Sebastiano Vitali

Publication Activity (10 Years)

Years Active: 2017-2024
Publications (10 Years): 13

Top Topics

Investment Strategies

Portfolio Selection

Stochastic Dominance

Fuzzy Random Variables

Top Venues

Comput. Manag. Sci.

Ann. Oper. Res.

Publications

Matús Maciak, Sebastiano Vitali
Using interpolated implied volatility for analysing exogenous market changes. Comput. Manag. Sci. 21 (1) (2024)
Zdenek Drábek, Milos Kopa, Matús Maciak, Michal Pesta, Sebastiano Vitali
Investment disputes and their explicit role in option market uncertainty and overall risk instability. Comput. Manag. Sci. 20 (1) (2023)
Sebastiano Vitali, Milos Kopa, Gabriel E. Giana
Implied volatility smoothing at COVID-19 times. Comput. Manag. Sci. 20 (1) (2023)
Sebastiano Vitali, Vittorio Moriggia
Pension fund management with investment certificates and stochastic dominance. Ann. Oper. Res. 299 (1) (2021)
Sebastiano Vitali, Ruth Domínguez, Vittorio Moriggia
Comparing stage-scenario with nodal formulation for multistage stochastic problems. 4OR 19 (4) (2021)
Giorgio Consigli, Vittorio Moriggia, Sebastiano Vitali
Long-term individual financial planning under stochastic dominance constraints. Ann. Oper. Res. 292 (2) (2020)
Markéta Horejsová, Sebastiano Vitali, Milos Kopa, Vittorio Moriggia
Evaluation of scenario reduction algorithms with nested distance. Comput. Manag. Sci. 17 (2) (2020)
Sebastiano Vitali
Multistage multivariate nested distance: An empirical analysis. Kybernetika 54 (6) (2018)
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)
Milos Kopa, Vittorio Moriggia, Sebastiano Vitali
Individual optimal pension allocation under stochastic dominance constraints. Ann. Oper. Res. 260 (1-2) (2018)
Sergio Ortobelli, Sebastiano Vitali, Marco Cassader, Tomás Tichý
Portfolio selection strategy for fixed income markets with immunization on average. Ann. Oper. Res. 260 (1-2) (2018)
Sebastiano Vitali, Vittorio Moriggia, Milos Kopa
Optimal pension fund composition for an Italian private pension plan sponsor. Comput. Manag. Sci. 14 (1) (2017)
Milos Kopa, Sebastiano Vitali, Tomás Tichý, Radek Hendrych
Implied volatility and state price density estimation: arbitrage analysis. Comput. Manag. Sci. 14 (4) (2017)