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Vittorio Moriggia
Vittorio Moriggia
Associate Professor of Computer Science in Finance, University of Bergamo
Η διεύθυνση ηλεκτρονικού ταχυδρομείου έχει επαληθευτεί στον τομέα unibg.it
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Παρατίθεται από
Παρατίθεται από
Έτος
Postoptimality for scenario based financial planning models with an application to bond portfolio management
J Dupacová, M Bertocchi, V Moriggia
Worldwide Asset and Liability Modeling 10, 263, 1998
591998
Individual optimal pension allocation under stochastic dominance constraints
M Kopa, V Moriggia, S Vitali
Annals of Operations Research 260, 255-291, 2018
492018
Sensitivity of bond portfolio's behavior with respect to random movements in yield curve: A simulation study
M Bertocchi, V Moriggia, J Dupačová
Annals of Operations Research 99, 267-286, 2000
492000
Pension fund management with hedging derivatives, stochastic dominance and nodal contamination
V Moriggia, M Kopa, S Vitali
Omega 87, 127-141, 2019
422019
Retirement planning in individual asset–liability management
G Consigli, G Iaquinta, V Moriggia, M Di Tria, D Musitelli
IMA Journal of Management Mathematics 23 (4), 365-396, 2012
392012
Horizon and stages in applications of stochastic programming in finance
M Bertocchi, V Moriggia, J Dupačová
Annals of Operations Research 142, 63-78, 2006
332006
Path-dependent scenario trees for multistage stochastic programmes in finance
G Consigli, G Iaquinta, V Moriggia
Quantitative Finance 12 (8), 1265-1281, 2012
312012
Long-term individual financial planning under stochastic dominance constraints
G Consigli, V Moriggia, S Vitali
Annals of Operations Research 292 (2), 973-1000, 2020
212020
Dynamic portfolio management for property and casualty insurance
G Consigli, M Tria, M Gaffo, G Iaquinta, V Moriggia, A Uristani
Stochastic Optimization Methods in Finance and Energy: New Financial …, 2011
192011
Portfolio optimization with asset preselection using data envelopment analysis
MM Hosseinzadeh, S Ortobelli Lozza, F Hosseinzadeh Lotfi, V Moriggia
Central european journal of operations research 31 (1), 287-310, 2023
182023
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
182021
On the no-arbitrage condition in option implied trees
V Moriggia, S Muzzioli, C Torricelli
European Journal of Operational Research 193 (1), 212-221, 2009
182009
Evaluation of scenario reduction algorithms with nested distance
M Horejšová, S Vitali, M Kopa, V Moriggia
Computational Management Science 17 (2), 241-275, 2020
172020
Euro bonds: Markets, infrastructure and trends
M Bertocchi, G Consigli, R Giacometti, V Moriggia, S Ortobelli, ...
World Scientific, 2013
172013
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
162018
Pricing nondiversifiable credit risk in the corporate Eurobond market
J Abaffy, M Bertocchi, J Dupačová, V Moriggia, G Consigli
Journal of Banking & Finance 31 (8), 2233-2263, 2007
162007
Testing the structure of multistage stochastic programs
J Dupačová, M Bertocchi, V Moriggia
Computational Management Science 6, 161-185, 2009
152009
Applying stochastic programming to insurance portfolios stress-testing
G Consigli, V Moriggia
Quantitative Finance Letters 2 (1), 7-13, 2014
132014
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
Bond portfolio management via stochastic programming
M Bertocchi, V Moriggia, J Dupačová
Handbook of asset and liability management, 305-336, 2008
122008
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