7
H index
4
i10 index
121
Citations
Andrea Consiglio : Citation Profile
| RESEARCH PRODUCTION: 18 Articles 10 Papers EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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22 years (1997 - 2019). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Andrea Consiglio. | Is cited by:
| Cites to:
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Main data
Where Andrea Consiglio has published?
| Journals with more than one article published | # docs |
|---|---|
| Annals of Operations Research | 4 |
| Journal of Economic Dynamics and Control | 3 |
| Quantitative Finance | 2 |
| Insurance: Mathematics and Economics | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / University of Pennsylvania, Wharton School, Weiss Center | 4 |
Recent works citing Andrea Consiglio (2021 and 2020)
| Year | Title of citing document |
|---|---|
| 2020 | Visualizing Treasury Issuance Strategy. (2018). Cameron, Christopher. In: Papers. RePEc:arx:papers:1802.03376. Full description at Econpapers || Download paper |
| 2021 | Estimating extreme cancellation rates in life insurance. (2021). Jaspersen, Johannes G ; Huber, Tobias ; Biagini, Francesca ; Mazzon, Andrea. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:4:p:971-1000. Full description at Econpapers || Download paper |
| 2020 | Integrated dynamic models for hedging international portfolio risks. (2020). Vladimirou, Hercules ; Topaloglou, Nikolas ; Zenios, Stavros A. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:48-65. Full description at Econpapers || Download paper |
| 2021 | Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk. (2021). Clare, Andrew ; Jang, Chul ; Owadally, Iqbal. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:3:p:1132-1146. Full description at Econpapers || Download paper |
| 2021 | From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks. (2021). Matkovskyy, Roman ; Bouraoui, Taoufik ; Dowling, Michael ; Jalan, Akanksha. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319309894. Full description at Econpapers || Download paper |
| 2021 | The maturity of sovereign debt issuance in the euro area. (2021). de Jong, Frank ; Hanson, Jesper ; Giuliodori, Massimo ; Beetsma, Roel. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302497. Full description at Econpapers || Download paper |
| 2021 | Evaluation of market risk associated with hedging a credit derivative portfolio. (2021). Novales, Alfonso ; Chamizo, Alvaro. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:411-430. Full description at Econpapers || Download paper |
| 2020 | Combining a Matheuristic with Simulation for Risk Management of Stochastic Assets and Liabilities. (2020). Juan, Angel A ; Nieto, Armando ; Serra, Marti ; Bayliss, Christopher. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:131-:d:456928. Full description at Econpapers || Download paper |
| 2020 | Market implied GDP. (2020). Pohlman, Lawrence ; Ntantanis, Harris. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:7:d:10.1057_s41260-020-00176-z. Full description at Econpapers || Download paper |
| 2020 | Contingent Convertible bond literature review: making everything and nothing possible?. (2020). Oster, Philippe. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:21:y:2020:i:4:d:10.1057_s41261-019-00122-z. Full description at Econpapers || Download paper |
| 2020 | A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems. (2020). Yan, Zhe ; Jin, Ming ; Liu, Jia ; Consigli, Giorgio ; Chen, Zhiping. In: Annals of Operations Research. RePEc:spr:annopr:v:292:y:2020:i:2:d:10.1007_s10479-019-03147-9. Full description at Econpapers || Download paper |
| 2020 | Greek sovereign crisis and European exchange rates: effects of news releases and their providers. (2020). Garefalakis, Alexandros ; Floros, Christos ; Vortelinos, Dimitrios ; Gkillas, Konstantinos ; Sariannidis, Nikolaos. In: Annals of Operations Research. RePEc:spr:annopr:v:294:y:2020:i:1:d:10.1007_s10479-019-03199-x. Full description at Econpapers || Download paper |
| 2021 | Sparse factor model based on trend filtering. (2021). Ho, Jang ; Fabozzi, Frank J ; Kim, Woo Chang. In: Annals of Operations Research. RePEc:spr:annopr:v:306:y:2021:i:1:d:10.1007_s10479-021-04029-9. Full description at Econpapers || Download paper |
| 2020 | Information versus imitation in a real-time agent-based model of financial markets. (2020). Biondo, Alessio Emanuele. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:3:d:10.1007_s11403-019-00249-2. Full description at Econpapers || Download paper |
| 2020 | Scenario generation in stochastic programming using principal component analysis based on moment-matching approach. (2020). Selvamuthu, Dharmaraja ; Chopra, Isha. In: OPSEARCH. RePEc:spr:opsear:v:57:y:2020:i:1:d:10.1007_s12597-019-00418-8. Full description at Econpapers || Download paper |
| 2020 | Official sector lending during the euro area crisis. (2020). Corsetti, Giancarlo ; Uy, Timothy ; Erce, Aitor. In: The Review of International Organizations. RePEc:spr:revint:v:15:y:2020:i:3:d:10.1007_s11558-020-09388-9. Full description at Econpapers || Download paper |
Andrea Consiglio has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Andrea Consiglio:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2018 | Pricing sovereign contingent convertible debt In: Papers. [Full Text][Citation analysis] | paper | 4 |
| 2010 | Pricing the Option to Surrender in Incomplete Markets In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 8 |
| 2007 | Pricing the Option to Surrender in Incomplete Markets.(2007) In: Finance Research Group Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2015 | Risk Management Optimization for Sovereign Debt Restructuring In: Journal of Globalization and Development. [Full Text][Citation analysis] | article | 13 |
| 2014 | Risk Management Optimization for Sovereign Debt Restructuring.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2014 | Risk Profiles for Re-profiling the Sovereign Debt of Crisis Countries In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Risk profiles for re-profiling the sovereign debt of crisis countries.(2015) In: Journal of Risk Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2015 | Desinging Guarantee Options in Defined Contributions Pension Plans In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Pricing and Hedging GDP-Linked Bonds in Incomplete Markets In: Working Papers. [Citation analysis] | paper | 4 |
| 2018 | Pricing and hedging GDP-linked bonds in incomplete markets.(2018) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 1997 | A model for designing callable bonds and its solution using tabu search In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
| 2007 | How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
| 2008 | Asset and liability modelling for participating policies with guarantees In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 14 |
| 2001 | Asset and Liability Modeling for Participating Policies with Guarantees.(2001) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
| 2008 | Evaluation of insurance products with guarantee in incomplete markets In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
| 2015 | Designing and pricing guarantee options in defined contribution pension plans In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 3 |
| 2006 | Asset and liability management for insurance products with minimum guarantees: The UK case In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 15 |
| 2019 | Risk Management for Sovereign Debt Financing with Sustainability Conditions In: Globalization Institute Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2004 | www.Personal_Asset_Allocation In: Interfaces. [Full Text][Citation analysis] | article | 2 |
| 1999 | Designing Portfolios of Financial Products via Integrated Simulation and Optimization Models In: Operations Research. [Full Text][Citation analysis] | article | 0 |
| 2007 | Scenario optimization asset and liability modelling for individual investors In: Annals of Operations Research. [Full Text][Citation analysis] | article | 5 |
| 2012 | A stochastic programming model for the optimal issuance of government bonds In: Annals of Operations Research. [Full Text][Citation analysis] | article | 8 |
| 2018 | Portfolio diversification in the sovereign credit swap markets In: Annals of Operations Research. [Full Text][Citation analysis] | article | 6 |
| 1999 | Scenario modeling for the management ofinternational bond portfolios In: Annals of Operations Research. [Full Text][Citation analysis] | article | 7 |
| 1998 | Scenario Modeling for the Management of International Bond Portfolios.(1998) In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2016 | A parsimonious model for generating arbitrage-free scenario trees In: Quantitative Finance. [Full Text][Citation analysis] | article | 6 |
| 2005 | A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices In: Quantitative Finance. [Full Text][Citation analysis] | article | 11 |
| 2001 | The Value of Integrative Risk Management for Insurance Products with Guarantees In: Center for Financial Institutions Working Papers. [Full Text][Citation analysis] | paper | 6 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 30 2022. Contact: CitEc Team