Giorgio Consigli
Cited by
Cited by
Scenarios for multistage stochastic programs
J Dupačová, G Consigli, SW Wallace
Annals of operations research 100 (1), 25-53, 2000
Dynamic stochastic programmingfor asset-liability management
G Consigli, MAH Dempster
Annals of Operations Research 81, 131-162, 1998
Tail estimation and mean–VaR portfolio selection in markets subject to financial instability
G Consigli
Journal of Banking & Finance 26 (7), 1355-1382, 2002
Stochastic optimization methods in finance and energy: new financial products and energy market strategies
M Bertocchi, G Consigli, MAH Dempster
Springer Science & Business Media, 2011
The predictive ability of the bond-stock earnings yield differential model
K Berge, G Consigli, WT Ziemba
The Journal of portfolio management 34 (3), 63-80, 2008
Retirement planning in individual asset–liability management
G Consigli, G Iaquinta, V Moriggia, M Di Tria, D Musitelli
IMA Journal of Management Mathematics 23 (4), 365-396, 2012
Path-dependent scenario trees for multistage stochastic programmes in finance
G Consigli, G Iaquinta, V Moriggia
Quantitative Finance 12 (8), 1265-1281, 2012
Asset-liability management for individual investors
G Consigli
Handbook of asset and liability management, 751-827, 2008
Heavy-tailed distributional model for operational losses
R Giacometti, S Rachev, A Chernobai, M Bertocchi, G Consigli
Economic Trends, 2001
Euro bonds: Markets, infrastructure and trends
M Bertocchi, G Consigli, R Giacometti, V Moriggia, S Ortobelli, ...
World Scientific, 2013
The bond-stock yield differential as a risk indicator in financial markets
G Consigli, LC MacLean, Y Zhao, WT Ziemba
Journal of Risk 11 (3), 3, 2009
Pricing nondiversifiable credit risk in the corporate Eurobond market
J Abaffy, M Bertocchi, J Dupačová, V Moriggia, G Consigli
Journal of Banking & Finance 31 (8), 2233-2263, 2007
Credit default swaps and equity volatility: theoretical modelling and market evidence
G Consigli
Departement of Applied Mathematics, University Ca’Foscari, Venice, 2004
The CALM stochastic programming model for dynamic asset-liability management
M Dempster, G Consigli
World Wide Asset and Liability Modelling, 464-500, 1998
Dynamic portfolio management for property and casualty insurance
G Consigli, M Di Tria, M Gaffo, G Iaquinta, V Moriggia, A Uristani
Stochastic optimization methods in finance and energy, 99-124, 2011
Solving dynamic portfolio problem using stochastic programming
G Consigli, MAH Dempster
ZAMM-Zeitschrift fur Angewandte Mathematik und Mechanik 77 (2), 535-536, 1997
Optimal financial decision making under uncertainty
G Consigli, D Kuhn, P Brandimarte
Optimal Financial Decision Making under Uncertainty, 255-290, 2017
Towards sequential sampling algorithms for dynamic portfolio management
Z Chen, G Consigli, MAH Dempster, N Hicks-Pedrón
Operational Tools in the Management of Financial Risks, 197-211, 1998
Applying stochastic programming to insurance portfolios stress-testing
G Consigli, V Moriggia
Quantitative Finance Letters 2 (1), 7-13, 2014
Individual asset liability management for individual investors
G Consigli
North-Holland Finance Handbook Series, 2007
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