Agostino Capponi

Publication Activity (10 Years)

Years Active: 2003-2024
Publications (10 Years): 33

Top Topics

Capacity Constraints

Asset Management

Closed Form Expressions

Phase Transition

Top Venues

Math. Oper. Res.

Publications

Agostino Capponi, Marko H. Weber
Systemic Portfolio Diversification. Oper. Res. 72 (1) (2024)
Agostino Capponi, Mihailo Stojnic
Exact Error in Matrix Completion: Approximately Low-Rank Structures and Missing Blocks. CoRR (2024)
John R. Birge, Agostino Capponi, Peng-Chu Chen
Disruption and Rerouting in Supply Chain Networks. Oper. Res. 71 (2) (2023)
Agostino Capponi, Mihailo Stojnic
Causal Inference (C-inf) - closed form worst case typical phase transitions. CoRR (2023)
Agostino Capponi, Mihailo Stojnic
Phase Transitions: Explicit relations for sparse vector and low rank recovery. ISIT (2023)
Agostino Capponi, Garud Iyengar, Jay Sethuraman
Decentralized Finance: Protocols, Risks, and Governance. CoRR (2023)
Agostino Capponi, Ruizhe Jia, Brian Zhu
The Paradox Of Just-in-Time Liquidity in Decentralized Exchanges: More Providers Can Sometimes Mean Less Liquidity. CoRR (2023)
Agostino Capponi, Ruizhe Jia, Ye Wang
Do Private Transaction Pools Mitigate Frontrunning Risk? IACR Cryptol. ePrint Arch. 2023 (2023)
Agostino Capponi, Mihailo Stojnic
Causal Inference (C-inf) - asymmetric scenario of typical phase transitions. CoRR (2023)
Agostino Capponi, Mihailo Stojnic
Causal Inference - closed form expressions for worst case typical phase transitions. ISIT (2023)
Agostino Capponi, Sveinn Ólafsson, Humoud Alsabah
Proof-of-Work Cryptocurrencies: Does Mining Technology Undermine Decentralization? Manag. Sci. 69 (11) (2023)
Lijun Bo, Agostino Capponi, Chao Zhou
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors. Math. Oper. Res. 48 (1) (2023)
Agostino Capponi, Garud Iyengar, Jay Sethuraman
Decentralized Finance: Protocols, Risks, and Governance. Found. Trends Priv. Secur. 5 (3) (2023)
Bruno Biais, Agostino Capponi, Lin William Cong, Vishal Gaur, Kay Giesecke
Advances in Blockchain and Crypto Economics. Manag. Sci. 69 (11) (2023)
Jessie Jiaxu Wang, Agostino Capponi, Hongzhong Zhang
A Theory of Collateral Requirements for Central Counterparties. Manag. Sci. 68 (9) (2022)
Kerstin Awiszus, Agostino Capponi, Stefan Weber
Market Efficient Portfolios in a Systemic Economy. Oper. Res. 70 (2) (2022)
Agostino Capponi, Sveinn Ólafsson, Thaleia Zariphopoulou
Personalized Robo-Advising: Enhancing Investment Through Client Interaction. Manag. Sci. 68 (4) (2022)
Lijun Bo, Agostino Capponi, Huafu Liao
Large Sample Mean-Field Stochastic Optimization. SIAM J. Control. Optim. 60 (4) (2022)
Agostino Capponi, Alexey Rubtsov
Systemic Risk-Driven Portfolio Selection. Oper. Res. 70 (3) (2022)
Humoud Alsabah, Benjamin Bernard, Agostino Capponi, Garud Iyengar, Jay Sethuraman
Multiregional Oligopoly with Capacity Constraints. Manag. Sci. 67 (8) (2021)
Bruno Biais, Agostino Capponi, Lin William Cong, Vishal Gaur, Kay Giesecke
Special Issue on Blockchains and Crypto Economics. Manag. Sci. 67 (1) (2021)
Agostino Capponi, Xu Sun, David D. Yao
A Dynamic Network Model of Interbank Lending - Systemic Risk and Liquidity Provisioning. Math. Oper. Res. 45 (3) (2020)
Agostino Capponi, Paul Glasserman, Marko H. Weber
Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions. Manag. Sci. 66 (8) (2020)
Humoud Alsabah, Agostino Capponi, Octavio Ruiz Lacedelli, Matt Stern
Robo-advising: Learning Investors' Risk Preferences via Portfolio Choices. CoRR (2019)
Agostino Capponi, W. Allen Cheng
Clearinghouse Margin Requirements. Oper. Res. 66 (6) (2018)
Lijun Bo, Agostino Capponi
Portfolio Choice with Market-Credit-Risk Dependencies. SIAM J. Control. Optim. 56 (4) (2018)
John R. Birge, Lijun Bo, Agostino Capponi
Risk-Sensitive Asset Management and Cascading Defaults. Math. Oper. Res. 43 (1) (2018)
Lijun Bo, Agostino Capponi
Optimal Credit Investment with Borrowing Costs. Math. Oper. Res. 42 (2) (2017)
Lijun Bo, Agostino Capponi
Robust Optimization of Credit Portfolios. Math. Oper. Res. 42 (1) (2017)
Agostino Capponi, Reza Ghanadan, Matt Stern
Risk-Sensitive Cooperative Games for Human-Machine Systems. CoRR (2017)
Agostino Capponi, Christoph Frei
Systemic Influences on Optimal Equity-Credit Investment. Manag. Sci. 63 (8) (2017)
Lijun Bo, Agostino Capponi
Optimal Investment Under Information Driven Contagious Distress. SIAM J. Control. Optim. 55 (2) (2017)
Agostino Capponi, Peng-Chu Chen, David D. Yao
Liability Concentration and Systemic Losses in Financial Networks. Oper. Res. 64 (5) (2016)
Agostino Capponi, Christoph Frei
Dynamic Contracting: Accidents Lead to Nonlinear Contracts. SIAM J. Financial Math. 6 (1) (2015)
Lijun Bo, Agostino Capponi
Systemic Risk in Interbanking Networks. SIAM J. Financial Math. 6 (1) (2015)
Agostino Capponi, José E. Figueroa-López, Andrea Pascucci
Dynamic credit investment in partially observed markets. Finance Stochastics 19 (4) (2015)
Agostino Capponi, Stefano Pagliarani, Tiziano Vargiolu
Pricing vulnerable claims in a Lévy-driven model. Finance Stochastics 18 (4) (2014)
Lijun Bo, Agostino Capponi
Bilateral credit valuation adjustment for large credit derivatives portfolios. Finance Stochastics 18 (2) (2014)
Agostino Capponi, Jaksa Cvitanic, Türkay Yolcu
A Variational Approach to Contracting under Imperfect Observations. SIAM J. Financial Math. 3 (1) (2012)
Agostino Capponi, Ibrahim Fatkullin, Ling Shi
Stochastic Filtering for Diffusion Processes With Level Crossings. IEEE Trans. Autom. Control. 56 (9) (2011)
Agostino Capponi
A convex optimization approach to filtering in jump linear systems with state dependent transitions. Autom. 46 (2) (2010)
Agostino Capponi, Alfonso Farina, Concetta Pilotto
Expressing stochastic filters via number sequences. Signal Process. 90 (7) (2010)
Agostino Capponi, Umberto Cherubini
A Copula Function Approach to Infer Correlation in Prediction Markets. AMMA (2009)
Agostino Capponi
Tutorial: Frontiers of computational engineering and finance: Modeling and calibrating credit risk. CIFEr (2009)
Agostino Capponi, Concetta Pilotto
Stochastic filtering in jump systems with state dependent mode transitions. ACC (2009)
Agostino Capponi
A calibration method for structural models of credit risk with reporting bias. CIFEr (2009)
Hajo Broersma, Agostino Capponi, Daniël Paulusma
A New Algorithm for On-line Coloring Bipartite Graphs. SIAM J. Discret. Math. 22 (1) (2008)
K. Mani Chandy, Michel Charpentier, Agostino Capponi
Towards a theory of events. DEBS (2007)
Agostino Capponi, Concetta Pilotto, Alfonso Farina, Giovanni Golino, Lance M. Kaplan
Connectivity for the Frisbee Architecture. FUSION (2006)
Agostino Capponi, Concetta Pilotto, Giovanni Golino, Alfonso Farina, Lance M. Kaplan
Algorithms for the selection of the active sensors in distributed tracking: comparison between Frisbee and GNS methods. FUSION (2006)
Hajo Broersma, Agostino Capponi, Daniël Paulusma
On-Line Coloring of H-Free Bipartite Graphs. CIAC (2006)
Alfonso Farina, Annarita Di Lallo, Tiziano Volpi, Agostino Capponi
Accuracy of fused track for radar systems. Signal Process. 85 (6) (2005)
Agostino Capponi, Concetta Pilotto
-relaxed coloring. Inf. Process. Lett. 96 (4) (2005)
Agostino Capponi
A tutorial on the Deterministic two-party Communication Complexity Electron. Colloquium Comput. Complex. (075) (2003)