Billio Monica

Monica Billio

Information about the author Monica Billio will soon be added to the site.
Found 3 papers in total
Portfolio symmetry and momentum
Portfolio symmetry and momentum
2011
This paper presents a novel theoretical framework to model the evolution of a dynamic...
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real‐time application to the Euro area
Identifying business cycle turning points with sequential Monte Carlo methods: an online and real‐time application to the Euro area
2010
We propose a new approach for detecting turning points and forecasting the level of...
Stochastic optimization for allocation problems with shortfall risk constraints
Stochastic optimization for allocation problems with shortfall risk constraints
2007
One of the crucial aspects in asset allocation problems is the assumption concerning...
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