Asmerilda Hitaj
Asmerilda Hitaj
Università degli Studi dell'Insubria
Verified email at unimib.it
Title
Cited by
Cited by
Year
Portfolio allocation using multivariate variance gamma models
A Hitaj, L Mercuri
Financial markets and portfolio management 27 (1), 65-99, 2013
262013
Portfolio selection with independent component analysis
A Hitaj, L Mercuri, E Rroji
Finance Research Letters 15, 146-159, 2015
172015
Optimal hedge fund allocation with improved estimates for coskewness and cokurtosis parameters
A Hitaj, L Martellini, G Zambruno
The Journal of Alternative Investments 14 (3), 6-16, 2011
172011
Asset allocation: new evidence through network approaches
GP Clemente, R Grassi, A Hitaj
Annals of Operations Research, 1-20, 2019
122019
Are Smart Beta strategies suitable for hedge fund portfolios?
A Hitaj, G Zambruno
Review of Financial Economics 29, 37-51, 2016
112016
Lambda value at risk: a new backtestable alternative to VaR
A Hitaj, I Peri
Available at SSRN, 2015
9*2015
Hedge fund portfolio allocation with higher moments and mvg models
A Hitaj, L Mercuri
Advances in Financial Risk Management, 331-346, 2013
62013
Goodman and KruskalĘs Gamma Coefficient for Ordinalized Bivariate Normal Distributions
A Barbiero, A Hitaj
psychometrika 85 (4), 905-925, 2020
22020
Lévy CARMA models for shocks in mortality
A Hitaj, L Mercuri, E Rroji
Decisions in Economics and Finance 42 (1), 205-227, 2019
22019
On properties of the MixedTS distribution and its multivariate extension
A Hitaj, F Hubalek, L Mercuri, E Rroji
International Statistical Review 86 (3), 512-540, 2018
22018
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization
A Hitaj, L Mercuri, E Rroji
Computational Management Science, 1-25, 2018
22018
Portfolio optimization using modified Herfindahl constraint
A Hitaj, G Zambruno
Handbook of Recent Advances in Commodity and Financial Modeling, 211-239, 2018
22018
Multivariate mixed tempered stable distribution
A Hitaj, F Hubalek, L Mercuri, E Rroji
arXiv preprint arXiv:1609.00926, 2016
22016
On multivariate extensions of the Mixed Tempered Stable distribution
A Hitaj, F Hubalek, L Mercuri, E Rroji
The International Statistical Institute/International Association for†…, 2016
22016
Portfolio Choice Under Cumulative Prospect Theory: Sensitivity Analysis and an Empirical Study
A Hitaj, E Mastrogiacomo
Available at SSRN 2598186, 2015
22015
Multivariate non-Gaussian models for financial applications
ML Bianchi, A Hitaj, GL Tassinari
arXiv preprint arXiv:2005.06390, 2020
12020
Smart network based portfolios
GP Clemente, R Grassi, A Hitaj
arXiv preprint arXiv:1907.01274, 2019
12019
Portfolio Choice Under Cumulative Prospect Theory: Sensitivity Analysis and an Empirical Study
G Consigli, A Hitaj, E Mastrogiacomo
Computational Management Science, 2018
12018
Some empirical evidence on the need of more advanced approaches in mortality modeling
A Hitaj, L Mercuri, E Rroji
Mathematical and Statistical Methods for Actuarial Sciences and Finance, 425-430, 2018
12018
Portfolio allocation under general return distribution
A HITAJ
Università degli Studi di Milano-Bicocca, 2010
12010
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Articles 1–20