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Ortobelli Lozza, Sergio
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1

Dynamic Return Scenario Generation Approach for Large-Scale..:

Neděla, David ; Ortobelli Lozza, Sergio ; Tichý, Tomáš
Computational Economics.  , 2024
Link: https://doi.org/10.1007/..
 
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2

Portfolio optimization with asset preselection using data e..:

Hosseinzadeh, Mohammad Mehdi ; Ortobelli Lozza, Sergio ; Hosseinzadeh Lotfi, Farhad.
Central European Journal of Operations Research.  31 (2022)  1 - p. 287-310 , 2022
Link: https://doi.org/10.1007/..
 
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3

Second order of stochastic dominance efficiency vs mean var..:

Malavasi, Matteo ; Ortobelli Lozza, Sergio ; Trück, Stefan
European Journal of Operational Research.  290 (2021)  3 - p. 1192-1206 , 2021
Link: https://doi.org/10.1016/..
 
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4

Portfolio Selection Using Multivariate Semiparametric Estim..:

Kouaissah, Noureddine ; Ortobelli Lozza, Sergio ; Jebabli, Ikram
Computational Economics.  60 (2021)  3 - p. 833-859 , 2021
Link: https://doi.org/10.1007/..
 
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5

Multivariate stochastic dominance applied to sector-based p..:

Kouaissah, Noureddine ; Ortobelli Lozza, Sergio
IMA Journal of Management Mathematics.  32 (2020)  2 - p. 139-160 , 2020
Link: https://doi.org/10.1093/..
 
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6

Joint tails impact in stochastic volatility portfolio selec..:

Bonomelli, Marco ; Giacometti, Rosella ; Ortobelli Lozza, Sergio
Annals of Operations Research.  292 (2020)  2 - p. 833-848 , 2020
Link: https://doi.org/10.1007/..
 
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7

Diversification versus optimality: is there really a divers..:

Ortobelli Lozza, Sergio ; Wong, Wing-Keung ; Fabozzi, Frank J..
Applied Economics.  50 (2018)  43 - p. 4671-4693 , 2018
Link: https://doi.org/10.1080/..
 
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8

Timing portfolio strategies with exponential Lévy processes:

Ortobelli Lozza, Sergio ; Angelelli, Enrico ; Ndoci, Alda
Computational Management Science.  16 (2018)  1-2 - p. 97-127 , 2018
Link: https://doi.org/10.1007/..
 
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9

Price and market risk reduction for bond portfolio selectio..:

Ortobelli Lozza, Sergio ; Petronio, Filomena ; Vitali, Sebastiano
Investment Management and Financial Innovations.  15 (2018)  1 - p. 120-131 , 2018
Link: https://doi.org/10.21511..
 
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10

A conservative discontinuous target volatility strategy:

Cirelli, Simone ; Vitali, Sebastiano ; Ortobelli Lozza, Sergio.
Investment Management and Financial Innovations.  14 (2017)  2 - p. 176-190 , 2017
Link: https://doi.org/10.21511..
 
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11

A portfolio return definition coherent with the investors' ..:

Ortobelli Lozza, Sergio ; Petronio, Filomena ; Lando, Tommaso
IMA Journal of Management Mathematics.  , 2015
Link: https://doi.org/10.1093/..
 
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12

Structural Credit Risk Models with Subordinated Processes:

Gurny, Martin ; Ortobelli Lozza, Sergio ; Giacometti, Rosella
Journal of Applied Mathematics.  2013 (2013)  - p. 1-12 , 2013
Link: https://doi.org/10.1155/..
 
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13

Financial Applications of Bivariate Markov Processes:

Ortobelli Lozza, Sergio ; Angelelli, Enrico ; Bianchi, Annamaria
Mathematical Problems in Engineering.  2011 (2011)  - p. 1-15 , 2011
Link: https://doi.org/10.1155/..
 
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14

Modelling De novo programming within Simon's satisficing th..:

Hocine, Amin ; Kouaissah, Noureddine ; Lozza, Sergio Ortobelli.
European Journal of Operational Research.  315 (2024)  1 - p. 289-306 , 2024
Link: https://doi.org/10.1016/..
 
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15

XOR-analytic network process and assessing the impact of CO..:

Hocine, Amin ; Kouaissah, Noureddine ; Lozza, Sergio Ortobelli
Computers & Industrial Engineering.  177 (2023)  - p. 109017 , 2023
Link: https://doi.org/10.1016/..
 
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