Elio Canestrelli

Ca Foscari University of Venice - Dipartimento di Economia

Professor

Cannaregio 873

Venice, 30121

Italy

  • Ca Foscari University of Venice - Dipartimento di Economia

SCHOLARLY PAPERS

5

DOWNLOADS

1,880

TOTAL CITATIONS

2

Scholarly Papers (5)

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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 1,423 (29,134)

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Volatility, tail risk, stochastic programming, risk management

2.

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 154 (400,968)

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Tracking error, Downside risk, Dynamic portfolio, Stochastic programming

3.

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 127 (467,675)
Citation 2

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

4.

Spatial Aggregation in Scenario Tree Reduction

Number of pages: 9 Posted: 30 Nov 2006
Diana Barro, Elio Canestrelli and Pierangelo Ciurlia
Ca Foscari University of Venice - Dipartimento di Economia, Ca Foscari University of Venice - Dipartimento di Economia and affiliation not provided to SSRN
Downloads 103 (547,323)

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Stochastic Programming, Scenario tree reduction, Spatial aggregation

5.

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 73 (674,100)

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Dynamic portfolio optimization, Tracking error, Shortfall control