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2020 – today
- 2024
[j16]Gabriele Torri
, Rosella Giacometti, Sandra Paterlini:
Penalized enhanced portfolio replication with asymmetric deviation measures. Ann. Oper. Res. 332(1): 481-531 (2024)- 2023
- [j15]Gabriele Torri, Rosella Giacometti:
Financial contagion in banking networks with community structure. Commun. Nonlinear Sci. Numer. Simul. 117: 106924 (2023) - 2020
- [j14]Marco Bonomelli, Rosella Giacometti, Sergio Ortobelli Lozza:
Joint tails impact in stochastic volatility portfolio selection models. Ann. Oper. Res. 292(2): 833-848 (2020) - [j13]Rosella Giacometti, Gabriele Torri, Giulia Farina, Maria Elena De Giuli:
Risk attribution and interconnectedness in the EU via CDS data. Comput. Manag. Sci. 17(4): 549-567 (2020)
2010 – 2019
- 2019
- [j12]Vincenzo Russo, Rosella Giacometti, Frank J. Fabozzi:
Market implied volatilities for defaultable bonds. Ann. Oper. Res. 275(2): 669-683 (2019) - [j11]Rosella Giacometti, Berç Rustem:
14th International Conference on Computational Management Science. Comput. Manag. Sci. 16(1-2): 1-2 (2019) - [j10]Gabriele Torri, Rosella Giacometti, Sandra Paterlini:
Sparse precision matrices for minimum variance portfolios. Comput. Manag. Sci. 16(3): 375-400 (2019) - [j9]Giulia Farina, Rosella Giacometti, Maria Elena De Giuli:
Systemic risk attribution in the EU. J. Oper. Res. Soc. 70(7): 1115-1128 (2019) - 2018
- [j8]Gabriele Torri, Rosella Giacometti, Sandra Paterlini:
Robust and sparse banking network estimation. Eur. J. Oper. Res. 270(1): 51-65 (2018) - 2013
- [j7]Martin Gurny, Sergio Ortobelli Lozza, Rosella Giacometti:
Structural Credit Risk Models with Subordinated Processes. J. Appl. Math. 2013: 138272:1-138272:12 (2013) - 2012
- [j6]Rosella Castellano, Rosella Giacometti:
Credit default swaps: implied ratings versus official ones. 4OR 10(2): 163-180 (2012) - [j5]Young Shin Kim, Rosella Giacometti, Svetlozar T. Rachev, Frank J. Fabozzi, Domenico Mignacca:
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model. Ann. Oper. Res. 201(1): 325-343 (2012) - 2011
- [j4]Rosella Giacometti, Sergio Ortobelli Lozza, Marida Bertocchi:
A Stochastic Model for Mortality Rate on Italian Data. J. Optim. Theory Appl. 149(1): 216-228 (2011)
2000 – 2009
- 2005
- [j3]Marida Bertocchi, Rosella Giacometti, Stavros A. Zenios:
Risk factor analysis and portfolio immunization in the corporate bond market. Eur. J. Oper. Res. 161(2): 348-363 (2005) - [j2]Rosella Giacometti, Mariangela Teocchi:
On pricing of credit spread options. Eur. J. Oper. Res. 163(1): 52-64 (2005) - 2000
- [j1]Marida Bertocchi, Rosella Giacometti, Leon Slominski:
Bond portfolio management with repo contracts: the Italian case. Ann. Oper. Res. 97(1-4): 111-129 (2000)
Coauthor Index
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