HITAJ, ASMERILDA
HITAJ, ASMERILDA
DIPARTIMENTO DI STATISTICA E METODI QUANTITATIVI
Portfolio allocation under general return distribution
2010 Hitaj, A
Optimal Hedge Fund Allocation with Improved Estimates for Co-Skewness and Co-Kurtosis parameters
2010 Hitaj, A; Martellini, L; Zambruno, G
Portfolio Allocation using Multivariate Variance Gamma
2011 Hitaj, A; Mercuri, L
Optimal Hedge Fund Allocation with Improved Estimates for Coskewness and Cokurtosis Parameters
2012 Hitaj, A; Martellini, L; Zambruno, G
Constructing a class of stochastic volatility models: empirical investigation with VIX data
2013 Hitaj, A; Rroji, E; Mercuri, L
Hedge Fund Portfolio Allocation with Higher Moments and MVG Models
2013 Hitaj, A; Mercuri, L
Universal Performance Measures per Investimenti Alternativi
2013 Martinelli, F; Zambruno, G; Hitaj, A
Portfolio allocation using multivariate variance gamma models
2013 Hitaj, A; Mercuri, L
Portfolio Allocation Using Omega Function: An Empirical Analysis
2014 Hitaj, A; Martinelli, F; Zambruno, G
Portfolio Choice Under Cumulative Prospect Theory: Sensitivity Analysis and an Empirical Study
2015 Hitaj, A; Mastrogiacomo, E
Portfolio selection with independent component analysis
2015 Hitaj, A; Mercuri, L; Rroji, E
On multivariate extensions of the Mixed Tempered Stable distribution
2016 Hitaj, A; Hubalek, F; Mercuri, L; Rroji, E
Are Smart Beta strategies suitable for hedge fund portfolios?
2016 Hitaj, A; Zambruno, G
Some Empirical Evidence on the Need of More Advanced Approaches in Mortality Modeling
2018 Hitaj, A; Mercuri, L; Rroji, E
Portfolio optimization using modified herfindahl constraint
2018 Hitaj, A; Zambruno, G
VIX computation based on affine stochastic volatility models in discrete time
2018 Hitaj, A; Mercuri, L; Rroji, E
On Properties of the MixedTS Distribution and Its Multivariate Extension
2018 Hitaj, A; Hubalek, F; Mercuri, L; Rroji, E
Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk
2018 Hitaj, A; Mateus, C; Peri, I
Optimal Portfolio Selection via network theory in banking and insurance sector
2019 Paolo Clemente, G; Grassi, R; Hitaj, A
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization
2019 Hitaj, A; Mercuri, L; Rroji, E