Rosella Giacometti

20 papers Journal 20
YearRankTypeTitle / Venue / Authors
2026 J jnl
Mean-CVaR portfolio optimization under ESG disagreement.
Comput. Manag. Sci.
Davide Lauria, Marco Bonomelli, Gabriele Torri, Rosella Giacometti
2026 J jnl
Modeling portfolio loss distribution under infectious defaults and immunization.
Commun. Nonlinear Sci. Numer. Simul.
Gabriele Torri, Rosella Giacometti, Gian Luca Farina
2025 J jnl
A return-diversification approach to portfolio selection.
Comput. Manag. Sci.
Francesco Cesarone, Rosella Giacometti, Manuel Luis Martino, Fabio Tardella
2025 J jnl
Outlier detection of multivariate data via the maximization of the cumulant generating function.
J. Comput. Appl. Math.
Francesco Cesarone, Rosella Giacometti, Jacopo M. Ricci
2024 J jnl
Penalized enhanced portfolio replication with asymmetric deviation measures.
Ann. Oper. Res.
Gabriele Torri, Rosella Giacometti, Sandra Paterlini
2023 J jnl
Financial contagion in banking networks with community structure.
Commun. Nonlinear Sci. Numer. Simul.
Gabriele Torri, Rosella Giacometti
2020 J jnl
Joint tails impact in stochastic volatility portfolio selection models.
Ann. Oper. Res.
Marco Bonomelli, Rosella Giacometti, Sergio Ortobelli Lozza
2020 J jnl
Risk attribution and interconnectedness in the EU via CDS data.
Comput. Manag. Sci.
Rosella Giacometti, Gabriele Torri, Giulia Farina, Maria Elena De Giuli
2019 J jnl
14th International Conference on Computational Management Science.
Comput. Manag. Sci.
Rosella Giacometti, Berç Rustem
2019 J jnl
Market implied volatilities for defaultable bonds.
Ann. Oper. Res.
Vincenzo Russo, Rosella Giacometti, Frank J. Fabozzi
2019 J jnl
Sparse precision matrices for minimum variance portfolios.
Comput. Manag. Sci.
Gabriele Torri, Rosella Giacometti, Sandra Paterlini
2019 J jnl
Systemic risk attribution in the EU.
J. Oper. Res. Soc.
Giulia Farina, Rosella Giacometti, Maria Elena De Giuli
2018 J jnl
Robust and sparse banking network estimation.
Eur. J. Oper. Res.
Gabriele Torri, Rosella Giacometti, Sandra Paterlini
2013 J jnl
Structural Credit Risk Models with Subordinated Processes.
J. Appl. Math.
Martin Gurny, Sergio Ortobelli Lozza, Rosella Giacometti
2012 J jnl
Credit default swaps: implied ratings versus official ones.
4OR
Rosella Castellano, Rosella Giacometti
2012 J jnl
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model.
Ann. Oper. Res.
Young Shin Kim, Rosella Giacometti, Svetlozar T. Rachev, Frank J. Fabozzi, Domenico Mignacca
2011 J jnl
A Stochastic Model for Mortality Rate on Italian Data.
J. Optim. Theory Appl.
Rosella Giacometti, Sergio Ortobelli Lozza, Marida Bertocchi
2005 J jnl
On pricing of credit spread options.
Eur. J. Oper. Res.
Rosella Giacometti, Mariangela Teocchi
2005 J jnl
Risk factor analysis and portfolio immunization in the corporate bond market.
Eur. J. Oper. Res.
Marida Bertocchi, Rosella Giacometti, Stavros A. Zenios
2000 J jnl
Bond portfolio management with repo contracts: the Italian case.
Ann. Oper. Res.
Marida Bertocchi, Rosella Giacometti, Leon Slominski