Giovanni Puccetti : Citation Profile

Are you Giovanni Puccetti?

Università degli Studi di Milano

11

H index

12

i10 index

459

Citations

RESEARCH PRODUCTION:

31

Articles

1

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   17 years (2005 - 2022). See details.
   Cites by year: 27
   Journals where Giovanni Puccetti has often published
   Relations with other researchers
   Recent citing documents: 61.    Total self citations: 14 (2.96 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppu141
   Updated: 2024-11-04    RAS profile: 2024-02-22    
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Relations with other researchers

Works with:

Vanduffel, Steven (2)

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

Is cited by:

Vanduffel, Steven (32)

Henry, Marc (9)

Laeven, Roger (9)

Galichon, Alfred (8)

Durante, Fabrizio (7)

Dhaene, Jan (5)

luciano, elisa (5)

Chi, Yichun (4)

Paterlini, Sandra (4)

Curti, Filippo (4)

Rulliere, Didier (4)

Cites to:

Dhaene, Jan (8)

Vanduffel, Steven (6)

Durante, Fabrizio (5)

Cooke, Roger (5)

Müller, Alfred (4)

Scarsini, Marco (4)

Acerbi, Carlo (4)

Jouini, Elyès (3)

Tasche, Dirk (3)

Artzner, Philippe (3)

NAPP, Clotilde (3)

Main data

Where Giovanni Puccetti has published?

Journals with more than one article published# docs
Dependence Modeling10
Journal of Multivariate Analysis4
Insurance: Mathematics and Economics4
Journal of Banking & Finance2
Statistics & Probability Letters2

Recent works citing Giovanni Puccetti (2024 and 2023)

YearTitle of citing document
2024Convolution Bounds on Quantile Aggregation. (2020). Wang, Ruodu ; Liu, Yang ; Lam, Henry ; Blanchet, Jose. In: Papers. RePEc:arx:papers:2007.09320.

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2023A Framework for Measures of Risk under Uncertainty. (2021). Wang, Ruodu ; Liu, Yang ; Fadina, Tolulope. In: Papers. RePEc:arx:papers:2110.10792.

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2023Simultaneous Optimal Transport. (2022). Zhang, Zhenyuan ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2201.03483.

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2023A reverse Expected Shortfall optimization formula. (2022). Guan, Yuanying ; Wang, Ruodu ; Jiao, Zhanyi. In: Papers. RePEc:arx:papers:2203.02599.

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2024Lorenz map, inequality ordering and curves based on multidimensional rearrangements. (2022). Fan, Yanqin ; Rivero, Jorge A ; Pass, Brendan ; Henry, Marc. In: Papers. RePEc:arx:papers:2203.09000.

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2023Calibrating distribution models from PELVE. (2022). Wang, Ruodu ; Lin, Liyuan ; Assa, Hirbod. In: Papers. RePEc:arx:papers:2204.08882.

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2024Joint mixability and negative orthant dependence. (2022). Wang, Ruodu ; Lin, Liyuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2204.11438.

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2023Robust Distortion Risk Measures. (2022). Vanduffel, Steven ; Pesenti, Silvana M ; Bernard, Carole. In: Papers. RePEc:arx:papers:2205.08850.

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2024Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679.

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2024Risk measurement of joint risk of portfolios: a liquidity shortfall aspect. (2022). Wei, Linxiao ; Hu, Yijun ; Gong, Shuo. In: Papers. RePEc:arx:papers:2212.04848.

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2023Diversification quotients based on VaR and ES. (2023). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2301.03517.

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2023Conditional generalized quantiles based on expected utility model and equivalent characterization of properties. (2023). Zhang, Ping ; Yang, Fan ; Wu, Qinyu. In: Papers. RePEc:arx:papers:2301.12420.

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2023Coskewness under dependence uncertainty. (2023). Vanduffel, Steven ; Ruschendorf, Ludger ; Bernard, Carole. In: Papers. RePEc:arx:papers:2303.17266.

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2023A note on the induction of comonotonic additive risk measures from acceptance sets. (2023). de Oliveira, Eduardo ; Righi, Marcelo Brutti ; Moresco, Marlon Ruoso ; Santos, Samuel Solgon. In: Papers. RePEc:arx:papers:2307.04647.

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2023Distorted optimal transport. (2023). Zhuang, Sheng Chao ; Wang, Ruodu ; Liu, Haiyan. In: Papers. RePEc:arx:papers:2308.11238.

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2023Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2023). Neely, Christopher ; Boudt, Kris ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2309.15705.

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2024Improved model-free bounds for multi-asset options using option-implied information and deep learning. (2024). Papapantoleon, Antonis ; Liu, Shuaiqiang ; Dragazi, Evangelia. In: Papers. RePEc:arx:papers:2404.02343.

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2023Capital requirements and claims recovery: A new perspective on solvency regulation. (2023). Wilhelmy, Lutz ; Weber, Stefan ; Munari, Cosimo. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:329-380.

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2023Intra?Horizon expected shortfall and risk structure in models with jumps. (2021). Vasiljevi, Nikola ; Mathys, Ludovic ; Farkas, Walter. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:2:p:772-823.

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2023Law invariant risk measures on L∞ (ℝd). (2011). Ivar, Ekeland ; Walter, Schachermayer . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:28:y:2011:i:3:p:195-225:n:3.

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2023Vector copulas. (2023). Henry, Marc ; Fan, Yanqin. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:128-150.

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2024A simulation-based method for estimating systemic risk measures. (2024). Chen, Pengzhan ; Zhou, YI ; Ye, Wuyi ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:1:p:312-324.

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2024Monotonicity of equilibria in nonatomic congestion games. (2024). Scarsini, Marco ; Dose, Valerio ; Cominetti, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:2:p:754-766.

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2023Does green improve portfolio optimisation?. (2023). Moussa, Faten ; Boubaker, Sabri ; Banerjee, Ameet Kumar ; Akhtaruzzaman, MD. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003298.

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2023ESG, risk, and (tail) dependence. (2023). Paterlini, Sandra ; Czado, Claudia ; Sahin, Ozge ; Bax, Karoline. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000297.

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2023Diversification quotients based on VaR and ES. (2023). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:185-197.

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2024Risk quantization by magnitude and propensity. (2024). Pages, Gilles ; Faugeras, Olivier P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:134-147.

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2024Inter-order relations between equivalence for Lp-quantiles of the Students t distribution. (2024). Petrella, Lea ; Merlo, Luca ; Bignozzi, Valeria. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:44-50.

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2023Local linear estimate of the functional expectile regression. (2023). Mechab, Boubaker ; Laksaci, Ali ; Litimein, Ouahiba ; Bouzebda, Salim. In: Statistics & Probability Letters. RePEc:eee:stapro:v:192:y:2023:i:c:s016771522200195x.

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2023Coskewness under dependence uncertainty. (2023). Vanduffel, Steven ; Ruschendorf, Ludger ; Bernard, Carole. In: Statistics & Probability Letters. RePEc:eee:stapro:v:199:y:2023:i:c:s0167715223000779.

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2024A note on the induction of comonotonic additive risk measures from acceptance sets. (2024). Horta, Eduardo ; Righi, Marcelo B ; Moresco, Marlon R ; Santos, Samuel S. In: Statistics & Probability Letters. RePEc:eee:stapro:v:208:y:2024:i:c:s0167715224000130.

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2024Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2024). Neely, Christopher ; Laurent, Sebastien ; Boudt, Kris ; Bouamara, Nabil. In: Working Papers. RePEc:fip:fedlwp:97969.

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2023A Comparison of Information Criterion for Choosing Copula Models. (2023). Lpez-Martn, Carmen ; Muela, Sonia Benito. In: International Business Research. RePEc:ibn:ibrjnl:v:16:y:2023:i:4:p:1.

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2023Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation. (2023). Xiang, Qikun ; Papapantoleon, Antonis ; Neufeld, Ariel. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:4:p:2051-2068.

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2023Simple approximative algorithms for free-support Wasserstein barycenters. (2023). von Lindheim, Johannes. In: Computational Optimization and Applications. RePEc:spr:coopap:v:85:y:2023:i:1:d:10.1007_s10589-023-00458-3.

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2023.

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2023An optimal transport-based characterization of convex order. (2023). Erica, Zhang ; Johannes, Wiesel. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:15:n:1.

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2023Efficient portfolio construction by means of CVaR and k?means++ clustering analysis: Evidence from the NYSE. (2022). Vasighi, Mahdi ; Soleymani, Fazlollah. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:3:p:3679-3693.

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2023Semiparametric estimation of expected shortfall and its application in finance. (2023). Zhao, Yunfan ; Liu, Yinglin ; Fang, Yan. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:835-851.

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2024A comparison of Range Value at Risk (RVaR) forecasting models. (2024). Santos, Samuel Solgon ; Gossling, Thalles Weber ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:509-543.

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Giovanni Puccetti is editor of

Journal
Dependence Modeling

Works by Giovanni Puccetti:

YearTitleTypeCited
2012Bounds for joint portfolios of dependent risks In: Statistics & Risk Modeling.
[Full Text][Citation analysis]		article7
2022Fair allocation of indivisible goods with minimum inequality or minimum envy In: European Journal of Operational Research.
[Full Text][Citation analysis]		article0
2005Worst VaR scenarios In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article24
2013Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article11
2015Reducing model risk via positive and negative dependence assumptions In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article13
2018Conditional expectiles, time consistency and mixture convexity properties In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article11
2013Model uncertainty and VaR aggregation In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article112
2018A clustering approach and a rule of thumb for risk aggregation In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article2
2010Bounds for the sum of dependent risks having overlapping marginals In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article5
2010Multivariate comonotonicity In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article40
2010Multivariate comonotonicity.(2010) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2020On the computation of Wasserstein barycenters In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article2
2006Bounds for functions of multivariate risks In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article56
2015Studying mixability with supermodular aggregating functions In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article3
2013Sharp bounds on the expected shortfall for a sum of dependent random variables In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article13
2014An Academic Response to Basel 3.5 In: Risks.
[Full Text][Citation analysis]		article80
2006Aggregating risk capital, with an application to operational risk In: The Geneva Papers on Risk and Insurance Theory.
[Full Text][Citation analysis]		article12
2006Aggregating risk capital, with an application to operational risk.(2006) In: The Geneva Risk and Insurance Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2006Bounds for Functions of Dependent Risks In: Finance and Stochastics.
[Full Text][Citation analysis]		article40
In: .
[Full Text][Citation analysis]		article4
2019Heavy Tails and Copulas. Topics in Dependence Modelling in Economics and Finance In: Quantitative Finance.
[Full Text][Citation analysis]		article0
In: .
[Full Text][Citation analysis]		article0
2015Building bridges between Mathematics, Insurance and Finance: An interview with Paul Embrechts In: Dependence Modeling.
[Full Text][Citation analysis]		article3
2015A Journey from Statistics and Probability to Risk Theory An interview with Ludger Rüschendorf In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2016Stat Trek. An interview with Christian Genest In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2016Distributions with given marginals: the beginnings: An interview with Giorgio Dall’Aglio In: Dependence Modeling.
[Full Text][Citation analysis]		article1
2016VaR bounds for joint portfolios with dependence constraints In: Dependence Modeling.
[Full Text][Citation analysis]		article14
2017The Vine Philosopher: An interview with Roger Cooke In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2017My introduction to copulas: An interview with Roger Nelsen In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2018Copulas, credit portfolios, and the broken heart syndrome In: Dependence Modeling.
[Full Text][Citation analysis]		article6
2018A Journey Beyond The Gaussian World: An interview with Harry Joe In: Dependence Modeling.
[Full Text][Citation analysis]		article0
2021Special Issue on copulas in memory of Abe Sklar (1925-2020) In: Dependence Modeling.
[Full Text][Citation analysis]		article0

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