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Volatility versus downside risk : performance protection in dynamic portfolio strategies
Barro, Diana; Canestrelli, Elio; Consigli, Giorgio - In: Computational Management Science : CMS 16 (2019) 3, pp. 433-479
Persistent link: https://www.econbiz.de/10012053148
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Optimal insurance portfolio risk-adjusted performance through dynamic stochastic programming
Consigli, Giorgio; Moriggia, Vittorio; Vitali, Sebastiano; … - In: Computational Management Science : CMS 15 (2018) 3/4, pp. 599-632
Persistent link: https://www.econbiz.de/10011923011
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A stochastic programming model for dynamic portfolio management with financial derivatives
Barro, Diana; Consigli, Giorgio; Varun, Vivek - In: Journal of banking & finance 140 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013463145