Vittorio Moriggia

13 papers Journal 12Unranked 1
YearRankTypeTitle / Venue / Authors
2023 J jnl
Portfolio optimization with asset preselection using data envelopment analysis.
Central Eur. J. Oper. Res.
Mohammad Mehdi Hosseinzadeh, Sergio Ortobelli Lozza, Farhad Hosseinzadeh Lotfi, Vittorio Moriggia
2021 J jnl
Comparing stage-scenario with nodal formulation for multistage stochastic problems.
4OR
Sebastiano Vitali, Ruth Domínguez, Vittorio Moriggia
2021 J jnl
Pension fund management with investment certificates and stochastic dominance.
Ann. Oper. Res.
Sebastiano Vitali, Vittorio Moriggia
2020 J jnl
Evaluation of scenario reduction algorithms with nested distance.
Comput. Manag. Sci.
Markéta Horejsová, Sebastiano Vitali, Milos Kopa, Vittorio Moriggia
2020 J jnl
Long-term individual financial planning under stochastic dominance constraints.
Ann. Oper. Res.
Giorgio Consigli, Vittorio Moriggia, Sebastiano Vitali
2018 J jnl
Individual optimal pension allocation under stochastic dominance constraints.
Ann. Oper. Res.
Milos Kopa, Vittorio Moriggia, Sebastiano Vitali
2018 J jnl
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming.
Comput. Manag. Sci.
Giorgio Consigli, Vittorio Moriggia, Sebastiano Vitali, Lorenzo Mercuri
2017 J jnl
Optimal pension fund composition for an Italian private pension plan sponsor.
Comput. Manag. Sci.
Sebastiano Vitali, Vittorio Moriggia, Milos Kopa
2009 J jnl
On the no-arbitrage condition in option implied trees.
Eur. J. Oper. Res.
Vittorio Moriggia, Silvia Muzzioli, Costanza Torricelli
2009 J jnl
Testing the structure of multistage stochastic programs.
Comput. Manag. Sci.
Jitka Dupacová, Marida Bertocchi, Vittorio Moriggia
2006 J jnl
Horizon and stages in applications of stochastic programming in finance.
Ann. Oper. Res.
Marida Bertocchi, Vittorio Moriggia, Jitka Dupacová
2000 J jnl
Sensitivity of Bond Portfolio's Behavior with Respect to Random Movements in Yield Curve: A Simulation Study.
Ann. Oper. Res.
Marida Bertocchi, Vittorio Moriggia, Jitka Dupacová
1998 — conf
Highly parallel computing in simulation on dynamic bond portfolio management.
APL
Vittorio Moriggia, Marida Bertocchi, Jitka Dupacová