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Sugli effetti dei costi di transizione nelle scelte di portafoglio con orizzonte finito

Luciano, Elisa - In: Rivista internazionale di scienze sociali 97 (1989) 2, pp. 254-271

Persistent link: https://www.econbiz.de/10001087495

Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk

Luciano, Elisa; Regis, Luca - In: Insurance / Mathematics & economics 55 (2014), pp. 68-77

Persistent link: https://www.econbiz.de/10010366205

Value at risk bounds for portfolios of non-normal returns

Luciano, Elisa; Marena, M. - In: New trends in banking management : with 42 tables, (pp. 207-222). 2002

Persistent link: https://www.econbiz.de/10001703811

Fulfillment of regulatory requirements on VaR and optimal portfolio policies

Luciano, Elisa - In: Rivista internazionale di scienze economiche e … 47 (2000) 4, pp. 579-601

Persistent link: https://www.econbiz.de/10001636855

An exact solution to a dynamic portfolio choice problem under transactions costs

Dumas, Bernard - In: The journal of finance : the journal of the American … 46 (1991) 2, pp. 577-595

Persistent link: https://www.econbiz.de/10001108563

An exact solution [dynamic] to the portfolio choice problem under transactions costs

Dumas, Bernard; Luciano, Elisa - 1990

Persistent link: https://www.econbiz.de/10000789448

Risk analysis and portfolio modelling

Allen, David E. (ed.); Luciano, Elisa (ed.) - 2019

Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide...

Persistent link: https://www.econbiz.de/10012117977

Basis risk in static versus dynamic longevity-risk hedging

De Rosa, Clemente; Luciano, Elisa; Regis, Luca - In: Scandinavian actuarial journal (2017) 4, pp. 343-365

Persistent link: https://www.econbiz.de/10011772167

Geographical diversification and longevity risk mitigation in annuity portfolios

De Rosa, Clemente; Luciano, Elisa; Regis, Luca - In: ASTIN bulletin : the journal of the International … 51 (2021) 2, pp. 375-410

Persistent link: https://www.econbiz.de/10012523250

Risk analysis and portfolio modelling

Allen, David E.; Luciano, Elisa - In: Journal of risk and financial management : JRFM 12 (2019) 4/154, pp. 1-4

Financial risk measurement is a challenging task because both the types of risk and their measurement techniques evolve quickly. This book collects a number of novel contributions for the measurement of financial risk, which addresses partially explored risks or risk takers in a wide variety of...

Persistent link: https://www.econbiz.de/10012173017