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Asmerilda Hitaj
Asmerilda Hitaj
Università degli Studi dell'Insubria
Verified email at unimib.it
Title
Cited by
Cited by
Year
Asset allocation: new evidence through network approaches
GP Clemente, R Grassi, A Hitaj
Annals of Operations Research, 1-20, 2019
352019
Portfolio allocation using multivariate variance gamma models
A Hitaj, L Mercuri
Financial markets and portfolio management 27, 65-99, 2013
242013
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
232012
Portfolio selection with independent component analysis
A Hitaj, L Mercuri, E Rroji
Finance Research Letters 15, 146-159, 2015
182015
Are Smart Beta strategies suitable for hedge fund portfolios?
A Hitaj, G Zambruno
Review of Financial Economics 29, 37-51, 2016
132016
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
112020
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
62022
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
62022
Lévy CARMA models for shocks in mortality
A Hitaj, L Mercuri, E Rroji
Decisions in Economics and Finance 42, 205-227, 2019
62019
Hedge fund portfolio allocation with higher moments and mvg models
A Hitaj, L Mercuri
Advances in Financial Risk Management: Corporates, Intermediaries and …, 2013
62013
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
52020
Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization
A Hitaj, L Mercuri, E Rroji
Computational Management Science, 1-25, 2018
42018
Portfolio optimization using modified herfindahl constraint
A Hitaj, G Zambruno
Handbook of Recent Advances in Commodity and Financial Modeling …, 2018
32018
Dissecting hedge funds' strategies
M Noori, A Hitaj
International Review of Financial Analysis 85, 102453, 2023
22023
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
22021
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
22018
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