Scenarios for multistage stochastic programs J Dupačová, G Consigli, SW Wallace Annals of operations research 100, 25-53, 2000 | 680 | 2000 |
Dynamic stochastic programmingfor asset-liability management G Consigli, MAH Dempster Annals of Operations Research 81 (0), 131-162, 1998 | 360 | 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 | 125 | 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 | 42 | 2011 |
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 | 38 | 2012 |
The predictive ability of the bond-stock earnings yield differential model K Berge, G Consigli, WT Ziemba | 32 | 2008 |
Path-dependent scenario trees for multistage stochastic programmes in finance G Consigli, G Iaquinta, V Moriggia Quantitative Finance 12 (8), 1265-1281, 2012 | 28 | 2012 |
Asset-liability management for individual investors G Consigli Handbook of asset and liability management, 751-827, 2008 | 28 | 2008 |
Heavy-tailed distributional model for operational losses R Giacometti, S Rachev, A Chernobai, M Bertocchi, G Consigli Economic Trends, 2001 | 23 | 2001 |
Optimal financial decision making under uncertainty G Consigli, D Kuhn, P Brandimarte Optimal financial decision making under uncertainty, 255-290, 2017 | 22 | 2017 |
Volatility versus downside risk: performance protection in dynamic portfolio strategies D Barro, E Canestrelli, G Consigli Computational Management Science 16, 433-479, 2019 | 19 | 2019 |
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 | 19 | 2009 |
Long-term individual financial planning under stochastic dominance constraints G Consigli, V Moriggia, S Vitali Annals of Operations Research 292 (2), 973-1000, 2020 | 18 | 2020 |
Credit default swaps and equity volatility: theoretical modelling and market evidence G Consigli Departement of Applied Mathematics, University Ca’Foscari, Venice, 2004 | 18 | 2004 |
A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems Z Yan, Z Chen, G Consigli, J Liu, M Jin Annals of operations research 292 (2), 849-881, 2020 | 17 | 2020 |
Euro bonds: Markets, infrastructure and trends M Bertocchi, G Consigli, R Giacometti, V Moriggia, S Ortobelli, ... World Scientific, 2013 | 17 | 2013 |
Dynamic portfolio management for property and casualty insurance G Consigli, M Tria, M Gaffo, G Iaquinta, V Moriggia, A Uristani Stochastic Optimization Methods in Finance and Energy: New Financial …, 2011 | 17 | 2011 |
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 | 17 | 2007 |
The CALM stochastic programming model for dynamic asset-liability management M Dempster, G Consigli World Wide Asset and Liability Modelling, 464-500, 1998 | 17 | 1998 |
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 | 15 | 1998 |