Giorgio Consigli

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
The cost of delay as risk measure in target-based multi-period portfolio selection models IMA Journal of Management Mathematics	2024-11-13	Paper
Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas Quantitative Finance	2022-09-30	Paper
Optimal chance-constrained pension fund management through dynamic stochastic control OR Spectrum	2022-09-27	Paper
Interval-based stochastic dominance: theoretical framework and application to portfolio choices Annals of Operations Research	2022-01-24	Paper
A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems Annals of Operations Research	2021-01-06	Paper
Optimization Methods in Finance Quantitative Finance	2019-09-26	Paper
Volatility versus downside risk: performance protection in dynamic portfolio strategies Computational Management Science	2019-08-23	Paper
Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study Computational Management Science	2019-02-18	Paper
Hedging market and credit risk in corporate bond portfolios International Series in Operations Research & Management Science	2019-01-25	Paper
Dynamic portfolio management for property and casualty insurance International Series in Operations Research & Management Science	2019-01-25	Paper
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming Computational Management Science	2018-10-29	Paper
scientific article; zbMATH DE number 6296768 (Why is no real title available?)	2014-05-19	Paper
Path-dependent scenario trees for multistage stochastic programmes in finance Quantitative Finance	2014-01-24	Paper
Retirement planning in individual asset-liability management IMA Journal of Management Mathematics	2012-10-29	Paper
Scenario-based dynamic corporate bond portfolio management IMA Journal of Management Mathematics	2012-10-29	Paper
scientific article; zbMATH DE number 5961778 (Why is no real title available?)	2011-10-21	Paper
A simulation environment for discontinuous portfolio value processes Applied Stochastic Models in Business and Industry	2001-07-11	Paper
Scenarios for multistage stochastic programs Annals of Operations Research	2001-06-14	Paper
scientific article; zbMATH DE number 1304957 (Why is no real title available?)	2000-08-07	Paper
Dynamic stochastic programming for asset-liability management Annals of Operations Research	1999-03-18	Paper
scientific article; zbMATH DE number 1056909 (Why is no real title available?)	1998-11-01	Paper

Research outcomes over time

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