Canestrelli Elio

Elio Canestrelli

Information about the author Elio Canestrelli will soon be added to the site.
Found 5 papers in total
Downside risk in multiperiod tracking error models
Downside risk in multiperiod tracking error models
2014
The recent crisis made it evident that replicating the performance of a benchmark is...
Tracking error: A multistage portfolio model
Tracking error: A multistage portfolio model
2009
We study multistage tracking error problems. Different tracking error measures,...
Dynamic portfolio optimization: Time decomposition using the Maximum Principle with a scenario approach
Dynamic portfolio optimization: Time decomposition using the Maximum Principle with a scenario approach
2005
We study a dynamic portfolio management problem over a finite horizon with transaction...
Stability in possibilistic quadratic programming
Stability in possibilistic quadratic programming
1996
The authors show that possibilistic quadratic programs with crisp decision variables...
Optimizing a quadratic function wth fuzzy linear coefficients
Optimizing a quadratic function wth fuzzy linear coefficients
1991
The paper introduces a number of notions and properties related to fuzzy numbers and...
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