Sergio Ortobelli Lozza

According to our database, Sergio Ortobelli Lozza authored at least 22 papers between 2002 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of three.

2024

Modelling De novo programming within Simon's satisficing theory: Methods and application in designing an optimal offshore wind farm location system.

Amin Hocine, Noureddine Kouaissah, Sergio Ortobelli Lozza, Tarik Aouam

Eur. J. Oper. Res., 2024

2023

Portfolio optimization with asset preselection using data envelopment analysis.

Mohammad Mehdi Hosseinzadeh, Sergio Ortobelli Lozza, Farhad Hosseinzadeh Lotfi, Vittorio Moriggia

Central Eur. J. Oper. Res., March, 2023

XOR-analytic network process and assessing the impact of COVID-19 by sector.

Amin Hocine, Noureddine Kouaissah, Sergio Ortobelli Lozza

Comput. Ind. Eng., March, 2023

2022

Preface.

Xu Guo, Sergio Ortobelli Lozza, Wing-Keung Wong

Asia Pac. J. Oper. Res., 2022

2021

Second order of stochastic dominance efficiency vs mean variance efficiency.

Matteo Malavasi, Sergio Ortobelli Lozza, Stefan Trück

Eur. J. Oper. Res., 2021

2020

Joint tails impact in stochastic volatility portfolio selection models.

Marco Bonomelli, Rosella Giacometti, Sergio Ortobelli Lozza

Ann. Oper. Res., 2020

2019

Timing portfolio strategies with exponential Lévy processes.

Sergio Ortobelli Lozza, Enrico Angelelli, Alda Ndoci

Comput. Manag. Sci., 2019

On the use of conditional expectation in portfolio selection problems.

Sergio Ortobelli, Noureddine Kouaissah, Tomás Tichý

Ann. Oper. Res., 2019

2018

Portfolio selection strategy for fixed income markets with immunization on average.

Sergio Ortobelli, Sebastiano Vitali, Marco Cassader, Tomás Tichý

Ann. Oper. Res., 2018

2017

Fusion of multiple diverse predictors in stock market.

Sasan Barak, Azadeh Arjmand, Sergio Ortobelli

Inf. Fusion, 2017

On the impact of conditional expectation estimators in portfolio theory.

Sergio Ortobelli, Noureddine Kouaissah, Tomás Tichý

Comput. Manag. Sci., 2017

2016

Asymptotic stochastic dominance rules for sums of i.i.d. random variables.

Sergio Ortobelli, Tommaso Lando, Filomena Petronio, Tomás Tichý

J. Comput. Appl. Math., 2016

2015

On the impact of semidefinite positive correlation measures in portfolio theory.

Sergio Ortobelli, Tomás Tichý

Ann. Oper. Res., 2015

2013

Structural Credit Risk Models with Subordinated Processes.

Martin Gurny, Sergio Ortobelli Lozza, Rosella Giacometti

J. Appl. Math., 2013

2011

A Stochastic Model for Mortality Rate on Italian Data.

Rosella Giacometti, Sergio Ortobelli Lozza, Marida Bertocchi

J. Optim. Theory Appl., 2011

2009

Moment based approaches to value the risk of contingent claim portfolios.

Gaetano Iaquinta, Fabio Lamantia, Ivar Massabò, Sergio Ortobelli Lozza

Ann. Oper. Res., 2009

Maximum Expected Utility of Markovian Predicted Wealth.

Enrico Angelelli, Sergio Ortobelli Lozza

Proceedings of the Computational Science, 2009

2008

Delta hedging strategies comparison.

Domenico De Giovanni, Sergio Ortobelli Lozza, Svetlozar T. Rachev

Eur. J. Oper. Res., 2008

2007

Discrete Time Portfolio Selection with Lévy Processes.

Cesarino Bertini, Sergio Ortobelli Lozza, Alessandro Staino

Proceedings of the Intelligent Data Engineering and Automated Learning, 2007

2006

Financial Risk Modeling with Markov Chains.

Arturo Leccadito, Sergio Ortobelli Lozza, Emilio Russo, Gaetano Iaquinta

Proceedings of the Intelligent Data Engineering and Automated Learning, 2006

2004

Time-Scale Transformations: Effects on VaR Models.

Fabio Lamantia, Sergio Ortobelli Lozza, Svetlozar T. Rachev

Proceedings of the Computational Science, 2004

2002

Portfolio selection with stable distributed returns.

Sergio Ortobelli, Isabella Huber, Eduardo Schwartz

Math. Methods Oper. Res., 2002