default search action
Agostino Capponi
Person information
Refine list
refinements active!
zoomed in on ?? of ?? records
view refined list in
export refined list as
2020 – today
- 2024
- [j36]Agostino Capponi, Marko H. Weber:
Systemic Portfolio Diversification. Oper. Res. 72(1): 110-131 (2024) - [j35]Agostino Capponi, Yuchong Zhang:
A Continuous Time Framework for Sequential Goal-Based Wealth Management. Manag. Sci. 70(11): 7664-7691 (2024) - [i9]Agostino Capponi, Mihailo Stojnic:
Exact Error in Matrix Completion: Approximately Low-Rank Structures and Missing Blocks. CoRR abs/2401.00578 (2024) - 2023
- [j34]Agostino Capponi, Garud Iyengar, Jay Sethuraman:
Decentralized Finance: Protocols, Risks, and Governance. Found. Trends Priv. Secur. 5(3): 144-188 (2023) - [j33]John R. Birge, Agostino Capponi, Peng-Chu Chen:
Disruption and Rerouting in Supply Chain Networks. Oper. Res. 71(2): 750-767 (2023) - [j32]Bruno Biais, Agostino Capponi, Lin William Cong, Vishal Gaur, Kay Giesecke:
Advances in Blockchain and Crypto Economics. Manag. Sci. 69(11): 6417-6426 (2023) - [j31]Agostino Capponi, Sveinn Ólafsson, Humoud Alsabah:
Proof-of-Work Cryptocurrencies: Does Mining Technology Undermine Decentralization? Manag. Sci. 69(11): 6455-6481 (2023) - [j30]Lijun Bo, Agostino Capponi, Chao Zhou:
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors. Math. Oper. Res. 48(1): 288-312 (2023) - [c10]Agostino Capponi, Mihailo Stojnic:
Causal Inference - closed form expressions for worst case typical phase transitions. ISIT 2023: 501-506 - [c9]Agostino Capponi, Mihailo Stojnic:
Phase Transitions: Explicit relations for sparse vector and low rank recovery. ISIT 2023: 507-512 - [i8]Agostino Capponi, Mihailo Stojnic:
Causal Inference (C-inf) - closed form worst case typical phase transitions. CoRR abs/2301.00793 (2023) - [i7]Agostino Capponi, Mihailo Stojnic:
Causal Inference (C-inf) - asymmetric scenario of typical phase transitions. CoRR abs/2301.00801 (2023) - [i6]Agostino Capponi, Ruizhe Jia, Brian Zhu:
The Paradox Of Just-in-Time Liquidity in Decentralized Exchanges: More Providers Can Sometimes Mean Less Liquidity. CoRR abs/2311.18164 (2023) - [i5]Agostino Capponi, Garud Iyengar, Jay Sethuraman:
Decentralized Finance: Protocols, Risks, and Governance. CoRR abs/2312.01018 (2023) - [i4]Agostino Capponi, Ruizhe Jia, Ye Wang:
Do Private Transaction Pools Mitigate Frontrunning Risk? IACR Cryptol. ePrint Arch. 2023: 1461 (2023) - 2022
- [j29]Kerstin Awiszus, Agostino Capponi, Stefan Weber:
Market Efficient Portfolios in a Systemic Economy. Oper. Res. 70(2): 715-728 (2022) - [j28]Agostino Capponi, Alexey Rubtsov:
Systemic Risk-Driven Portfolio Selection. Oper. Res. 70(3): 1598-1612 (2022) - [j27]Agostino Capponi, Sveinn Ólafsson, Thaleia Zariphopoulou:
Personalized Robo-Advising: Enhancing Investment Through Client Interaction. Manag. Sci. 68(4): 2485-2512 (2022) - [j26]Jessie Jiaxu Wang, Agostino Capponi, Hongzhong Zhang:
A Theory of Collateral Requirements for Central Counterparties. Manag. Sci. 68(9): 6993-7017 (2022) - [j25]Lijun Bo, Agostino Capponi, Huafu Liao:
Large Sample Mean-Field Stochastic Optimization. SIAM J. Control. Optim. 60(4): 2538-2573 (2022) - 2021
- [j24]Bruno Biais, Agostino Capponi, Lin William Cong, Vishal Gaur, Kay Giesecke:
Call for Papers - Management Science Special Issue on Blockchains and Crypto Economics. Manag. Sci. 67(1): 6-7 (2021) - [j23]Humoud Alsabah, Benjamin Bernard, Agostino Capponi, Garud Iyengar, Jay Sethuraman:
Multiregional Oligopoly with Capacity Constraints. Manag. Sci. 67(8): 4789-4808 (2021) - 2020
- [j22]Agostino Capponi, Paul Glasserman, Marko H. Weber:
Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions. Manag. Sci. 66(8): 3581-3602 (2020) - [j21]Agostino Capponi, Xu Sun, David D. Yao:
A Dynamic Network Model of Interbank Lending - Systemic Risk and Liquidity Provisioning. Math. Oper. Res. 45(3): 1127-1152 (2020)
2010 – 2019
- 2019
- [i3]Humoud Alsabah, Agostino Capponi, Octavio Ruiz Lacedelli, Matt Stern:
Robo-advising: Learning Investors' Risk Preferences via Portfolio Choices. CoRR abs/1911.02067 (2019) - 2018
- [j20]Agostino Capponi, W. Allen Cheng:
Clearinghouse Margin Requirements. Oper. Res. 66(6): 1542-1558 (2018) - [j19]John R. Birge, Lijun Bo, Agostino Capponi:
Risk-Sensitive Asset Management and Cascading Defaults. Math. Oper. Res. 43(1): 1-28 (2018) - [j18]Lijun Bo, Agostino Capponi:
Portfolio Choice with Market-Credit-Risk Dependencies. SIAM J. Control. Optim. 56(4): 3050-3091 (2018) - 2017
- [j17]Agostino Capponi, Christoph Frei:
Systemic Influences on Optimal Equity-Credit Investment. Manag. Sci. 63(8): 2756-2771 (2017) - [j16]Lijun Bo, Agostino Capponi:
Robust Optimization of Credit Portfolios. Math. Oper. Res. 42(1): 30-56 (2017) - [j15]Lijun Bo, Agostino Capponi:
Optimal Credit Investment with Borrowing Costs. Math. Oper. Res. 42(2): 546-575 (2017) - [j14]Lijun Bo, Agostino Capponi:
Optimal Investment Under Information Driven Contagious Distress. SIAM J. Control. Optim. 55(2): 1020-1068 (2017) - [i2]Agostino Capponi, Reza Ghanadan, Matt Stern:
Risk-Sensitive Cooperative Games for Human-Machine Systems. CoRR abs/1705.09580 (2017) - 2016
- [j13]Agostino Capponi, Peng-Chu Chen, David D. Yao:
Liability Concentration and Systemic Losses in Financial Networks. Oper. Res. 64(5): 1121-1134 (2016) - 2015
- [j12]Agostino Capponi, José E. Figueroa-López, Andrea Pascucci:
Dynamic credit investment in partially observed markets. Finance Stochastics 19(4): 891-939 (2015) - [j11]Lijun Bo, Agostino Capponi:
Systemic Risk in Interbanking Networks. SIAM J. Financial Math. 6(1): 386-424 (2015) - [j10]Agostino Capponi, Christoph Frei:
Dynamic Contracting: Accidents Lead to Nonlinear Contracts. SIAM J. Financial Math. 6(1): 959-983 (2015) - 2014
- [j9]Lijun Bo, Agostino Capponi:
Bilateral credit valuation adjustment for large credit derivatives portfolios. Finance Stochastics 18(2): 431-482 (2014) - [j8]Agostino Capponi, Stefano Pagliarani, Tiziano Vargiolu:
Pricing vulnerable claims in a Lévy-driven model. Finance Stochastics 18(4): 755-789 (2014) - 2012
- [j7]Agostino Capponi, Jaksa Cvitanic, Türkay Yolcu:
A Variational Approach to Contracting under Imperfect Observations. SIAM J. Financial Math. 3(1): 605-638 (2012) - 2011
- [j6]Agostino Capponi, Ibrahim Fatkullin, Ling Shi:
Stochastic Filtering for Diffusion Processes With Level Crossings. IEEE Trans. Autom. Control. 56(9): 2201-2206 (2011) - 2010
- [j5]Agostino Capponi:
A convex optimization approach to filtering in jump linear systems with state dependent transitions. Autom. 46(2): 383-389 (2010) - [j4]Agostino Capponi, Alfonso Farina, Concetta Pilotto:
Expressing stochastic filters via number sequences. Signal Process. 90(7): 2124-2132 (2010)
2000 – 2009
- 2009
- [b1]Agostino Capponi:
Credit Risk and Nonlinear Filtering: Computational Aspects and Empirical Evidence. California Institute of Technology, USA, 2009 - [c8]Agostino Capponi, Concetta Pilotto:
Stochastic filtering in jump systems with state dependent mode transitions. ACC 2009: 3206-3211 - [c7]Agostino Capponi, Umberto Cherubini:
A Copula Function Approach to Infer Correlation in Prediction Markets. AMMA 2009: 4-12 - [c6]Agostino Capponi:
A calibration method for structural models of credit risk with reporting bias. CIFEr 2009: 1-7 - [c5]Agostino Capponi:
Tutorial: Frontiers of computational engineering and finance: Modeling and calibrating credit risk. CIFEr 2009 - 2008
- [j3]Hajo Broersma, Agostino Capponi, Daniël Paulusma:
A New Algorithm for On-line Coloring Bipartite Graphs. SIAM J. Discret. Math. 22(1): 72-91 (2008) - 2007
- [c4]K. Mani Chandy, Michel Charpentier, Agostino Capponi:
Towards a theory of events. DEBS 2007: 180-187 - 2006
- [c3]Hajo Broersma, Agostino Capponi, Daniël Paulusma:
On-Line Coloring of H-Free Bipartite Graphs. CIAC 2006: 284-295 - [c2]Agostino Capponi, Concetta Pilotto, Alfonso Farina, Giovanni Golino, Lance M. Kaplan:
Connectivity for the Frisbee Architecture. FUSION 2006: 1-7 - [c1]Agostino Capponi, Concetta Pilotto, Giovanni Golino, Alfonso Farina, Lance M. Kaplan:
Algorithms for the selection of the active sensors in distributed tracking: comparison between Frisbee and GNS methods. FUSION 2006: 1-8 - 2005
- [j2]Agostino Capponi, Concetta Pilotto:
Bounded families for the on-line t-relaxed coloring. Inf. Process. Lett. 96(4): 141-145 (2005) - [j1]Alfonso Farina, Annarita Di Lallo, Tiziano Volpi, Agostino Capponi:
Accuracy of fused track for radar systems. Signal Process. 85(6): 1189-1210 (2005) - 2003
- [i1]Agostino Capponi:
A tutorial on the Deterministic two-party Communication Complexity. Electron. Colloquium Comput. Complex. TR03 (2003)
Coauthor Index
manage site settings
To protect your privacy, all features that rely on external API calls from your browser are turned off by default. You need to opt-in for them to become active. All settings here will be stored as cookies with your web browser. For more information see our F.A.Q.
Unpaywalled article links
Add open access links from to the list of external document links (if available).
Privacy notice: By enabling the option above, your browser will contact the API of unpaywall.org to load hyperlinks to open access articles. Although we do not have any reason to believe that your call will be tracked, we do not have any control over how the remote server uses your data. So please proceed with care and consider checking the Unpaywall privacy policy.
Archived links via Wayback Machine
For web page which are no longer available, try to retrieve content from the of the Internet Archive (if available).
Privacy notice: By enabling the option above, your browser will contact the API of archive.org to check for archived content of web pages that are no longer available. Although we do not have any reason to believe that your call will be tracked, we do not have any control over how the remote server uses your data. So please proceed with care and consider checking the Internet Archive privacy policy.
Reference lists
Add a list of references from , , and to record detail pages.
load references from crossref.org and opencitations.net
Privacy notice: By enabling the option above, your browser will contact the APIs of crossref.org, opencitations.net, and semanticscholar.org to load article reference information. Although we do not have any reason to believe that your call will be tracked, we do not have any control over how the remote server uses your data. So please proceed with care and consider checking the Crossref privacy policy and the OpenCitations privacy policy, as well as the AI2 Privacy Policy covering Semantic Scholar.
Citation data
Add a list of citing articles from and to record detail pages.
load citations from opencitations.net
Privacy notice: By enabling the option above, your browser will contact the API of opencitations.net and semanticscholar.org to load citation information. Although we do not have any reason to believe that your call will be tracked, we do not have any control over how the remote server uses your data. So please proceed with care and consider checking the OpenCitations privacy policy as well as the AI2 Privacy Policy covering Semantic Scholar.
OpenAlex data
Load additional information about publications from .
Privacy notice: By enabling the option above, your browser will contact the API of openalex.org to load additional information. Although we do not have any reason to believe that your call will be tracked, we do not have any control over how the remote server uses your data. So please proceed with care and consider checking the information given by OpenAlex.
last updated on 2024-12-04 20:13 CET by the dblp team
all metadata released as open data under CC0 1.0 license
see also: Terms of Use | Privacy Policy | Imprint