Giorgio Consigli

Orcid: 0000-0002-7718-347X

According to our database1, Giorgio Consigli authored at least 14 papers between 1998 and 2024.

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Bibliography

2024
Optimal dynamic fixed-mix portfolios based on reinforcement learning with second order stochastic dominance.
Eng. Appl. Artif. Intell., 2024

2022
Optimal chance-constrained pension fund management through dynamic stochastic control.
OR Spectr., 2022

2021
Interval-based stochastic dominance: theoretical framework and application to portfolio choices.
Ann. Oper. Res., 2021

2020
A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems.
Ann. Oper. Res., 2020

Long-term individual financial planning under stochastic dominance constraints.
Ann. Oper. Res., 2020

Correction to: Preface: Stochastic optimization: theory and applications.
Ann. Oper. Res., 2020

Stochastic optimization: theory and applications.
Ann. Oper. Res., 2020

2019
Data-driven optimization in management.
Comput. Manag. Sci., 2019

Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study.
Comput. Manag. Sci., 2019

Volatility versus downside risk: performance protection in dynamic portfolio strategies.
Comput. Manag. Sci., 2019

2018
Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming.
Comput. Manag. Sci., 2018

2015
Financial Optimization: optimization paradigms and financial planning under uncertainty.
OR Spectr., 2015

2000
Scenarios for Multistage Stochastic Programs.
Ann. Oper. Res., 2000

1998
Dynamic stochastic programming for asset-liability management.
Ann. Oper. Res., 1998


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