Asmerilda Hitaj

Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi

Milano, 20126

Italy

SCHOLARLY PAPERS

8

DOWNLOADS

725

CITATIONS

1

Ideas:
“  Asset liability management  ”

Scholarly Papers (8)

1.

Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk

Number of pages: 20 Posted: 15 Mar 2017 Last Revised: 23 Mar 2018
Asmerilda Hitaj, Cesario Mateus and Ilaria Peri
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Aalborg University and University of London - Economics, Mathematics and Statistics
Downloads 177 (168,701)

Abstract:

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banking regulation, financial risk management, risk modelling, value at risk

2.

VIX Computation Based on Affine Stochastic Volatility Models in Discrete Time

Forthcoming on "Recent Advances in Commodity and Financial Modeling" Springer's International Series in Operations Research and Management Science.
Number of pages: 16 Posted: 29 Mar 2013 Last Revised: 19 Dec 2015
Asmerilda Hitaj, Lorenzo Mercuri and Edit Rroji
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 153 (191,201)

Abstract:

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Affine Stochastic Volatility, VIX, Implied Volatility Surface

3.

Portfolio Allocation Using Multivariate Variance Gamma

Number of pages: 21 Posted: 23 Dec 2011
Asmerilda Hitaj and Lorenzo Mercuri
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi and University of Milan
Downloads 147 (197,529)

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4.

Portfolio Selection with Independent Component Analysis

Finance Research Letters, Forthcoming
Number of pages: 10 Posted: 09 Sep 2015
Asmerilda Hitaj, Lorenzo Mercuri and Edit Rroji
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 145 (199,790)

Abstract:

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Independent Components, Portfolio Allocation, Infinitely Divisible Distributions

5.

Stochastic Mortality Modelling: Some Extensions Based on Lévy CARMA Models

Number of pages: 24 Posted: 23 Aug 2017
Asmerilda Hitaj, Lorenzo Mercuri and Edit Rroji
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 35 (442,411)

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Stochastic Mortality, CARMA(p,q) model, Lévy process

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 33 (461,930)

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

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

Posted: 25 Apr 2015
Asmerilda Hitaj and Elisa Mastrogiacomo
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi and University of Insubria

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Finance, Investment analysis, Robustness and sensitivity analysis, Scenarios, Utility theory.

7.

Sensitivity Analysis of the Mixed Tempered Stable Parameters with Implications in Portfolio Optimization

Number of pages: 14 Posted: 02 Oct 2017
Asmerilda Hitaj, Lorenzo Mercuri and Edit Rroji
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 18 (530,667)

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Mixed Tempered Stable distribution; sensitivity analysis; portfolio optimization

8.

Some Empirical Evidence on the Need of More Advanced Approaches in Mortality Modeling

Number of pages: 4 Posted: 26 Jan 2018
Asmerilda Hitaj, Lorenzo Mercuri and Edit Rroji
Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 17 (536,500)

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Mortality Models; Autocovariance Function; Ornstein-Uhlenbeck