0000000000241273

AUTHOR

A. Pecorella

showing 3 related works from this author

A Stochastic Soft Constraints Fuzzy Model for a Portfolio Selection Problem

2006

The financial market behavior is affected by several non-probabilistic factors such as vagueness and ambiguity. In this paper we develop a multistage stochastic soft constraints fuzzy program with recourse in order to capture both uncertainty and imprecision as well as to solve a portfolio management problem. The results we obtained confirm the studies carried out in literature addressed to integrate stochastic and possibilistic programming.

Mathematical optimizationLogicStochastic modellingmedia_common.quotation_subjectFuzzy setAmbiguityFuzzy control systemFuzzy logicStochastic programmingFuzzy optimization multistage stochastic programming portfolio managementArtificial IntelligencePortfolioProject portfolio managementMathematical economicsmedia_commonMathematics
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A class of label-correcting methods for the K shortest paths problem

2001

In this paper we deal with the problem of finding the first K shortest paths from a single origin node to all other nodes of a directed graph. In particular, we define the necessary and sufficient conditions for a set of distance label vectors, on the basis of which we propose a class of methods which can be viewed as an extension of the generic label-correcting method for solving the classical single-origin all-destinations shortest path problem. The data structure used is characterized by a set of K lists of candidate nodes, and the proposed methods differ in the strategy used to select the node to be extracted at each iteration. The computational results show that: 1. some label-correct…

Discrete mathematicsManagement Science and Operations ResearchComputer Science ApplicationsEuclidean shortest pathShortest Path Faster AlgorithmSettore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Shortest path problemK shortest path routingCanadian traveller problemYen's algorithmConstrained Shortest Path FirstDistanceK shortest paths problem label correcting methodsMathematics
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A Conditional Value–at–Risk Model for Insurance Products with Guarantee

2009

We propose a model to select the optimal portfolio which underlies insurance policies with a guarantee. The objective function is defined in order to minimise the conditional value at-risk (CVaR) of the distribution of the losses with respect to a target return. We add operational and regulatory constraints to make the model as flexible as possible when used for real applications. We show that the integration of the asset and liability side yields superior performances with respect to naive fixed-mix portfolios and asset based strategies. We validate the model on out-of-sample scenarios and provide insights on policy design.

Mathematical optimizationPortfolio selection.Actuarial scienceComputer scienceCVARAsset-liability managementAsset-liability management; Conditional value-at-risk; CVaR; Policies with a minimum guarantee; Portfolio selection.Management Science and Operations ResearchPolicies with a minimum guaranteeExpected shortfallInsurance policyReplicating portfolioPortfolioCapital asset pricing modelAsset (economics)Statistics Probability and UncertaintyBusiness and International ManagementPortfolio optimizationCVaRConditional value-at-risk
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