Elisa Mastrogiacomo

Publication Activity (10 Years)

Years Active: 2012-2024
Publications (10 Years): 6

Top Topics

Top Venues

Ann. Oper. Res.

Math. Oper. Res.

Math. Methods Oper. Res.

Comput. Manag. Sci.

Publications

Elisa Mastrogiacomo, Emanuela Rosazza Gianin
Dynamic capital allocation rules via BSDEs: an axiomatic approach. Ann. Oper. Res. 336 (1-2) (2024)
Elisa Mastrogiacomo, Matteo Rocca
Set optimization of set-valued risk measures. Ann. Oper. Res. 296 (1) (2021)
Emilio Barucci, Daniele Marazzina, Elisa Mastrogiacomo
Optimal investment strategies with a minimum performance constraint. Ann. Oper. Res. 299 (1) (2021)
Giovanni Paolo Crespi, Elisa Mastrogiacomo
Qualitative robustness of set-valued value-at-risk. Math. Methods Oper. Res. 91 (1) (2020)
Giorgio Consigli, Asmerilda Hitaj, Elisa Mastrogiacomo
Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study. Comput. Manag. Sci. 16 (1-2) (2019)
Elisa Mastrogiacomo, Emanuela Rosazza Gianin
Portfolio Optimization with Quasiconvex Risk Measures. Math. Oper. Res. 40 (4) (2015)
Stefano Bonaccorsi, Fulvia Confortola, Elisa Mastrogiacomo
Optimal Control for Stochastic Volterra Equations with Completely Monotone Kernels. SIAM J. Control. Optim. 50 (2) (2012)