Works matching IS 02545330 AND DT 2021 AND VI 299 AND IP 1/2

Results: 56

Preface: recent developments in financial modelling and risk management.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 1, doi. 10.1007/s10479-021-03958-9

By:

Cerqueti, Roy;
D'Ecclesia, Rita Laura;
Levantesi, Susanna

Publication type:

Article

Pension fund management with investment certificates and stochastic dominance.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 273, doi. 10.1007/s10479-020-03855-7

By:

Vitali, Sebastiano;
Moriggia, Vittorio

Publication type:

Article

Systemic risk assessment through high order clustering coefficient.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 1165, doi. 10.1007/s10479-020-03525-8

By:

Cerqueti, Roy;
Clemente, Gian Paolo;
Grassi, Rosanna

Publication type:

Article

Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 765, doi. 10.1007/s10479-020-03819-x

By:

Devolder, Pierre;
Levantesi, Susanna;
Menzietti, Massimiliano

Publication type:

Article

The European gas market: new evidences.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 963, doi. 10.1007/s10479-020-03714-5

By:

Jotanovic, Vera;
D'Ecclesia, Rita Laura

Publication type:

Article

Testing for persistence in US mutual funds' performance: a Bayesian dynamic panel model.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 1203, doi. 10.1007/s10479-020-03691-9

By:

Mamatzakis, Emmanuel;
Tsionas, Mike G.

Publication type:

Article

Optimal convergence trading with unobservable pricing errors.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 133, doi. 10.1007/s10479-020-03647-z

By:

Altay, Sühan;
Colaneri, Katia;
Eksi, Zehra

Publication type:

Article

The value of knowing the market price of risk.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 101, doi. 10.1007/s10479-020-03596-7

By:

Colaneri, Katia;
Herzel, Stefano;
Nicolosi, Marco

Publication type:

Article

A decision-dependent randomness stochastic program for asset–liability management model with a pricing decision.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 241, doi. 10.1007/s10479-020-03583-y

By:

Kopa, Miloš;
Rusý, Tomáš

Publication type:

Article

A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 659, doi. 10.1007/s10479-020-03571-2

By:

Yan, Dawen;
Zhang, Xiaohui;
Wang, Mingzheng

Publication type:

Article

Re-evaluating natural resource investments under uncertainty: An alternative to limited traditional approaches.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 907, doi. 10.1007/s10479-020-03569-w

By:

Maier, Sebastian

Publication type:

Article

Multi-asset scenario building for trend-following trading strategies.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 293, doi. 10.1007/s10479-020-03547-2

By:

Thomann, Andreas

Publication type:

Article

Capital allocation and RORAC optimization under solvency 2 standard formula.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 747, doi. 10.1007/s10479-020-03543-6

By:

Baione, Fabio;
De Angelis, Paolo;
Granito, Ivan

Publication type:

Article

Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help?

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 1317, doi. 10.1007/s10479-020-03515-w

By:

Guidolin, Massimo;
Pedio, Manuela

Publication type:

Article

Money's importance from the religious perspective.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 375, doi. 10.1007/s10479-019-03488-5

By:

Herteliu, Claudiu;
Jianu, Ionel;
Jianu, Iulia;
Bobb, Vasile Catalin;
Dhesi, Gurjeet;
Ceptureanu, Sebastian Ion;
Ceptureanu, Eduard Gabriel;
Ausloos, Marcel

Publication type:

Article

Managing foreign exchange risk with buyer–supplier contracts.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 1001, doi. 10.1007/s10479-019-03481-y

By:

Shanker, Latha;
Satir, Ahmet

Publication type:

Article

Peer effects in risk preferences: Evidence from Germany.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 1129, doi. 10.1007/s10479-019-03476-9

By:

Browne, Mark J.;
Hofmann, Annette;
Richter, Andreas;
Roth, Sophie-Madeleine;
Steinorth, Petra

Publication type:

Article

Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 847, doi. 10.1007/s10479-019-03458-x

By:

Benedetti, Davide;
Biffis, Enrico;
Chatzimichalakis, Fotis;
Fedele, Luciano Lilloy;
Simm, Ian

Publication type:

Article

Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 939, doi. 10.1007/s10479-019-03442-5

By:

Franzoni, Simona;
Pelizzari, Cristian

Publication type:

Article

Investment and operational decisions for start-up companies: a game theory and Markov decision process approach.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 317, doi. 10.1007/s10479-019-03426-5

By:

Archibald, Thomas W.;
Possani, Edgar

Publication type:

Article

Google search volumes for portfolio management: performances and asset concentration.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 163, doi. 10.1007/s10479-019-03424-7

By:

Maggi, Mario;
Uberti, Pierpaolo

Publication type:

Article

Atheoretical Regression Trees for classifying risky financial institutions.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 1357, doi. 10.1007/s10479-019-03406-9

By:

Cappelli, Carmela;
Di Iorio, Francesca;
Maddaloni, Angela;
D'Urso, Pierpaolo

Publication type:

Article

Enterprise risk management and economies of scale and scope: evidence from the German insurance industry.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 811, doi. 10.1007/s10479-019-03393-x

By:

Altuntas, Muhammed;
Berry-Stölzle, Thomas R.;
Cummins, J. David

Publication type:

Article

Banks' business strategies on the edge of distress.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 481, doi. 10.1007/s10479-019-03383-z

By:

Flori, Andrea;
Giansante, Simone;
Girardone, Claudia;
Pammolli, Fabio

Publication type:

Article

Long memory and crude oil's price predictability.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 895, doi. 10.1007/s10479-019-03376-y

By:

Cerqueti, Roy;
Fanelli, Viviana

Publication type:

Article

Volatility in the stock market: ANN versus parametric models.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 1101, doi. 10.1007/s10479-019-03374-0

By:

D'Ecclesia, Rita Laura;
Clementi, Daniele

Publication type:

Article

Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 1281, doi. 10.1007/s10479-019-03373-1

By:

Norton, Matthew;
Khokhlov, Valentyn;
Uryasev, Stan

Publication type:

Article

The interconnectedness of the economic content in the speeches of the US Presidents.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 593, doi. 10.1007/s10479-019-03372-2

By:

Cinelli, Matteo;
Ficcadenti, Valerio;
Riccioni, Jessica

Publication type:

Article

CVA and vulnerable options pricing by correlation expansions.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 401, doi. 10.1007/s10479-019-03367-z

By:

Antonelli, F.;
Ramponi, A.;
Scarlatti, S.

Publication type:

Article

Minimum Rényi entropy portfolios.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 23, doi. 10.1007/s10479-019-03364-2

By:

Lassance, Nathan;
Vrins, Frédéric

Publication type:

Article

Optimal investment strategies with a minimum performance constraint.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 215, doi. 10.1007/s10479-019-03348-2

By:

Barucci, Emilio;
Marazzina, Daniele;
Mastrogiacomo, Elisa

Publication type:

Article

Investor behavior and weather factors: evidences from Asian region.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 349, doi. 10.1007/s10479-019-03335-7

By:

Kathiravan, Chinnadurai;
Selvam, Murugesan;
Venkateswar, Sankaran;
Balakrishnan, S.

Publication type:

Article

Making the Eurozone work: a risk-sharing reform of the European Stability Mechanism.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 617, doi. 10.1007/s10479-019-03325-9

By:

Dosi, Giovanni;
Minenna, Marcello;
Roventini, Andrea;
Violi, Roberto

Publication type:

Article

Detecting bubbles in Bitcoin price dynamics via market exuberance.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 459, doi. 10.1007/s10479-019-03321-z

By:

Cretarola, Alessandra;
Figà-Talamanca, Gianna

Publication type:

Article

Comonotonicity and low volatility effect.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 1057, doi. 10.1007/s10479-019-03320-0

By:

Lai, Wan-Ni;
Chen, Yi-Ting;
Sun, Edward W.

Publication type:

Article

Modeling the flow of information between financial time-series by an entropy-based approach.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 1235, doi. 10.1007/s10479-019-03319-7

By:

Benedetto, F.;
Mastroeni, L.;
Vellucci, P.

Publication type:

Article

Assessing the impact of incomplete information on the resilience of financial networks.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 721, doi. 10.1007/s10479-019-03306-y

By:

Cinelli, Matteo;
Ferraro, Giovanna;
Iovanella, Antonio;
Rotundo, Giulia

Publication type:

Article

Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 1397, doi. 10.1007/s10479-019-03305-z

By:

Dhesi, Gurjeet;
Shakeel, Bilal;
Ausloos, Marcel

Publication type:

Article

Evidence regarding external financing in manufacturing MSEs using partial least squares regression.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 1189, doi. 10.1007/s10479-019-03291-2

By:

Ceptureanu, Eduard Gabriel;
Ceptureanu, Sebastian;
Herteliu, Claudiu

Publication type:

Article

Fused Lasso approach in portfolio selection.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 47, doi. 10.1007/s10479-019-03289-w

By:

Corsaro, Stefania;
De Simone, Valentina;
Marino, Zelda

Publication type:

Article

Liquidity drops.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 711, doi. 10.1007/s10479-019-03285-0

By:

Morelli, Giacomo

Publication type:

Article

Trimmed fuzzy clustering of financial time series based on dynamic time warping.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 1379, doi. 10.1007/s10479-019-03284-1

By:

D'Urso, Pierpaolo;
De Giovanni, Livia;
Massari, Riccardo

Publication type:

Article

Forecasting bankruptcy using biclustering and neural network-based ensembles.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 531, doi. 10.1007/s10479-019-03283-2

By:

du Jardin, Philippe

Publication type:

Article

Crypto price discovery through correlation networks.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 443, doi. 10.1007/s10479-019-03282-3

By:

Giudici, Paolo;
Polinesi, Gloria

Publication type:

Article

Better to stay apart: asset commonality, bipartite network centrality, and investment strategies.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 177, doi. 10.1007/s10479-019-03277-0

By:

Flori, Andrea;
Lillo, Fabrizio;
Pammolli, Fabio;
Spelta, Alessandro

Publication type:

Article

Model risk in real option valuation.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 1025, doi. 10.1007/s10479-019-03273-4

By:

Alexander, Carol;
Chen, Xi

Publication type:

Article

What if versus probabilistic scenarios: a neuroscientific analysis.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 331, doi. 10.1007/s10479-019-03272-5

By:

Castellano, Rosella;
Mancinelli, Marco;
Ponsi, Giorgia;
Tieri, Gaetano

Publication type:

Article

Pension schemes versus real estate.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 797, doi. 10.1007/s10479-019-03241-y

By:

D'Amato, V.;
Di Lorenzo, E.;
Haberman, S.;
Sibillo, M.;
Tizzano, R.

Publication type:

Article

The multivariate mixture dynamics model: shifted dynamics and correlation skew.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 1411, doi. 10.1007/s10479-019-03239-6

By:

Brigo, Damiano;
Pisani, Camilla;
Rapisarda, Francesco

Publication type:

Article

Measuring credit crunch in Italy: evidence from a survey-based indicator.

Published in:

Annals of Operations Research, 2021, v. 299, n. 1/2, p. 567, doi. 10.1007/s10479-019-03238-7

By:

Girardi, Alessandro;
Ventura, Marco

Publication type:

Article