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Details about Elio Canestrelli

Workplace:Dipartimento di Economia (Department of Economics), Università Ca' Foscari Venezia (University Ca' Foscari Venice), (more information at EDIRC)

Access statistics for papers by Elio Canestrelli.

Last updated 2019-02-08. Update your information in the RePEc Author Service.

Short-id: pca511


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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" Downloads

2012

  1. Downside risk in multiperiod tracking error models
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads View citations (2)
    See also Journal Article in Central European Journal of Operations Research (2014)
  2. Dynamic tracking error with shortfall control using stochastic programming
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" Downloads

2011

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

2009

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

2008

  1. Tracking error with minimum guarantee constraints
    Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia Downloads View citations (1)

2005

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

Journal Articles

2017

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

2016

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

2014

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

2009

  1. Tracking error: a multistage portfolio model
    Annals of Operations Research, 2009, 165, (1), 47-66 Downloads View citations (10)
    See also Working Paper (2005)

2005

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