Sergio Ortobelli Lozza

Publication Activity (10 Years)

Years Active: 2004-2024
Publications (10 Years): 7

Top Topics

Stochastic Dominance

Portfolio Selection

Top Venues

Eur. J. Oper. Res.

Asia Pac. J. Oper. Res.

Ann. Oper. Res.

Central Eur. J. Oper. Res.

Publications

Amin Hocine, Noureddine Kouaissah, Sergio Ortobelli Lozza, Tarik Aouam
Modelling De novo programming within Simon's satisficing theory: Methods and application in designing an optimal offshore wind farm location system. Eur. J. Oper. Res. 315 (1) (2024)
Amin Hocine, Noureddine Kouaissah, Sergio Ortobelli Lozza
XOR-analytic network process and assessing the impact of COVID-19 by sector. Comput. Ind. Eng. 177 (2023)
Mohammad Mehdi Hosseinzadeh, Sergio Ortobelli Lozza, Farhad Hosseinzadeh Lotfi, Vittorio Moriggia
Portfolio optimization with asset preselection using data envelopment analysis. Central Eur. J. Oper. Res. 31 (1) (2023)
Xu Guo, Sergio Ortobelli Lozza, Wing-Keung Wong
Preface. Asia Pac. J. Oper. Res. 39 (4) (2022)
Matteo Malavasi, Sergio Ortobelli Lozza, Stefan Trück
Second order of stochastic dominance efficiency vs mean variance efficiency. Eur. J. Oper. Res. 290 (3) (2021)
Marco Bonomelli, Rosella Giacometti, Sergio Ortobelli Lozza
Joint tails impact in stochastic volatility portfolio selection models. Ann. Oper. Res. 292 (2) (2020)
Sergio Ortobelli Lozza, Enrico Angelelli, Alda Ndoci
Timing portfolio strategies with exponential Lévy processes. Comput. Manag. Sci. 16 (1-2) (2019)
Martin Gurny, Sergio Ortobelli Lozza, Rosella Giacometti
Structural Credit Risk Models with Subordinated Processes. J. Appl. Math. 2013 (2013)
Rosella Giacometti, Sergio Ortobelli Lozza, Marida Bertocchi
A Stochastic Model for Mortality Rate on Italian Data. J. Optim. Theory Appl. 149 (1) (2011)
Enrico Angelelli, Sergio Ortobelli Lozza
Maximum Expected Utility of Markovian Predicted Wealth. ICCS (2) (2009)
Gaetano Iaquinta, Fabio Lamantia, Ivar Massabò, Sergio Ortobelli Lozza
Moment based approaches to value the risk of contingent claim portfolios. Ann. Oper. Res. 165 (1) (2009)
Domenico De Giovanni, Sergio Ortobelli Lozza, Svetlozar T. Rachev
Delta hedging strategies comparison. Eur. J. Oper. Res. 185 (3) (2008)
Cesarino Bertini, Sergio Ortobelli Lozza, Alessandro Staino
Discrete Time Portfolio Selection with Lévy Processes. IDEAL (2007)
Arturo Leccadito, Sergio Ortobelli Lozza, Emilio Russo, Gaetano Iaquinta
Financial Risk Modeling with Markov Chains. IDEAL (2006)
Fabio Lamantia, Sergio Ortobelli Lozza, Svetlozar T. Rachev
Time-Scale Transformations: Effects on VaR Models. International Conference on Computational Science (2004)