Diana Barro

Ca Foscari University of Venice - Dipartimento di Economia

Cannaregio 873

Venice, 30121

Italy

SSAV

Venice

Italy

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 30,682

SSRN RANKINGS

Top 30,682

in Total Papers Downloads

2,351

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (8)

1.

Volatility vs. Downside Risk: Optimally Protecting Against Drawdowns and Maintaining Portfolio Performance

University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 18/WP/2014
Number of pages: 28 Posted: 12 Nov 2014
Diana Barro, Elio Canestrelli and Fabio Lanza
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia and Independent
Downloads 1,052 (30,395)

Abstract:

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Volatility, tail risk, stochastic programming, risk management

2.

Counterparty Risk: A Credit Contagion Model for a Bank Loan Portfolio

Number of pages: 24 Posted: 19 May 2005
Diana Barro and Antonella Basso
Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 722 (50,983)

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Credit risk, counterparty risk, bank loan portfolios, contagion models

3.

A Credit Contagion Model for Loan Portfolios in a Network of Firms with Spatial Interaction

Number of pages: 24 Posted: 15 Nov 2006
Diana Barro and Antonella Basso
Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 168 (249,419)

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credit risk, bank loan portfolios, contagion

4.

Downside Risk in Multiperiod Tracking Error Models

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 17/WP/2012
Number of pages: 23 Posted: 28 Jul 2012
Diana Barro and Elio Canestrelli
Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 121 (322,660)

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Tracking error, Downside risk, Dynamic portfolio, Stochastic programming

5.

Combining Stochastic Programming and Optimal Control to Solve Multistage Stochastic Optimization Problems

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 24/2011
Number of pages: 21 Posted: 15 Dec 2011
Diana Barro and Elio Canestrelli
Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 95 (379,746)
Citation 2

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Stochastic programming, discrete time control problem, decomposition methods, iterative scheme

6.

Spatial Aggregation in Scenario Tree Reduction

Number of pages: 9 Posted: 30 Nov 2006
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia and affiliation not provided to SSRN
Downloads 82 (415,378)

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Stochastic Programming, Scenario tree reduction, Spatial aggregation

7.

Cumulative Prospect Theory Portfolio Selection

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 26/WP/2020
Number of pages: 14 Posted: 12 Jan 2021
Diana Barro, Marco Corazza and Martina Nardon
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 69 (457,015)

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Cumulative Prospect Theory, Portfolio Selection, Particle Swarm Optimization

8.

Dynamic Tracking Error with Shortfall Control Using Stochastic Programming

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 18/WP/2012
Number of pages: 16 Posted: 28 Jul 2012
Diana Barro and Elio Canestrelli
Ca Foscari University of Venice - Dipartimento di Economia and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 42 (570,801)

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Dynamic portfolio optimization, Tracking error, Shortfall control