Asset allocation: new evidence through network approaches GP Clemente, R Grassi, A Hitaj Annals of Operations Research, 1-20, 2019 | 35 | 2019 |
Portfolio allocation using multivariate variance gamma models A Hitaj, L Mercuri Financial markets and portfolio management 27, 65-99, 2013 | 24 | 2013 |
Optimal hedge fund allocation with improved estimates for coskewness and cokurtosis parameters A Hitaj, L Martellini, G Zambruno The Journal of Alternative Investments 14 (3), 6, 2012 | 23 | 2012 |
Portfolio selection with independent component analysis A Hitaj, L Mercuri, E Rroji Finance Research Letters 15, 146-159, 2015 | 18 | 2015 |
Are Smart Beta strategies suitable for hedge fund portfolios? A Hitaj, G Zambruno Review of Financial Economics 29, 37-51, 2016 | 13 | 2016 |
Lambda value at risk: a new backtestable alternative to VaR A Hitaj, I Peri Available at SSRN, 2015 | 13* | 2015 |
Goodman and Kruskal’s Gamma Coefficient for Ordinalized Bivariate Normal Distributions A Barbiero, A Hitaj psychometrika 85 (4), 905-925, 2020 | 11 | 2020 |
Portfolio Choice Under Cumulative Prospect Theory: Sensitivity Analysis and an Empirical Study G Consigli, A Hitaj, E Mastrogiacomo Computational Management Science, 2018 | 10* | 2018 |
On properties of the MixedTS distribution and its multivariate extension A Hitaj, F Hubalek, L Mercuri, E Rroji International Statistical Review 86 (3), 512-540, 2018 | 7* | 2018 |
Smart network based portfolios GP Clemente, R Grassi, A Hitaj Annals of Operations Research 316 (2), 1519-1541, 2022 | 6 | 2022 |
Approximation of continuous random variables for the evaluation of the reliability parameter of complex stress–strength models A Barbiero, A Hitaj Annals of Operations Research 315 (2), 1573-1598, 2022 | 6 | 2022 |
Lévy CARMA models for shocks in mortality A Hitaj, L Mercuri, E Rroji Decisions in Economics and Finance 42, 205-227, 2019 | 6 | 2019 |
Hedge fund portfolio allocation with higher moments and mvg models A Hitaj, L Mercuri Advances in Financial Risk Management: Corporates, Intermediaries and …, 2013 | 6 | 2013 |
A welcome to the jungle of continuous-time multivariate non-Gaussian models based on Lévy processes applied to finance ML Bianchi, A Hitaj, GL Tassinari Annals of Operations Research, 1-42, 2022 | 5* | 2022 |
A discrete analogue of the half-logistic distribution A Barbiero, A Hitaj 2020 International Conference on Decision Aid Sciences and Application (DASA …, 2020 | 5 | 2020 |
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization A Hitaj, L Mercuri, E Rroji Computational Management Science, 1-25, 2018 | 4 | 2018 |
Portfolio optimization using modified herfindahl constraint A Hitaj, G Zambruno Handbook of Recent Advances in Commodity and Financial Modeling …, 2018 | 3 | 2018 |
Dissecting hedge funds' strategies M Noori, A Hitaj International Review of Financial Analysis 85, 102453, 2023 | 2 | 2023 |
A new method for building a discrete analogue to a continuous random variable based on minimization of a distance between distribution functions A Barbiero, A Hitaj 2021 International Conference on Data Analytics for Business and Industry …, 2021 | 2 | 2021 |
Some empirical evidence on the need of more advanced approaches in mortality modeling A Hitaj, L Mercuri, E Rroji Mathematical and Statistical Methods for Actuarial Sciences and Finance: MAF …, 2018 | 2 | 2018 |