Details about Elio Canestrelli

Access statistics for papers by Elio Canestrelli.

Last updated 2025-12-11. Update your information in the RePEc Author Service.

Short-id: pca511

Working Papers

2014

1. Volatility vs. downside risk: optimally protecting against drawdowns and maintaining portfolio performance
   Working Papers, Department of Economics, University of Venice "Ca' Foscari"

2012

2. Downside risk in multiperiod tracking error models
   Working Papers, Department of Economics, University of Venice "Ca' Foscari" View citations (1)
   See also Journal Article Downside risk in multiperiod tracking error models, Central European Journal of Operations Research, Springer (2014) View citations (6) (2014)
3. Dynamic tracking error with shortfall control using stochastic programming
   Working Papers, Department of Economics, University of Venice "Ca' Foscari"
   See also Chapter Dynamic Tracking Error with Shortfall Control Using Stochastic Programming, Springer Books, Springer (2014) (2014)

2011

4. Combining stochastic programming and optimal control to solve multistage stochastic optimization problems
   Working Papers, Department of Economics, University of Venice "Ca' Foscari"

2009

5. Portfolio management with minimum guarantees: some modeling and optimization issues
   Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia

2008

6. Tracking error with minimum guarantee constraints
   Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia View citations (1)
   See also Chapter Tracking error with minimum guarantee constraints, Springer Books, Springer (2010) (2010)

2005

7. Time and nodal decomposition with implicit non-anticipativity constraints in dynamic portfolio optimization
   GE, Growth, Math methods, University Library of Munich, Germany View citations (2)
8. Tracking Error: a multistage portfolio model
   GE, Growth, Math methods, University Library of Munich, Germany View citations (20)
   See also Journal Article Tracking error: a multistage portfolio model, Annals of Operations Research, Springer (2009) View citations (19) (2009)

Journal Articles

2019

1. Volatility versus downside risk: performance protection in dynamic portfolio strategies
   Computational Management Science, 2019, 16, (3), 433-479 View citations (4)

2017

2. Managing the Ship Movements in the Port of Venice
   Networks and Spatial Economics, 2017, 17, (3), 861-887 View citations (4)

2016

3. Combining stochastic programming and optimal control to decompose multistage stochastic optimization problems
   OR Spectrum: Quantitative Approaches in Management, 2016, 38, (3), 711-742

2014

4. Downside risk in multiperiod tracking error models
   Central European Journal of Operations Research, 2014, 22, (2), 263-283 View citations (6)
   See also Working Paper Downside risk in multiperiod tracking error models, Working Papers (2012) View citations (1) (2012)

2009

5. Tracking error: a multistage portfolio model
   Annals of Operations Research, 2009, 165, (1), 47-66 View citations (19)
   See also Working Paper Tracking Error: a multistage portfolio model, GE, Growth, Math methods (2005) View citations (20) (2005)

2005

6. Dynamic portfolio optimization: Time decomposition using the Maximum Principle with a scenario approach
   European Journal of Operational Research, 2005, 163, (1), 217-229 View citations (10)

Chapters

2014

1. Dynamic Tracking Error with Shortfall Control Using Stochastic Programming
   Springer
   See also Working Paper Dynamic tracking error with shortfall control using stochastic programming, Department of Economics, University of Venice "Ca' Foscari" (2012) (2012)

2010

2. Tracking error with minimum guarantee constraints
   Springer
   See also Working Paper Tracking error with minimum guarantee constraints, Department of Applied Mathematics, Università Ca' Foscari Venezia (2008) View citations (1) (2008)

2008

3. Spatial Aggregation in Scenario Tree Reduction
   Springer