46 citations · 66 across the 6 of their papers we have counts for
6 papers
Ranking Metrics: Extending Acceptability and Performance Indexes
Asmerilda Hitaj, Elisa Mastrogiacomo, Ilaria Peri +1
This paper develops an axiomatic framework for ranking metrics, a general class of functionals for evaluating and ordering financial or insurance positions. Unlike traditional risk…
Robust quasi-convex risk measures and applications
Francesca Centrone, Asmerilda Hitaj, Elisa Mastrogiacomo +1
This paper develops a unified framework for the robustification of risk measures beyond the classical convex and cash-additive setting. We consider general risk measures on Lp spac…
Multivariate non-Gaussian models for financial applications
Michele Leonardo Bianchi, Asmerilda Hitaj, Gian Luca Tassinari
In this paper we consider several continuous-time multivariate non-Gaussian models applied to finance and proposed in the literature in the last years. We study the models focusing…
Smart network based portfolios
Gian Paolo Clemente, Rosanna Grassi, Asmerilda Hitaj
In this article we deal with the problem of portfolio allocation by enhancing network theory tools. We use the dependence structure of the correlations network in constructing some…
Asset allocation: new evidence through network approaches
Gian Paolo Clemente, Rosanna Grassi, Asmerilda Hitaj
The main contribution of the paper is to employ the financial market network as a useful tool to improve the portfolio selection process, where nodes indicate securities and edges…
Multivariate Mixed Tempered Stable Distribution
Asmerilda Hitaj, Friedrich Hubalek, Lorenzo Mercuri +1
The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its cap…