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Annals of Operations Research, Volume 299
Volume 299, Number 1, April 2021
- Roy Cerqueti
, Rita Laura D'Ecclesia, Susanna Levantesi:
Preface: recent developments in financial modelling and risk management. 1-5 - Patrizia Beraldi, Antonio Violi
Dealing with complex transaction costs in portfolio management. 7-22 - Nathan Lassance
Minimum Rényi entropy portfolios. 23-46 - Stefania Corsaro
Fused Lasso approach in portfolio selection. 47-59 - Gian Paolo Clemente
Asset allocation: new evidence through network approaches. 61-80 - Alessia Naccarato
Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment. 81-99 - Katia Colaneri
The value of knowing the market price of risk. 101-131 - Sühan Altay, Katia Colaneri
Optimal convergence trading with unobservable pricing errors. 133-161 - Mario Maggi
Google search volumes for portfolio management: performances and asset concentration. 163-175 - Andrea Flori
Better to stay apart: asset commonality, bipartite network centrality, and investment strategies. 177-213 - Emilio Barucci, Daniele Marazzina
Optimal investment strategies with a minimum performance constraint. 215-239 - Milos Kopa
A decision-dependent randomness stochastic program for asset-liability management model with a pricing decision. 241-271 - Sebastiano Vitali
Pension fund management with investment certificates and stochastic dominance. 273-292 - Andreas Thomann
Multi-asset scenario building for trend-following trading strategies. 293-315 - Thomas W. Archibald
Investment and operational decisions for start-up companies: a game theory and Markov decision process approach. 317-330 - Rosella Castellano
What if versus probabilistic scenarios: a neuroscientific analysis. 331-347 - Chinnadurai Kathiravan
Investor behavior and weather factors: evidences from Asian region. 349-373 - Claudiu Herteliu
Money's importance from the religious perspective. 375-399 - Fabio Antonelli
CVA and vulnerable options pricing by correlation expansions. 401-427 - Giacomo Morelli
Fair prices under a unified lattice approach for interest rate derivatives. 429-441 - Paolo Giudici
Crypto price discovery through correlation networks. 443-457 - Alessandra Cretarola
Detecting bubbles in Bitcoin price dynamics via market exuberance. 459-479 - Andrea Flori
Banks' business strategies on the edge of distress. 481-530 - Philippe du Jardin
Forecasting bankruptcy using biclustering and neural network-based ensembles. 531-566 - Alessandro Girardi, Marco Ventura
Measuring credit crunch in Italy: evidence from a survey-based indicator. 567-592 - Matteo Cinelli
The interconnectedness of the economic content in the speeches of the US Presidents. 593-615 - Giovanni Dosi, Marcello Minenna
Making the Eurozone work: a risk-sharing reform of the European Stability Mechanism. 617-657 - Dawen Yan, Xiaohui Zhang, Mingzheng Wang:
A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations. 659-710 - Giacomo Morelli
Liquidity drops. 711-719 - Matteo Cinelli
Assessing the impact of incomplete information on the resilience of financial networks. 721-745 - Fabio Baione
Capital allocation and RORAC optimization under solvency 2 standard formula. 747-763 - Pierre Devolder, Susanna Levantesi
Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system. 765-795 - Valeria D'Amato
Pension schemes versus real estate. 797-809 - Muhammed Altuntas, Thomas R. Berry-Stölzle
Enterprise risk management and economies of scale and scope: evidence from the German insurance industry. 811-845 - Davide Benedetti, Enrico Biffis
Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy. 847-871 - Carlo Lucheroni
Internal hedging of intermittent renewable power generation and optimal portfolio selection. 873-893 - Roy Cerqueti
Long memory and crude oil's price predictability. 895-906 - Sebastian Maier
Re-evaluating natural resource investments under uncertainty: An alternative to limited traditional approaches. 907-937 - Simona Franzoni
Rainfall option impact on profits of the hospitality industry through scenario correlation and copulas. 939-962 - Vera Jotanovic
The European gas market: new evidences. 963-999 - Latha Shanker, Ahmet Satir:
Managing foreign exchange risk with buyer-supplier contracts. 1001-1024 - Carol Alexander
Model risk in real option valuation. 1025-1056 - Wan-Ni Lai, Yi-Ting Chen, Edward W. Sun
Comonotonicity and low volatility effect. 1057-1099 - Rita Laura D'Ecclesia
Volatility in the stock market: ANN versus parametric models. 1101-1127 - Mark J. Browne, Annette Hofmann, Andreas Richter
Peer effects in risk preferences: Evidence from Germany. 1129-1163 - Roy Cerqueti
Systemic risk assessment through high order clustering coefficient. 1165-1187 - Eduard Gabriel Ceptureanu
Evidence regarding external financing in manufacturing MSEs using partial least squares regression. 1189-1202 - Emmanuel C. Mamatzakis
Testing for persistence in US mutual funds' performance: a Bayesian dynamic panel model. 1203-1233 - Francesco Benedetto, Loretta Mastroeni
Modeling the flow of information between financial time-series by an entropy-based approach. 1235-1252 - Hasan Fallahgoul, Grégoire Loeper:
Modelling tail risk with tempered stable distributions: an overview. 1253-1280 - Matthew Norton, Valentyn Khokhlov, Stan Uryasev:
Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation. 1281-1315 - Massimo Guidolin, Manuela Pedio:
Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help? 1317-1356 - Carmela Cappelli, Francesca Di Iorio, Angela Maddaloni, Pierpaolo D'Urso:
Atheoretical Regression Trees for classifying risky financial institutions. 1357-1377 - Pierpaolo D'Urso, Livia De Giovanni, Riccardo Massari:
Trimmed fuzzy clustering of financial time series based on dynamic time warping. 1379-1395 - Gurjeet Dhesi, Bilal Shakeel, Marcel Ausloos:
Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach. 1397-1410 - Damiano Brigo, Camilla Pisani, Francesco Rapisarda:
The multivariate mixture dynamics model: shifted dynamics and correlation skew. 1411-1435
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