Andrea Consiglio : Citation Profile


Are you Andrea Consiglio?

7

H index

4

i10 index

121

Citations

RESEARCH PRODUCTION:

18

Articles

10

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   22 years (1997 - 2019). See details.
   Cites by year: 5
   Journals where Andrea Consiglio has often published
   Relations with other researchers
   Recent citing documents: 16.    Total self citations: 15 (11.03 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pco223
   Updated: 2022-05-14    RAS profile: 2018-09-03    
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Relations with other researchers


Works with:

Zenios, Stavros (6)

Authors registered in RePEc who have co-authored more than one work in the last five years with Andrea Consiglio.

Is cited by:

Zenios, Stavros (13)

Corsetti, Giancarlo (5)

Erce, Aitor (5)

Chiarella, Carl (4)

Iori, Giulia (4)

Guzman, Martin (3)

Døskeland, Trond (3)

Canestrelli, Elio (3)

Eling, Martin (3)

Nordahl, Helge (3)

Beetsma, Roel (2)

Cites to:

Zenios, Stavros (24)

Reinhart, Carmen (10)

Rogoff, Kenneth (9)

Brennan, Michael (7)

Grosen, Anders (5)

Jørgensen, Peter (5)

Bolder, David (4)

Longstaff, Francis (4)

Trebesch, Christoph (3)

Wallace, Stein (3)

Ha, Joonkyung (3)

Main data


Where Andrea Consiglio has published?


Journals with more than one article published# docs
Annals of Operations Research4
Journal of Economic Dynamics and Control3
Quantitative Finance2
Insurance: Mathematics and Economics2

Working Papers Series with more than one paper published# docs
Working Papers / University of Pennsylvania, Wharton School, Weiss Center4

Recent works citing Andrea Consiglio (2021 and 2020)


YearTitle of citing document
2020Visualizing Treasury Issuance Strategy. (2018). Cameron, Christopher. In: Papers. RePEc:arx:papers:1802.03376.

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2021Estimating 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.

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2020Integrated 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.

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2021Optimal 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.

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2021From 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.

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2021The 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.

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2021Evaluation 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.

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2020Combining 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.

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2020Market 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.

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2020Contingent 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.

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2020A 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.

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2020Greek 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.

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2021Sparse 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.

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2020Information 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.

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2020Scenario 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.

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2020Official 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.

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Andrea Consiglio has edited the books:


YearTitleTypeCited

Works by Andrea Consiglio:


YearTitleTypeCited
2018Pricing sovereign contingent convertible debt In: Papers.
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paper4
2010Pricing the Option to Surrender in Incomplete Markets In: Journal of Risk & Insurance.
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article8
2007Pricing the Option to Surrender in Incomplete Markets.(2007) In: Finance Research Group Working Papers.
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This paper has another version. Agregated cites: 8
paper
2015Risk Management Optimization for Sovereign Debt Restructuring In: Journal of Globalization and Development.
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article13
2014Risk Management Optimization for Sovereign Debt Restructuring.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 13
paper
2014Risk Profiles for Re-profiling the Sovereign Debt of Crisis Countries In: Working Papers.
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paper0
2015Risk profiles for re-profiling the sovereign debt of crisis countries.(2015) In: Journal of Risk Finance.
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This paper has another version. Agregated cites: 0
article
2015Desinging Guarantee Options in Defined Contributions Pension Plans In: Working Papers.
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paper1
2017Pricing and Hedging GDP-Linked Bonds in Incomplete Markets In: Working Papers.
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paper4
2018Pricing and hedging GDP-linked bonds in incomplete markets.(2018) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 4
article
1997A model for designing callable bonds and its solution using tabu search In: Journal of Economic Dynamics and Control.
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article2
2007How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders In: Journal of Economic Dynamics and Control.
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article2
2008Asset and liability modelling for participating policies with guarantees In: European Journal of Operational Research.
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article14
2001Asset and Liability Modeling for Participating Policies with Guarantees.(2001) In: Center for Financial Institutions Working Papers.
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This paper has another version. Agregated cites: 14
paper
2008Evaluation of insurance products with guarantee in incomplete markets In: Insurance: Mathematics and Economics.
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article2
2015Designing and pricing guarantee options in defined contribution pension plans In: Insurance: Mathematics and Economics.
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article3
2006Asset and liability management for insurance products with minimum guarantees: The UK case In: Journal of Banking & Finance.
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article15
2019Risk Management for Sovereign Debt Financing with Sustainability Conditions In: Globalization Institute Working Papers.
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paper2
2004www.Personal_Asset_Allocation In: Interfaces.
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article2
1999Designing Portfolios of Financial Products via Integrated Simulation and Optimization Models In: Operations Research.
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article0
2007Scenario optimization asset and liability modelling for individual investors In: Annals of Operations Research.
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article5
2012A stochastic programming model for the optimal issuance of government bonds In: Annals of Operations Research.
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article8
2018Portfolio diversification in the sovereign credit swap markets In: Annals of Operations Research.
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article6
1999Scenario modeling for the management ofinternational bond portfolios In: Annals of Operations Research.
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article7
1998Scenario Modeling for the Management of International Bond Portfolios.(1998) In: Center for Financial Institutions Working Papers.
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This paper has another version. Agregated cites: 7
paper
2016A parsimonious model for generating arbitrage-free scenario trees In: Quantitative Finance.
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article6
2005A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices In: Quantitative Finance.
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article11
2001The Value of Integrative Risk Management for Insurance Products with Guarantees In: Center for Financial Institutions Working Papers.
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paper6

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