Do Jumps Matter in Discrete-Time Portfolio Optimization?
Operations Research Perspectives, accepted for publication
2024
13
Multivariate Affine GARCH in portfolio optimization. Analytical solutions and Applications
Working Paper submitted for publication
2024
The Theory of Constant Proportion Performance Participation
Working Paper submitted for publication
2024
A neural network approach for the mortality analysis of multiple populations: a case study on data of the Italian population
European Actuarial Journal
2024
Mean–variance optimization under affine GARCH: A utility-based solution
Finance Research Letters
2024
59
104749
Mean-Variance Optimization under Affine GARCH: A Utility-Based Solution
Finance Research Letters
2024
59
104749
Bayesian learning in an Affine GARCH model with application to portfolio optimization
Working Paper submitted for publication
2024
12
1611
The Power of Derivatives in Portfolio Optimization under Affine GARCH models
Decisions in Economics and Finance
2024