Sergio Ortobelli Lozza
University of Bergamo
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Publication
Featured researches published by Sergio Ortobelli Lozza.
International Journal of Theoretical and Applied Finance | 2013
Sergio Ortobelli Lozza; Haim Shalit; Frank J. Fabozzi
This paper theoretically and empirically investigates the connection between portfolio theory and ordering theory. In particular, we examine three different portfolio problems and the respective orderings used to rank investors choices: (1) risk orderings, (2) variability orderings, and (3) tracking-error orderings. For each problem, we discuss the properties of the risk measures, variability measures, and tracking-error measures, as well as their consistency with investor choices. Finally, for each problem, we propose an empirical application of several admissible portfolio optimization problems using the US stock market. The proposed empirical analysis permits us to evaluate the ex-post impact of the optimal choices, thereby deriving completely different investors preference orderings during the recent financial crisis.
Applied Economics | 2018
Sergio Ortobelli Lozza; Wing-Keung Wong; Frank J. Fabozzi; Martin Egozcue
ABSTRACT In this paper, we provide a general valuation of the diversification attitude of investors. First, we empirically examine the diversification of mean-variance optimal choices in the US stock market during the 11-year period 2003–2013. We then analyze the diversification problem from the perspective of risk-averse investors and risk-seeking investors. Second, we prove that investors’ optimal choices will be similar if their utility functions are not too distant, independent of their tolerance (or aversion) to risk. Finally, we discuss investors’ attitude towards diversification when the choices available to investors depend on several parameters.
MCSS '14 - International Conference on Mathematical, Computational and Statistical Sciences | 2014
Sergio Ortobelli Lozza; Filomena Petronio; Tommaso Lando
MCSS '14 - 2nd International Conference on Mathematical,Computational and Statistical Sciences | 2014
Sergio Ortobelli Lozza; Filomena Petronio; Tomas Tichy
INTERNATIONAL JOURNAL OF MATHEMATICAL MODELS AND METHODS IN APPLIED SCIENCES | 2014
Filomena Petronio; Lidia Tamborini; Tommaso Lando; Sergio Ortobelli Lozza
Mathematical Methods in Economics 2013. 31th International Conference on Mathematical methods in Economics | 2013
Filomena Petronio; Sergio Ortobelli Lozza; Tomas Tichy
The 2015 International Conference on Economics and Statistics | 2015
Sergio Ortobelli Lozza; Tomas Tichy; Tommaso Lando; Filomena Petronio
MMFR 2016 - Managing and Modelling of Financial Risks. 8th International Scientific Conference | 2017
Matteo Malavasi; Roberto Previtali; Sergio Ortobelli Lozza; Carla Nardelli
Methodology and Computing in Applied Probability | 2016
Sergio Ortobelli Lozza; Tommaso Lando; Filomena Petronio; Tomáš Tichý
EKONOMICKÁ REVUE | 2016
Matteo Malavasi; Roberto Previtali; Sergio Ortobelli Lozza; Tomas Tichy