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Publications by Luca Riccetti

Portfolio Frontiers With Restrictions to Tracking Error Volatility and Value at Risk

Journal of Banking and Finance

English

Unemployment Benefits and Financial Leverage in an Agent Based Macroeconomic Model

English

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Value at Risk Incorporating Dynamic Portfolio Management

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Value-At-Risk Modeling and Forecasting With Range-Based Volatility Models: Empirical Evidence

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Value-At-Risk in Portfolio Optimization: Properties and Computational Approach

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High Volatility, Thick Tails and Extreme Value Theory in Value-At-Risk Estimation

Insurance: Mathematics and Economics

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Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models

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Optimal Portfolio Under Non-Extensive Statistical Mechanics and Value-At-Risk Constraints

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Equity Portfolio Risk (Volatility) Estimation Using Market Information and Sentiment

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Forecasting Value-At-Risk Using Block Structure Multivariate Stochastic Volatility Models

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Volatility vs. Downside Risk: Optimally Protecting Against Drawdowns and Maintaining Portfolio Performance

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