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Results for Sergio Ortobelli; Total 3

Title

Distributional Approximation of Asset Returns with Nonparametric Markovian Trees

Author

Gaetano Iaquinta, Sergio Ortobelli Lozza

Citation

Vol. 6  No. 11  pp. 69-74

Keywords

Computational complexity, Markov chain, return distribution, financial applications.


Title

Portfolio Selection and Risk Management with Markov Chains

Author

Arturo Leccadito, Sergio Ortobelli Lozza, Emilio Russo

Citation

Vol. 7  No. 6  pp. 115-123

Keywords

Markov chain, Portfolio theory, VaR and CVaR models


Title

A Comparison among Portfolio Selection Strategies with Subordinated L?vy Processes

Author

Alessandro Staino, Sergio Ortobelli, Ivar Massab?

Citation

Vol. 7  No. 7  pp. 224-233

Keywords

Portfolio theory, L?vy processes, Variance-Gamma distribution, Normal Inverse Gaussian distribution


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