Agostino Capponi

Orcid: 0000-0001-9735-7935

According to our database1, Agostino Capponi authored at least 53 papers between 2003 and 2024.

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In proceedings 
PhD thesis 


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Systemic Portfolio Diversification.
Oper. Res., 2024

Exact Error in Matrix Completion: Approximately Low-Rank Structures and Missing Blocks.
CoRR, 2024

Proof-of-Work Cryptocurrencies: Does Mining Technology Undermine Decentralization?
Manag. Sci., November, 2023

Advances in Blockchain and Crypto Economics.
Manag. Sci., November, 2023

Disruption and Rerouting in Supply Chain Networks.
Oper. Res., March, 2023

Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors.
Math. Oper. Res., February, 2023

Do Private Transaction Pools Mitigate Frontrunning Risk?
IACR Cryptol. ePrint Arch., 2023

Decentralized Finance: Protocols, Risks, and Governance.
Found. Trends Priv. Secur., 2023

The Paradox Of Just-in-Time Liquidity in Decentralized Exchanges: More Providers Can Sometimes Mean Less Liquidity.
CoRR, 2023

Causal Inference (C-inf) - asymmetric scenario of typical phase transitions.
CoRR, 2023

Causal Inference (C-inf) - closed form worst case typical phase transitions.
CoRR, 2023

Phase Transitions: Explicit relations for sparse vector and low rank recovery.
Proceedings of the IEEE International Symposium on Information Theory, 2023

Causal Inference - closed form expressions for worst case typical phase transitions.
Proceedings of the IEEE International Symposium on Information Theory, 2023

Large Sample Mean-Field Stochastic Optimization.
SIAM J. Control. Optim., August, 2022

A Theory of Collateral Requirements for Central Counterparties.
Manag. Sci., 2022

Personalized Robo-Advising: Enhancing Investment Through Client Interaction.
Manag. Sci., 2022

Systemic Risk-Driven Portfolio Selection.
Oper. Res., 2022

Market Efficient Portfolios in a Systemic Economy.
Oper. Res., 2022

Call for Papers - <i>Management Science</i> Special Issue on Blockchains and Crypto Economics.
Manag. Sci., 2021

Multiregional Oligopoly with Capacity Constraints.
Manag. Sci., 2021

A Dynamic Network Model of Interbank Lending - Systemic Risk and Liquidity Provisioning.
Math. Oper. Res., 2020

Swing Pricing for Mutual Funds: Breaking the Feedback Loop Between Fire Sales and Fund Redemptions.
Manag. Sci., 2020

Robo-advising: Learning Investors' Risk Preferences via Portfolio Choices.
CoRR, 2019

Portfolio Choice with Market-Credit-Risk Dependencies.
SIAM J. Control. Optim., 2018

Risk-Sensitive Asset Management and Cascading Defaults.
Math. Oper. Res., 2018

Clearinghouse Margin Requirements.
Oper. Res., 2018

Optimal Investment Under Information Driven Contagious Distress.
SIAM J. Control. Optim., 2017

Optimal Credit Investment with Borrowing Costs.
Math. Oper. Res., 2017

Robust Optimization of Credit Portfolios.
Math. Oper. Res., 2017

Systemic Influences on Optimal Equity-Credit Investment.
Manag. Sci., 2017

Risk-Sensitive Cooperative Games for Human-Machine Systems.
CoRR, 2017

Liability Concentration and Systemic Losses in Financial Networks.
Oper. Res., 2016

Dynamic Contracting: Accidents Lead to Nonlinear Contracts.
SIAM J. Financial Math., 2015

Systemic Risk in Interbanking Networks.
SIAM J. Financial Math., 2015

Dynamic credit investment in partially observed markets.
Finance Stochastics, 2015

Pricing vulnerable claims in a Lévy-driven model.
Finance Stochastics, 2014

Bilateral credit valuation adjustment for large credit derivatives portfolios.
Finance Stochastics, 2014

A Variational Approach to Contracting under Imperfect Observations.
SIAM J. Financial Math., 2012

Stochastic Filtering for Diffusion Processes With Level Crossings.
IEEE Trans. Autom. Control., 2011

Expressing stochastic filters via number sequences.
Signal Process., 2010

A convex optimization approach to filtering in jump linear systems with state dependent transitions.
Autom., 2010

Tutorial: Frontiers of computational engineering and finance: Modeling and calibrating credit risk.
Proceedings of the 2009 IEEE Symposium on Computational Intelligence for Financial Engineering, 2009

A calibration method for structural models of credit risk with reporting bias.
Proceedings of the 2009 IEEE Symposium on Computational Intelligence for Financial Engineering, 2009

A Copula Function Approach to Infer Correlation in Prediction Markets.
Proceedings of the Auctions, 2009

Stochastic filtering in jump systems with state dependent mode transitions.
Proceedings of the American Control Conference, 2009

A New Algorithm for On-line Coloring Bipartite Graphs.
SIAM J. Discret. Math., 2008

Towards a theory of events.
Proceedings of the 2007 Inaugural International Conference on Distributed Event-Based Systems, 2007

Algorithms for the selection of the active sensors in distributed tracking: comparison between Frisbee and GNS methods.
Proceedings of the 9th International Conference on Information Fusion, 2006

Connectivity for the Frisbee Architecture.
Proceedings of the 9th International Conference on Information Fusion, 2006

On-Line Coloring of H-Free Bipartite Graphs.
Proceedings of the Algorithms and Complexity, 6th Italian Conference, 2006

Accuracy of fused track for radar systems.
Signal Process., 2005

Bounded families for the on-line <i>t</i>-relaxed coloring.
Inf. Process. Lett., 2005

A tutorial on the Deterministic two-party Communication Complexity
Electron. Colloquium Comput. Complex., 2003