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Models and simulations for portfolio rebalancing
Guastaroba, Gianfranco; Mansini, Renata; Speranza, … - In: Computational economics 33 (2009) 3, pp. 237-262
Persistent link: https://www.econbiz.de/10003828842
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A comparison of MAD and CVaR models with real features
Angelelli, Enrico; Mansini, Renata; Speranza, Maria Grazia - In: Journal of banking & finance 32 (2008) 7, pp. 1188-1197
Persistent link: https://www.econbiz.de/10003749162
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Enhanced index tracking with CVaR-based ratio measures
Guastaroba, Gianfranco; Mansini, Renata; Ogryczak, … - In: Stochastic optimization: theory and applications, (pp. 883-931). 2020
Persistent link: https://www.econbiz.de/10012290853
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Bridging k-sum and CVaR optimization in MILP
Filippi, Carlo; Ogryczak, Włodzimierz; Speranza, Maria … - In: Computers & operations research : and their … 105 (2019), pp. 156-166
Persistent link: https://www.econbiz.de/10011997088
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Mixed integer linear programming models for optimal crop selection
Filippi, Carlo; Mansini, Renata; Stevanato, Elisa - In: Computers & operations research : and their … 81 (2017), pp. 26-39
Persistent link: https://www.econbiz.de/10011655932
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Worst-case analysis of Omega-VaR ratio optimization model
Sehgal, Ruchika; Sharma, Amita; Mansini, Renata - In: Omega : the international journal of management science 114 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10013441559