Giacomo Scandolo : Citation Profile


Are you Giacomo Scandolo?

Università degli Studi di Firenze

6

H index

5

i10 index

328

Citations

RESEARCH PRODUCTION:

6

Articles

1

Papers

RESEARCH ACTIVITY:

   11 years (2004 - 2015). See details.
   Cites by year: 29
   Journals where Giacomo Scandolo has often published
   Relations with other researchers
   Recent citing documents: 97.    Total self citations: 2 (0.61 %)

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   Permalink: http://citec.repec.org/psc515
   Updated: 2020-05-23    RAS profile: 2015-08-05    
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Relations with other researchers


Works with:

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

Is cited by:

Csóka, Péter (13)

Schumacher, Johannes (8)

Castaneda, Pablo (6)

Ruszczynski, Andrzej (5)

Riedel, Frank (5)

Hellmann, Tobias (4)

Herings, P. Jean-Jacques (4)

Pintér, Miklós (3)

Puccetti, Giovanni (3)

Anthropelos, Michail (3)

Havran, Dániel (3)

Cites to:

gourieroux, christian (5)

Scaillet, Olivier (5)

Acerbi, Carlo (2)

Karolyi, G. (2)

Artzner, Philippe (1)

Riedel, Frank (1)

Jarrow, Robert (1)

Main data


Where Giacomo Scandolo has published?


Journals with more than one article published# docs
Quantitative Finance2

Recent works citing Giacomo Scandolo (2018 and 2017)


YearTitle of citing document
2017A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time. (2017). Cialenco, Igor ; Bielecki, Tomasz R. ; Pitera, Marcin. In: Papers. RePEc:arx:papers:1409.7028.

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2017Randomized versions of Mazur lemma and Krein-Smulian theorem. (2017). Jos'e Miguel Zapata, . In: Papers. RePEc:arx:papers:1411.6256.

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2018A Supermartingale Relation for Multivariate Risk Measures. (2018). Feinstein, Zachary ; Rudloff, Birgit. In: Papers. RePEc:arx:papers:1510.05561.

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2017Optimal Control of Conditional Value-at-Risk in Continuous Time. (2017). Miller, Christopher W ; Yang, Insoon . In: Papers. RePEc:arx:papers:1512.05015.

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2017Unbiased estimation of risk. (2017). Pitera, Marcin ; Schmidt, Thorsten. In: Papers. RePEc:arx:papers:1603.02615.

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2017On random convex analysis. (2017). Guo, Tiexin ; Yuan, George ; Yang, Bixuan ; Wu, Mingzhi ; Zhang, Erxin . In: Papers. RePEc:arx:papers:1603.07074.

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2017An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. (2017). Chong, Wing Fung ; Zariphopoulou, Thaleia ; Liang, Gechun ; Hu, Ying. In: Papers. RePEc:arx:papers:1607.02289.

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2017Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1608.05498.

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2019Dynamic Portfolio Optimization with Liquidity Cost and Market Impact: A Simulation-and-Regression Approach. (2017). Zhang, Rongju ; Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas. In: Papers. RePEc:arx:papers:1610.07694.

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2018Model-free bounds on Value-at-Risk using extreme value information and statistical distances. (2018). Lux, Thibaut ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:1610.09734.

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2019Conditional nonlinear expectations. (2019). Bartl, Daniel. In: Papers. RePEc:arx:papers:1612.09103.

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2020A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation. (2019). Yao, Jianing ; Ruszczynski, Andrzej . In: Papers. RePEc:arx:papers:1701.06234.

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2017Existence, uniqueness and stability of optimal portfolios of eligible assets. (2017). Baes, Michel ; Munari, Cosimo ; Koch-Medina, Pablo. In: Papers. RePEc:arx:papers:1702.01936.

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2017Robust and Consistent Estimation of Generators in Credit Risk. (2017). Reis, Goncalo Dos ; Smith, Greig. In: Papers. RePEc:arx:papers:1702.08867.

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2017Disentangling Price, Risk and Model Risk: V&R measures. (2017). Maggis, Marco ; Frittelli, Marco. In: Papers. RePEc:arx:papers:1703.01329.

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2018On representing and hedging claims for coherent risk measures. (2018). Armstrong, Seb ; Jacka, Saul ; Berkaoui, Abdelkarem . In: Papers. RePEc:arx:papers:1703.03638.

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2018Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk. (2018). Peng, Xianhua ; He, Xue Dong . In: Papers. RePEc:arx:papers:1707.05596.

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2019On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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2018Large deviations for risk measures in finite mixture models. (2018). Petrella, Lea ; Macci, Claudio ; Bignozzi, Valeria. In: Papers. RePEc:arx:papers:1710.03252.

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2017Multi-currency reserving for coherent risk measures. (2017). Berkaoui, Abdel ; Armstrong, Seb ; Jacka, Saul. In: Papers. RePEc:arx:papers:1712.01319.

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2018A Dynamic Model of Central Counterparty Risk. (2018). Feng, Shibi ; Cialenco, Igor ; Bielecki, Tomasz R. In: Papers. RePEc:arx:papers:1803.02012.

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2019On Fairness of Systemic Risk Measures. (2019). Meyer-Brandis, Thilo ; Frittelli, Marco ; Fouque, Jean-Pierre ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1803.09898.

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2018Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization. (2018). Hamza, Kais ; Klebaner, Fima ; Zhu, Zili ; Tian, YU ; Langren, Nicolas ; Zhang, Rongju. In: Papers. RePEc:arx:papers:1803.11467.

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2019Dynamic risk measures on variable exponent Bochner--Lebesgue spaces. (2019). Hu, Yijun ; Sun, Fei. In: Papers. RePEc:arx:papers:1806.01166.

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2019Affine processes under parameter uncertainty. (2019). Schmidt, Thorsten ; Neufeld, Ariel ; Fadina, Tolulope. In: Papers. RePEc:arx:papers:1806.02912.

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2020Time consistency of the mean-risk problem. (2018). Rudloff, Birgit ; Kovacova, Gabriela. In: Papers. RePEc:arx:papers:1806.10981.

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2020A theory for combinations of risk measures. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2020Statistical estimation of superhedging prices. (2018). Wiesel, Johannes ; Obloj, Jan. In: Papers. RePEc:arx:papers:1807.04211.

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2019Scalar multivariate risk measures with a single eligible asset. (2019). Rudloff, Birgit ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1807.10694.

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2018Law-invariant insurance pricing and its limitations. (2018). Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo ; Bellini, Fabio. In: Papers. RePEc:arx:papers:1808.00821.

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2018The value of a liability cash flow in discrete time subject to capital requirements. (2018). Lindskog, Filip ; Lindensjo, Kristoffer ; Engsner, Hampus . In: Papers. RePEc:arx:papers:1808.03328.

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2019Robustness in the Optimization of Risk Measures. (2019). Wang, Ruodu ; Schied, Alexander ; Embrechts, Paul. In: Papers. RePEc:arx:papers:1809.09268.

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2019Time consistency for scalar multivariate risk measures. (2019). Rudloff, Birgit ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1810.04978.

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2018Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing. (2018). Stadje, Mitja. In: Papers. RePEc:arx:papers:1811.09615.

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2018Monetary Measures of Risk. (2018). Hamel, Andreas H. In: Papers. RePEc:arx:papers:1812.04354.

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2019Elicitability of Range Value at Risk. (2019). Ziegel, Johanna F ; Fissler, Tobias. In: Papers. RePEc:arx:papers:1902.04489.

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2020Risk Management with Tail Quasi-Linear Means. (2019). Shushi, Tomer ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:1902.06941.

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2020Risk measures and progressive enlargement of filtration: a BSDE approach. (2019). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Calvia, Alessandro. In: Papers. RePEc:arx:papers:1904.13257.

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2019A simple approach to dual representations of systemic risk measures. (2019). Munari, Cosimo ; Koch-Medina, Pablo ; Arduca, Maria. In: Papers. RePEc:arx:papers:1906.10933.

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2019Gittins theorem under uncertainty. (2019). Treetanthiploet, Tanut ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:1907.05689.

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2019Set-Valued Risk Measures as Backward Stochastic Difference Inclusions and Equations. (2019). Feinstein, Zachary ; Ararat, cCaugin . In: Papers. RePEc:arx:papers:1912.06916.

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2020On the equivalence between Value-at-Risk and Expected Shortfall in non-concave optimization. (2020). Zhang, Fangyuan ; Stadje, Mitja ; Chen, AN. In: Papers. RePEc:arx:papers:2002.02229.

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2020Inf-convolution and optimal risk sharing with arbitrary sets of risk measures. (2020). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:2003.05797.

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2020Non-asymptotic rates for the estimation of risk measures. (2020). Tangpi, Ludovic ; Bartl, Daniel. In: Papers. RePEc:arx:papers:2003.10479.

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2017Value-at-Risk Bounds With Variance Constraints. (2017). Bernard, Carole ; Vanduffel, Steven ; Ruschendorf, Ludger. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:3:p:923-959.

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2018Optimal expected utility risk measures. (2018). Sebastian, Geissel ; Thomas, Seifried Frank ; Jorn, Sass. In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:35:y:2018:i:1-2:p:73-87:n:5.

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2017Properties and comparison of risk capital allocation methods. (2017). Csóka, Péter ; Balog, Dóra ; Bátyi, Tamás ; Pinter, Miklos ; Csoka, Peter ; Batyi, Tamas Laszlo . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:2:p:614-625.

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2017Mean-VaR portfolio optimization: A nonparametric approach. (2017). Lwin, Khin T ; MacCarthy, Bart L ; Qu, Rong . In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:2:p:751-766.

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2017Multivariate FX models with jumps: Triangles, Quantos and implied correlation. (2017). Rayée, Grégory ; Ballotta, Laura ; Rayee, Gregory ; Deelstra, Griselda. In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:3:p:1181-1199.

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2017Robust and Pareto optimality of insurance contracts. (2017). Asimit, Alexandru V ; Kim, Eun-Seok ; Hu, Junlei ; Chun, KA ; Bignozzi, Valeria. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:2:p:720-732.

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2018Computing near-optimal Value-at-Risk portfolios using integer programming techniques. (2018). Babat, Onur ; Zuluaga, Luis F ; Vera, Juan C. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:1:p:304-315.

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2018Flexible lease contracts in the fleet replacement problem with alternative fuel vehicles: A real-options approach. (2018). Ansaripoor, Amir H ; Oliveira, Fernando S. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:1:p:316-327.

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2017Fair risk allocation in illiquid markets. (2017). Csóka, Péter ; Csoka, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:228-234.

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2018Portfolio valuation under liquidity constraints with permanent price impact. (2018). Csóka, Péter ; Hever, Judit ; Csoka, Peter. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:235-241.

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2018Large deviations for risk measures in finite mixture models. (2018). Bignozzi, Valeria ; Petrella, Lea ; Macci, Claudio. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:84-92.

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2018Conditional expectiles, time consistency and mixture convexity properties. (2018). Bellini, Fabio ; Puccetti, Giovanni ; Bignozzi, Valeria. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:117-123.

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2018Solvency II, or how to sweep the downside risk under the carpet. (2018). Weber, Stefan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:191-200.

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2018Optimal risk allocation in reinsurance networks. (2018). Bauerle, Nicole ; Glauner, Alexander. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:37-47.

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2019Dynamic risk measures for processes via backward stochastic differential equations. (2019). Wang, Shijie ; Shi, Xuejun ; Ji, Ronglin ; Zhou, Jinming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:43-50.

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2019Model-free bounds on Value-at-Risk using extreme value information and statistical distances. (2019). Papapantoleon, Antonis ; Lux, Thibaut. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:73-83.

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2019Hedging parameter risk. (2019). Schmelzle, Martin ; Rosch, Daniel ; Claussen, Arndt . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:111-121.

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2019Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility. (2019). Brigo, Damiano ; Armstrong, John. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:122-135.

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2019Model risk of expected shortfall. (2019). Zhang, Ning ; Lazar, Emese. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:74-93.

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2018Unbiased estimation of risk. (2018). Pitera, Marcin ; Schmidt, Thorsten. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:133-145.

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2018Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics. (2018). Chen, Cathy Yi-Hsuan ; Hardle, Wolfgang Karl ; Chiang, Thomas C. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:21-32.

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2017Domains of weak continuity of statistical functionals with a view toward robust statistics. (2017). Kratschmer, Volker ; Zahle, Henryk ; Schied, Alexander. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:158:y:2017:i:c:p:1-19.

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2017A Robust Approach to Hedging and Pricing in Imperfect Markets. (2017). Gospodinov, Nikolay ; Assa, Hirbod. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:36-:d:105112.

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2017A Review and Some Complements on Quantile Risk Measures and Their Domain. (2017). Fuchs, Sebastian ; Schmidt, Klaus D ; Schlotter, Ruben. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:59-:d:117902.

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2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

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2019Bigger Is Not Always Safer: A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures. (2019). Rau-Bredow, Hans. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:91-:d:260962.

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2018An introduction to multivariate and dynamic risk measures. (2018). Charpentier, Arthur. In: Working Papers. RePEc:hal:wpaper:hal-01831481.

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2019A new approach of coherent risk-measure pricing. (2019). Zhao, Peibiao ; Lepinette, Emmanuel. In: Working Papers. RePEc:hal:wpaper:hal-02135232.

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2019Quantile Mixing and Model Uncertainty Measures. (2019). Kazi-Tani, Nabil ; Cohignac, Thierry. In: Working Papers. RePEc:hal:wpaper:hal-02405859.

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2018A Linear Stochastic Programming Model for Optimal Leveraged Portfolio Selection. (2018). Vallado, Davi Michel ; Street, Alexandre ; Veiga, Alvaro. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9656-x.

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2019Implied risk aversion: an alternative rating system for retail structured products. (2019). Seifried, F T ; Sass, J ; Geissel, S ; Fink, H. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:3:d:10.1007_s11147-018-9151-0.

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2020Time consistent pricing of options with embedded decisions. (2020). Gerer, J ; Dorfleitner, G. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:1:d:10.1007_s11147-019-09158-9.

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2018Financial statements based bank risk aggregation. (2018). Li, Jianping ; Wu, Dengsheng ; Zhu, Xiaoqian ; Lee, Cheng-Few ; Wei, LU. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:3:d:10.1007_s11156-017-0642-0.

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2017A likviditás és a permanens árhatás szerepe a portfólióértékelésben. (2017). Hever, Judit. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1702.

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2018A részvénytartás spektrális kockázata hosszú távon. (2018). Csóka, Péter ; Kondor, Gabor ; Bihary, Zsolt. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1782.

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2019A fuzzy approach for the estimation of foreign investment risk based on values of rating indices. (2019). Fiala, Petr ; Hakova, Simona . In: Risk Management. RePEc:pal:risman:v:21:y:2019:i:3:d:10.1057_s41283-019-00051-1.

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2017Minimizing value-at-risk in single-machine scheduling. (2017). Atakan, Semih ; Noyan, Nilay ; Bulbul, Kerem. In: Annals of Operations Research. RePEc:spr:annopr:v:248:y:2017:i:1:d:10.1007_s10479-016-2251-z.

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2018Risk parity for Mixed Tempered Stable distributed sources of risk. (2018). Mercuri, Lorenzo ; Rroji, Edit. In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2394-y.

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2018Portfolio diversification in the sovereign credit swap markets. (2018). Consiglio, Andrea ; Zenios, Stavros ; Lotfi, Somayyeh. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2565-5.

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2019Time-consistency of risk measures: how strong is such a property?. (2019). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Mastrogiacomo, Elisa . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00233-2.

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2017Risk bounds for factor models. (2017). Vanduffel, Steven ; Wang, Ruodu ; Ruschendorf, Ludger ; Bernard, Carole. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0328-4.

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2018Replicating portfolio approach to capital calculation. (2018). Cambou, Mathieu ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0347-1.

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2018Perfect hedging under endogenous permanent market impacts. (2018). Fukasawa, Masaaki ; Stadje, Mitja. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-017-0352-4.

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2018Convex duality in optimal investment and contingent claim valuation in illiquid markets. (2018). Pennanen, Teemu ; Perkkio, Ari-Pekka. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:4:d:10.1007_s00780-018-0372-8.

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2019An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. (2019). Chong, Wing Fung ; Zariphopoulou, Thaleia ; Liang, Gechun ; Hu, Ying. In: Finance and Stochastics. RePEc:spr:finsto:v:23:y:2019:i:1:d:10.1007_s00780-018-0377-3.

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2020The value of a liability cash flow in discrete time subject to capital requirements. (2020). Lindskog, Filip ; Lindensjo, Kristoffer ; Engsner, Hampus. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00408-0.

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2020On fairness of systemic risk measures. (2020). Biagini, Francesca ; Meyer-Brandis, Thilo ; Frittelli, Marco ; Fouque, Jean-Pierre. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:2:d:10.1007_s00780-020-00417-4.

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2018A survey of network-based analysis and systemic risk measurement. (2018). Neveu, Andre. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:13:y:2018:i:2:d:10.1007_s11403-016-0182-z.

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2020Qualitative robustness of set-valued value-at-risk. (2020). Mastrogiacomo, Elisa ; Crespi, Giovanni Paolo. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:91:y:2020:i:1:d:10.1007_s00186-020-00707-9.

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2017On the properties of the Lambda value at risk: robustness, elicitability and consistency. (2017). Burzoni, M ; Ruffo, C M ; Peri, I. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:11:p:1735-1743.

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2019Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error. (2019). van Dijk, Dick ; Kole, Erik ; Barendse, Sander . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:2019058.

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2019Backtesting Extreme Value Theory models of expected shortfall. (2019). Garcia-Jorcano, Laura ; Novales, Alfonso. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1924.

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2017DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS. (2017). Kromer, Eduard ; Overbeck, Ludger. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:07:n:s0219024917500479.

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Works by Giacomo Scandolo:


YearTitleTypeCited
2013Assessing Financial Model Risk In: Papers.
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2015Assessing financial model risk.(2015) In: European Journal of Operational Research.
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