Elio Canestrelli

Publication Activity (10 Years)

Years Active: 1996-2019
Publications (10 Years): 2

Top Topics

Stochastic Optimization Problems

Multistage Stochastic

Investment Strategies

Top Venues

Central Eur. J. Oper. Res.

Comput. Manag. Sci.

Publications

Diana Barro, Elio Canestrelli, Giorgio Consigli
Volatility versus downside risk: performance protection in dynamic portfolio strategies. Comput. Manag. Sci. 16 (3) (2019)
Diana Barro, Elio Canestrelli
Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems. OR Spectr. 38 (3) (2016)
Diana Barro, Elio Canestrelli
Downside risk in multiperiod tracking error models. Central Eur. J. Oper. Res. 22 (2) (2014)
Diana Barro, Elio Canestrelli
Portfolio management with minimum guarantees: some modeling and optimization issues. WIRN (2009)
Diana Barro, Elio Canestrelli
Tracking error: a multistage portfolio model. Ann. Oper. Res. 165 (1) (2009)
Elio Canestrelli, P. Canestrelli, Marco Corazza, Maurizio Filippone, Silvio Giove, Francesco Masulli
Local Learning of Tide Level Time Series using a Fuzzy Approach. IJCNN (2007)
Diana Barro, Elio Canestrelli
Dynamic portfolio optimization: Time decomposition using the Maximum Principle with a scenario approach. Eur. J. Oper. Res. 163 (1) (2005)
Elio Canestrelli, Silvio Giove, Robert Fullér
Stability in possibilistic quadratic programming. Fuzzy Sets Syst. 82 (1) (1996)