Giorgio Consigli

Credito Italiano

Head Office

Via S.Protaso, 3

20149 Milan

Italy

SCHOLARLY PAPERS

3

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CROSSREF CITATIONS

4

Scholarly Papers (3)

1.

Dynamic Stochastic Programming for Asset-Liability Management

Number of pages: 42 Posted: 19 Mar 1998
Giorgio Consigli and M. A. H. Dempster
Credito Italiano and University of Cambridge - Centre for Financial Research
Downloads 1,509 (11,608)
Citation 7

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Portfolio Choice Under Cumulative Prospect Theory: Sensitivity Analysis and an Empirical Study

Number of pages: 19 Posted: 25 Apr 2018
Giorgio Consigli, Asmerilda Hitaj and Elisa Mastrogiacomo
Credito Italiano, Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi and University of Insubria
Downloads 34 (463,329)

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Cumulative Prospect Theory, non-convex optimization, robustness and sensitivity analysis, hedge funds

3.

A Multivariate Approach to Project Common Trends in Mortality Indices

Number of pages: 26 Posted: 02 Apr 2018
Ntamjokouen Achille, Steven Haberman and Giorgio Consigli
Università degli Studi di Bergamo, City University London - Faculty of Actuarial Science and Credito Italiano
Downloads 25 (496,932)
Citation 1

Abstract:

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Mortality indices, Common trends, dependence, ARIMA, VAR, VECM