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Fabio Stella

Personal Details

First Name:Fabio
Middle Name:
Last Name:Stella
Suffix:
RePEc Short-ID:pst355
http://www.mad.disco.unimib.it/doku.php/people/fabio_stella

Affiliation

Università di Milano-Bicocca - Dipartimento di Informatica, Sistemistica e Comunicazione

http://www.unimib.it
Milano

Research output

as
Jump to: Working papers Articles

Working papers

  1. Stella, Fabio & Ventura, Alfonso, 2010. "Defensive online portfolio selection," MPRA Paper 33279, University Library of Munich, Germany.
  2. Gaivoronski, A & Stella, F, 2000. "Nonstationary Optimization Approach for Finding Universal Portfolios," MPRA Paper 21913, University Library of Munich, Germany.

Articles

  1. S. Villa & F. Stella, 2014. "A continuous time Bayesian network classifier for intraday FX prediction," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2079-2092, December.
  2. Fabio Stella & Alfonso Ventura, 2011. "Defensive online portfolio selection," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 2(1/2), pages 88-105.
  3. E. Fagiuoli & F. Stella & A. Ventura, 2007. "Constant rebalanced portfolios and side-information," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 161-173.
  4. Gaivoronski, Alexei A. & Stella, Fabio, 2003. "On-line portfolio selection using stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1013-1043, April.
  5. Archetti, F. & Gaivoronski, A. & Stella, F., 1997. "Stochastic optimization on Bayesian nets," European Journal of Operational Research, Elsevier, vol. 101(2), pages 360-373, September.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Gaivoronski, A & Stella, F, 2000. "Nonstationary Optimization Approach for Finding Universal Portfolios," MPRA Paper 21913, University Library of Munich, Germany.

    Cited by:

    1. James DiLellio, 2015. "A Kalman filter control technique in mean-variance portfolio management," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(2), pages 235-261, April.
    2. Xingyu Yang & Jin’an He & Hong Lin & Yong Zhang, 2020. "Boosting Exponential Gradient Strategy for Online Portfolio Selection: An Aggregating Experts’ Advice Method," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 231-251, January.
    3. Shuo Sun & Rundong Wang & Bo An, 2021. "Reinforcement Learning for Quantitative Trading," Papers 2109.13851, arXiv.org.
    4. Bin Li & Steven C. H. Hoi, 2012. "On-Line Portfolio Selection with Moving Average Reversion," Papers 1206.4626, arXiv.org.
    5. Esther Mohr & Robert Dochow, 2017. "Risk management strategies for finding universal portfolios," Annals of Operations Research, Springer, vol. 256(1), pages 129-147, September.
    6. Fabio Stella & Alfonso Ventura, 2011. "Defensive online portfolio selection," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 2(1/2), pages 88-105.
    7. Gaivoronski, Alexei A. & Krylov, Sergiy & van der Wijst, Nico, 2005. "Optimal portfolio selection and dynamic benchmark tracking," European Journal of Operational Research, Elsevier, vol. 163(1), pages 115-131, May.
    8. S D Flåm, 2005. "Portfolio Management without Probabilities or Statistics," Economics Discussion Paper Series 0508, Economics, The University of Manchester.
    9. Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
    10. Yong Zhang & Xingyu Yang, 2017. "Online Portfolio Selection Strategy Based on Combining Experts’ Advice," Computational Economics, Springer;Society for Computational Economics, vol. 50(1), pages 141-159, June.
    11. Gaivoronski, Alexei A. & Stella, Fabio, 2003. "On-line portfolio selection using stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1013-1043, April.

Articles

  1. S. Villa & F. Stella, 2014. "A continuous time Bayesian network classifier for intraday FX prediction," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2079-2092, December.

    Cited by:

    1. Villa, Simone & Rossetti, Marco, 2014. "Learning Continuous Time Bayesian Network Classifiers Using MapReduce," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 62(i03).
    2. Feng, Haoyuan & Liu, Yue & Wu, Jie & Guo, Kun, 2023. "Financial market spillovers and macroeconomic shocks: Evidence from China," Research in International Business and Finance, Elsevier, vol. 65(C).

  2. E. Fagiuoli & F. Stella & A. Ventura, 2007. "Constant rebalanced portfolios and side-information," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 161-173.

    Cited by:

    1. Jin’an He & Shicheng Yin & Fangping Peng, 2024. "Weak aggregating specialist algorithm for online portfolio selection," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2405-2434, June.
    2. Xingyu Yang & Jin’an He & Hong Lin & Yong Zhang, 2020. "Boosting Exponential Gradient Strategy for Online Portfolio Selection: An Aggregating Experts’ Advice Method," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 231-251, January.
    3. Fabio Stella & Alfonso Ventura, 2011. "Defensive online portfolio selection," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 2(1/2), pages 88-105.

  3. Gaivoronski, Alexei A. & Stella, Fabio, 2003. "On-line portfolio selection using stochastic programming," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1013-1043, April.

    Cited by:

    1. Guo, Sini & Gu, Jia-Wen & Ching, Wai-Ki, 2021. "Adaptive online portfolio selection with transaction costs," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1074-1086.
    2. Xingyu Yang & Jin’an He & Hong Lin & Yong Zhang, 2020. "Boosting Exponential Gradient Strategy for Online Portfolio Selection: An Aggregating Experts’ Advice Method," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 231-251, January.
    3. Füss, Roland & Miebs, Felix & Trübenbach, Fabian, 2014. "A jackknife-type estimator for portfolio revision," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 14-28.
    4. Fabio Stella & Alfonso Ventura, 2011. "Defensive online portfolio selection," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 2(1/2), pages 88-105.
    5. Fereydooni, Ali & Barak, Sasan & Asaad Sajadi, Seyed Mehrzad, 2024. "A novel online portfolio selection approach based on pattern matching and ESG factors," Omega, Elsevier, vol. 123(C).
    6. Gaivoronski, Alexei A. & Krylov, Sergiy & van der Wijst, Nico, 2005. "Optimal portfolio selection and dynamic benchmark tracking," European Journal of Operational Research, Elsevier, vol. 163(1), pages 115-131, May.
    7. S D Flåm, 2005. "Portfolio Management without Probabilities or Statistics," Economics Discussion Paper Series 0508, Economics, The University of Manchester.
    8. Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
    9. Yuichi Takano & Jun-ya Gotoh, 2011. "Constant Rebalanced Portfolio Optimization Under Nonlinear Transaction Costs," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(2), pages 191-211, May.
    10. Yong Zhang & Xingyu Yang, 2017. "Online Portfolio Selection Strategy Based on Combining Experts’ Advice," Computational Economics, Springer;Society for Computational Economics, vol. 50(1), pages 141-159, June.
    11. Christopher Dance & Alexei Gaivoronski, 2012. "Stochastic optimization for real time service capacity allocation under random service demand," Annals of Operations Research, Springer, vol. 193(1), pages 221-253, March.

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