Giorgio Consigli

Publication Activity (10 Years)

Years Active: 1998-2024
Publications (10 Years): 12

Top Topics

Cumulative Prospect Theory

Chance Constrained

Stochastic Optimization

Planning Under Uncertainty

Top Venues

Ann. Oper. Res.

Comput. Manag. Sci.

Eng. Appl. Artif. Intell.

Publications

Giorgio Consigli, Alvaro Almeida Gomez, Jorge P. Zubelli
Optimal dynamic fixed-mix portfolios based on reinforcement learning with second order stochastic dominance. Eng. Appl. Artif. Intell. 133 (2024)
Davide Lauria, Giorgio Consigli, Francesca Maggioni
Optimal chance-constrained pension fund management through dynamic stochastic control. OR Spectr. 44 (3) (2022)
Jia Liu, Zhiping Chen, Giorgio Consigli
Interval-based stochastic dominance: theoretical framework and application to portfolio choices. Ann. Oper. Res. 307 (1) (2021)
Giorgio Consigli, Vittorio Moriggia, Sebastiano Vitali
Long-term individual financial planning under stochastic dominance constraints. Ann. Oper. Res. 292 (2) (2020)
Giorgio Consigli, Darinka Dentcheva, Francesca Maggioni
Correction to: Preface: Stochastic optimization: theory and applications. Ann. Oper. Res. 292 (2) (2020)
Zhe Yan, Zhiping Chen, Giorgio Consigli, Jia Liu, Ming Jin
A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems. Ann. Oper. Res. 292 (2) (2020)
Giorgio Consigli, Darinka Dentcheva, Francesca Maggioni
Stochastic optimization: theory and applications. Ann. Oper. Res. 292 (2) (2020)
Diana Barro, Elio Canestrelli, Giorgio Consigli
Volatility versus downside risk: performance protection in dynamic portfolio strategies. Comput. Manag. Sci. 16 (3) (2019)
Giorgio Consigli, Anton J. Kleywegt
Data-driven optimization in management. Comput. Manag. Sci. 16 (3) (2019)
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)
Giorgio Consigli, Vittorio Moriggia, Sebastiano Vitali, Lorenzo Mercuri
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming. Comput. Manag. Sci. 15 (3-4) (2018)
Giorgio Consigli, Paolo Brandimarte, Daniel Kuhn
Financial Optimization: optimization paradigms and financial planning under uncertainty. OR Spectr. 37 (3) (2015)
Jitka Dupacová, Giorgio Consigli, Stein W. Wallace
Scenarios for Multistage Stochastic Programs. Ann. Oper. Res. 100 (1-4) (2000)
Giorgio Consigli, M. A. H. Dempster
Dynamic stochastic programming for asset-liability management. Ann. Oper. Res. 81 (1998)