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Modeling, estimation, and optimization of equity portfolios with heavy-tailed distrbutions

Biglova, Almira; Ortobelli, Sergio; Račev, Svetlozar T.; … - In: Optimizing optimization : the next generation of …, (pp. 117-141). 2010

Persistent link: https://www.econbiz.de/10003939075

Calibrating affine stochastic mortality models using term assurance premiums

Russo, Vincenzo; Giacometti, Rosella; Ortobelli, Sergio; … - In: Insurance / Mathematics & economics 49 (2011) 1, pp. 53-60

Persistent link: https://www.econbiz.de/10009157445

Risk management and dynamic portfolio selection with stable paretian distributions

Ortobelli, Sergio; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 17 (2010) 2, pp. 195-211

Persistent link: https://www.econbiz.de/10009271854

Portfolio selection in the presence of systemic risk

Biglova, Almira; Ortobelli, Sergio; Fabozzi, Frank J. - In: The journal of asset management 15 (2014) 5, pp. 285-299

Persistent link: https://www.econbiz.de/10010476238

The proper use of risk measures in portfolio theory

Ortobelli, Sergio; Račev, Svetlozar T.; Stoyanov, Stoyan; … - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1107-1133

Persistent link: https://www.econbiz.de/10003280039

Relative deviation metrics and the problem of strategy replication

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Ortobelli, Sergio - In: Journal of banking & finance 32 (2008) 2, pp. 199-206

Persistent link: https://www.econbiz.de/10003647097

Desirable properties of an ideal risk measure in portfolio theory

Račev, Svetlozar T.; Ortobelli, Sergio; Stoyanov, Stoyan; … - In: International journal of theoretical and applied finance 11 (2008) 1, pp. 19-54

Persistent link: https://www.econbiz.de/10003692723

Orderings and probability functionals consistent with preferences

Ortobelli, Sergio; Račev, Svetlozar T.; Shalit, Haim; … - In: Applied mathematical finance 16 (2009) 1/2, pp. 81-102

Persistent link: https://www.econbiz.de/10003847149

Orderings and Probability Functionals Consistent with Preferences

Ortobelli, Sergio; Rachev, Svetlozar; Shalit, Haim; … - In: Applied Mathematical Finance 16 (2009) 1, pp. 81-102

This paper unifies the classical theory of stochastic dominance and investor preferences with the recent literature on risk measures applied to the choice problem faced by investors. First, we summarize the main stochastic dominance rules used in the finance literature. Then we discuss the...

Persistent link: https://www.econbiz.de/10005462490

Orderings and Probability Functionals Consistent with Preferences

Ortobelli, Sergio; Rachev, Svetlozar; Shalit, Haim; … - In: Applied mathematical finance 16 (2009) 1, pp. 81

Persistent link: https://www.econbiz.de/10008211949