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.itMilano
Research output
Jump to: Working papers ArticlesWorking papers
- Stella, Fabio & Ventura, Alfonso, 2010.
"Defensive online portfolio selection,"
MPRA Paper
33279, University Library of Munich, Germany.
- 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.
- Gaivoronski, A & Stella, F, 2000. "Nonstationary Optimization Approach for Finding Universal Portfolios," MPRA Paper 21913, University Library of Munich, Germany.
Articles
- 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.
- 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.
- Stella, Fabio & Ventura, Alfonso, 2010. "Defensive online portfolio selection," MPRA Paper 33279, University Library of Munich, Germany.
- E. Fagiuoli & F. Stella & A. Ventura, 2007. "Constant rebalanced portfolios and side-information," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 161-173.
- 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.
- 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
- Gaivoronski, A & Stella, F, 2000.
"Nonstationary Optimization Approach for Finding Universal Portfolios,"
MPRA Paper
21913, University Library of Munich, Germany.
Cited by:
- 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.
- 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.
- Shuo Sun & Rundong Wang & Bo An, 2021. "Reinforcement Learning for Quantitative Trading," Papers 2109.13851, arXiv.org.
- Bin Li & Steven C. H. Hoi, 2012. "On-Line Portfolio Selection with Moving Average Reversion," Papers 1206.4626, arXiv.org.
- Esther Mohr & Robert Dochow, 2017. "Risk management strategies for finding universal portfolios," Annals of Operations Research, Springer, vol. 256(1), pages 129-147, September.
- 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.
- Stella, Fabio & Ventura, Alfonso, 2010. "Defensive online portfolio selection," MPRA Paper 33279, University Library of Munich, Germany.
- 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.
- S D Flåm, 2005.
"Portfolio Management without Probabilities or Statistics,"
Economics Discussion Paper Series
0508, Economics, The University of Manchester.
- Sjur Flåm, 2010. "Portfolio management without probabilities or statistics," Annals of Finance, Springer, vol. 6(3), pages 357-368, July.
- Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
- 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.
- 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
- 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:
- 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).
- 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).
- 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:
- 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.
- 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.
- 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.
- Stella, Fabio & Ventura, Alfonso, 2010. "Defensive online portfolio selection," MPRA Paper 33279, University Library of Munich, Germany.
- 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:
- 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.
- 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.
- 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.
- 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.
- Stella, Fabio & Ventura, Alfonso, 2010. "Defensive online portfolio selection," MPRA Paper 33279, University Library of Munich, Germany.
- 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).
- 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.
- S D Flåm, 2005.
"Portfolio Management without Probabilities or Statistics,"
Economics Discussion Paper Series
0508, Economics, The University of Manchester.
- Sjur Flåm, 2010. "Portfolio management without probabilities or statistics," Annals of Finance, Springer, vol. 6(3), pages 357-368, July.
- Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
- 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.
- 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.
- 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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Corrections
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