, S Ortobelli, MI Bertocchi
Investment management and financial innovations 6 (3), 186-193, 2009
202009
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Articles 1–20