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Sebastiano Vitali
标题
引用次数
引用次数
年份
Individual optimal pension allocation under stochastic dominance constraints
M Kopa, V Moriggia, S Vitali
Annals of Operations Research 260, 255-291, 2018
462018
Pension fund management with hedging derivatives, stochastic dominance and nodal contamination
V Moriggia, M Kopa, S Vitali
Omega 87, 127-141, 2019
372019
Multi-chronological hierarchical clustering to solve capacity expansion problems with renewable sources
R Domínguez, S Vitali
Energy 227, 120491, 2021
202021
Long-term individual financial planning under stochastic dominance constraints
G Consigli, V Moriggia, S Vitali
Annals of Operations Research 292 (2), 973-1000, 2020
192020
Portfolio selection strategy for fixed income markets with immunization on average
S Ortobelli, S Vitali, M Cassader, T Tichý
Annals of Operations Research 260, 395-415, 2018
172018
Optimal multistage defined-benefit pension fund management
G Consigli, V Moriggia, E Benincasa, G Landoni, F Petronio, S Vitali, ...
Handbook of Recent Advances in Commodity and Financial Modeling …, 2018
142018
Evaluation of scenario reduction algorithms with nested distance
M Horejšová, S Vitali, M Kopa, V Moriggia
Computational Management Science 17 (2), 241-275, 2020
132020
Optimal pension fund composition for an Italian private pension plan sponsor
S Vitali, V Moriggia, M Kopa
Computational Management Science 14, 135-160, 2017
122017
Analysing decarbonizing strategies in the European power system applying stochastic dominance constraints
R Domínguez, S Vitali, M Carrión, V Moriggia
Energy Economics 101, 105438, 2021
112021
Implied volatility and state price density estimation: arbitrage analysis
M Kopa, S Vitali, T Tichý, R Hendrych
Computational Management Science 14, 559-583, 2017
102017
Some results on pricing of selected exotic options via subordinated Lévy models
T Tichý, M Kopa, S Vitali
Managing and Modelling of Financial Risks, 610-617, 2012
102012
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming
G Consigli, V Moriggia, S Vitali, L Mercuri
Computational Management Science 15 (3), 599-632, 2018
92018
A conservative discontinuous target volatility strategy
S Cirelli, SO Lozza, V Moriggia
Investment Management & Financial Innovations 14 (2), 176, 2017
72017
Comparing stage-scenario with nodal formulation for multistage stochastic problems
S Vitali, R Domínguez, V Moriggia
4OR 19 (4), 613-631, 2021
52021
Pension fund management with investment certificates and stochastic dominance
S Vitali, V Moriggia
Annals of Operations Research 299 (1), 273-292, 2021
52021
Homogeneous self-dual methods for symmetric cones under uncertainty
B Alzalg, F Maggioni, S Vitali
FAR EAST JOURNAL OF MATHEMATICAL SCIENCES: FJMS 99 (11), 1603-1632, 2016
42016
Esperienza Erasmus: motivazioni e timori prima della partenza
V Caviezel, AM Falzoni, S Vitali
STATISTICA & SOCIETÀ 5 (1-2), 2016
42016
The pricing of convertible bonds in the presence of structured conversion clauses: the case of Cashes
M Bertocchi, V Moriggia, C Torricelli, S Vitali
International Journal of Financial Engineering and Risk Management 2 (2), 73-86, 2015
42015
Exogenous market changes analysis using artificial options volatility
M Maciak, S Vitali
32023
Implied volatility surface estimation via quantile regularization
M Maciak, M Pešta, S Vitali
Analytical Methods in Statistics: AMISTAT, Liberec, Czech Republic …, 2020
32020
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