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Damiano Rossello

Department of Economics and Business

Corso Italia, 55

Catania, CT Catania 95128

Italy

http://www.dei.unict.it/

  • Department of Economics and Business

SCHOLARLY PAPERS

3

DOWNLOADS

340

TOTAL CITATIONS

1

Scholarly Papers (3)

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1.

A Refined Measure of Conditional Maximum Drawdown

Number of pages: 16 Posted: 11 Mar 2019 Last Revised: 01 Aug 2019
Damiano Rossello and Silvestro Lo Cascio
Department of Economics and Business and University of Catania - Department of Economics and Business
Downloads 184 (418,025)

Abstract:

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Intra-Horizon Risk; Risk Measures for Processes, Maximum Drawdown, Running Minimum, Conditional Risk measures, Systemic Risk

2.

Distributionally Robust Mean-Expectile Portfolio Optimization Under Wasserstein Metric

Number of pages: 31 Posted: 26 Jul 2025
Ruchika Sehgal, Amita Sharma, Renata Mansini and Damiano Rossello
Guru Gobind Singh Indraprastha University, Netaji Subhas Institute of Technology (NSIT) - Netaji Subhas University of Technology, University of Brescia and Department of Economics and Business
Downloads 120 (600,462)

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Distributionally robust optimization, Uncertainty Set, Wasserstein UncertaintySet, Mean-Expectile Portfolio Optimization, Robust Conditional Value-at-Risk

3.

Distorted Expectiles Risk Measure and LP Formulation

Number of pages: 10 Posted: 08 Mar 2025
Sally Giuseppe Arcidiacono and Damiano Rossello
University of Catania and Department of Economics and Business
Downloads 36 (1,263,436)
Citation 1

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Distortion risk measure, Distorted expectation, Rank-dependent expected utility theory, Expectiles, Generalized quantiles