Alessandro Staino

Publication Activity (10 Years)

Years Active: 2007-2023
Publications (10 Years): 4

Top Topics

Portfolio Selection

Top Venues

Eur. J. Oper. Res.

J. Comput. Appl. Math.

Commun. Nonlinear Sci. Numer. Simul.

Comput. Manag. Sci.

Publications

Massimo Costabile, Ivar Massabò, Emilio Russo, Alessandro Staino
Lattice-based model for pricing contingent claims under mixed fractional Brownian motion. Commun. Nonlinear Sci. Numer. Simul. 118 (2023)
Alessandro Staino, Emilio Russo, Massimo Costabile, Arturo Leccadito
Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint. Comput. Manag. Sci. 20 (1) (2023)
Massimo Costabile, Ivar Massabò, Emilio Russo, Alessandro Staino
A lattice approach to evaluate participating policies in a stochastic interest rate framework. J. Comput. Appl. Math. 385 (2021)
Alessandro Staino, Emilio Russo
Nested Conditional Value-at-Risk portfolio selection: A model with temporal dependence driven by market-index volatility. Eur. J. Oper. Res. 280 (2) (2020)
Alessandro Staino, Emilio Russo
A moment-matching method to generate arbitrage-free scenarios. Eur. J. Oper. Res. 246 (2) (2015)
Andrea Consiglio, Alessandro Staino
A stochastic programming model for the optimal issuance of government bonds. Ann. Oper. Res. 193 (1) (2012)
Cesarino Bertini, Sergio Ortobelli Lozza, Alessandro Staino
Discrete Time Portfolio Selection with Lévy Processes. IDEAL (2007)