Rosella Giacometti
Rosella Giacometti
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Stable distributions in the Black–Litterman approach to asset allocation
R Giacometti, M Bertocchi, ST Rachev, FJ Fabozzi
Quantitative Finance 7 (4), 423-433, 2007
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
YS Kim, R Giacometti, ST Rachev, FJ Fabozzi, D Mignacca
Annals of operations research 201 (1), 325-343, 2012
A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates
R Giacometti, M Bertocchi, ST Rachev, FJ Fabozzi
Insurance: Mathematics and Economics 50 (1), 85-93, 2012
Aggregation issues in operational risk
R Giacometti, S Rachev, A Chernobai, M Bertocchi
The Journal of Operational Risk 3 (3), 3-23, 2008
Factor decomposition of the Eurozone sovereign CDS spreads
FJ Fabozzi, R Giacometti, N Tsuchida
Journal of International Money and Finance 65, 1-23, 2016
Calibrating affine stochastic mortality models using term assurance premiums
V Russo, R Giacometti, S Ortobelli, S Rachev, FJ Fabozzi
Insurance: mathematics and economics 49 (1), 53-60, 2011
European regional competitiveness indicators
D Pinelli, R Giacometti, R Lewney, B Fingleton
Discussion Papers 103, 1998
Robust and sparse banking network estimation
G Torri, R Giacometti, S Paterlini
European Journal of Operational Research 270 (1), 51-65, 2018
Impact of different distributional assumptions in forecasting Italian mortality rates
R Giacometti, S Ortobelli, MI Bertocchi
Investment management and financial innovations, 186-193, 2009
Heavy-tailed distributional model for operational losses
R Giacometti, S Rachev, A Chernobai, M Bertocchi, G Consigli
Economic Trends, 2001
The impact of different distributional hypothesis on returns in asset allocation
M Bertocchi, R Giacometti, S Ortobelli, S Rachev
Finance Letters 3 (1), 17-27, 2005
On pricing of credit spread options
R Giacometti, M Teocchi
European journal of operational research 163 (1), 52-64, 2005
Risk measures for asset allocation models
R Giacometti, S Ortobelli
Risk measures for the 21st century, 69-87, 2004
Intensity-based framework for surrender modeling in life insurance
V Russo, R Giacometti, FJ Fabozzi
Insurance: Mathematics and Economics 72, 189-196, 2017
Risk factor analysis and portfolio immunization in the corporate bond market
M Bertocchi, R Giacometti, SA Zenios
European Journal of Operational Research 161 (2), 348-363, 2005
Euro bonds: Markets, infrastructure and trends
M Bertocchi, G Consigli, R Giacometti, V Moriggia, S Ortobelli, ...
World Scientific, 2013
Sparse precision matrices for minimum variance portfolios
G Torri, R Giacometti, S Paterlini
Computational Management Science 16 (3), 375-400, 2019
Bayesian estimation of truncated data with applications to operational risk measurement
X Zhou, R Giacometti, FJ Fabozzi, AH Tucker
Quantitative Finance 14 (5), 863-888, 2014
A stochastic model for mortality rate on Italian data
R Giacometti, S Ortobelli, M Bertocchi
Journal of optimization theory and applications 149 (1), 216-228, 2011
Credit default swaps: implied ratings versus official ones
R Castellano, R Giacometti
4OR 10 (2), 163-180, 2012
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