Barro, Diana; Canestrelli, Elio; Consigli, Giorgio Volatility versus downside risk: performance protection in dynamic portfolio strategies. (English) Zbl 07097400 Comput. Manag. Sci. 16, No. 3, 433-479 (2019). MSC: 90Bxx 49M27 90C06 90C15 90C90 PDFBibTeX XMLCite \textit{D. Barro} et al., Comput. Manag. Sci. 16, No. 3, 433--479 (2019; Zbl 07097400) Full Text: DOI Link
Consigli, Giorgio (ed.); Kleywegt, Anton (ed.) Data-driven optimization in management. (English) Zbl 07097397 Comput. Manag. Sci. 16, No. 3, 371-374 (2019). MSC: 00Bxx PDFBibTeX XMLCite \textit{G. Consigli} (ed.) and \textit{A. Kleywegt} (ed.), Comput. Manag. Sci. 16, No. 3, 371--374 (2019; Zbl 07097397) Full Text: DOI
Consigli, Giorgio; Hitaj, Asmerilda; Mastrogiacomo, Elisa Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study. (English) Zbl 07024661 Comput. Manag. Sci. 16, No. 1-2, 129-154 (2019). MSC: 90Bxx PDFBibTeX XMLCite \textit{G. Consigli} et al., Comput. Manag. Sci. 16, No. 1--2, 129--154 (2019; Zbl 07024661) Full Text: DOI
Consigli, Giorgio; Moriggia, Vittorio; Vitali, Sebastiano; Mercuri, Lorenzo Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming. (English) Zbl 1483.91183 Comput. Manag. Sci. 15, No. 3-4, 599-632 (2018). MSC: 91G05 90C15 90C39 PDFBibTeX XMLCite \textit{G. Consigli} et al., Comput. Manag. Sci. 15, No. 3--4, 599--632 (2018; Zbl 1483.91183) Full Text: DOI Link