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Journal Articles
- 2023
[j6]Alessandro Staino
, Emilio Russo, Massimo Costabile, Arturo Leccadito:
Minimum capital requirement and portfolio allocation for non-life insurance: a semiparametric model with Conditional Value-at-Risk (CVaR) constraint. Comput. Manag. Sci. 20(1): 12 (2023)- [j5]Massimo Costabile, Ivar Massabò, Emilio Russo, Alessandro Staino:
Lattice-based model for pricing contingent claims under mixed fractional Brownian motion. Commun. Nonlinear Sci. Numer. Simul. 118: 107042 (2023) - 2021
- [j4]Massimo Costabile, Ivar Massabò, Emilio Russo, Alessandro Staino:
A lattice approach to evaluate participating policies in a stochastic interest rate framework. J. Comput. Appl. Math. 385: 113212 (2021) - 2020
- [j3]Alessandro Staino, Emilio Russo:
Nested Conditional Value-at-Risk portfolio selection: A model with temporal dependence driven by market-index volatility. Eur. J. Oper. Res. 280(2): 741-753 (2020) - 2015
- [j2]Alessandro Staino, Emilio Russo:
A moment-matching method to generate arbitrage-free scenarios. Eur. J. Oper. Res. 246(2): 619-630 (2015) - 2012
- [j1]Andrea Consiglio, Alessandro Staino:
A stochastic programming model for the optimal issuance of government bonds. Ann. Oper. Res. 193(1): 159-172 (2012)
Conference and Workshop Papers
- 2007
- [c1]Cesarino Bertini, Sergio Ortobelli Lozza, Alessandro Staino:
Discrete Time Portfolio Selection with Lévy Processes. IDEAL 2007: 1032-1041
Coauthor Index
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