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Elio Canestrelli

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This is information that was supplied by Elio Canestrelli in registering through RePEc. If you are Elio Canestrelli , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Elio
Middle Name:
Last Name: Canestrelli
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RePEc Short-ID: pca511

Email: [This author has chosen not to make the email address public]
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Affiliation

Dipartimento di Economia
Università Ca' Foscari Venezia
Location: Venezia, Italy
Homepage: http://www.unive.it/dip.economia
Email:
Phone: +39-0412349621
Fax: +39-0412349176
Postal: Cannaregio, S. Giobbe no 873 , 30121 Venezia
Handle: RePEc:edi:dsvenit (more details at EDIRC)

Works

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Working papers

  1. Diana Barro & Elio Canestrelli, 2012. "Downside risk in multiperiod tracking error models," Working Papers 2012_17, Department of Economics, University of Venice "Ca' Foscari".
  2. Diana Barro & Elio Canestrelli, 2012. "Dynamic tracking error with shortfall control using stochastic programming," Working Papers 2012_18, Department of Economics, University of Venice "Ca' Foscari", revised 2012.
  3. Diana Barro & Elio Canestrelli, 2011. "Combining stochastic programming and optimal control to solve multistage stochastic optimization problems," Working Papers 2011_24, Department of Economics, University of Venice "Ca' Foscari", revised 2011.
  4. Diana Barro & Elio Canestrelli, 2009. "Portfolio management with minimum guarantees: some modeling and optimization issues," Working Papers 193, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  5. Diana Barro & Elio Canestrelli, 2008. "Tracking error with minimum guarantee constraints," Working Papers 172, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  6. Diana Barro & Elio Canestrelli, 2005. "Time and nodal decomposition with implicit non-anticipativity constraints in dynamic portfolio optimization," GE, Growth, Math methods, EconWPA 0510011, EconWPA.
  7. Diana Barro & Elio Canestrelli, 2005. "Tracking Error: a multistage portfolio model," GE, Growth, Math methods, EconWPA 0510012, EconWPA.

Articles

  1. Barro, Diana & Canestrelli, Elio, 2005. "Dynamic portfolio optimization: Time decomposition using the Maximum Principle with a scenario approach," European Journal of Operational Research, Elsevier, vol. 163(1), pages 217-229, May.

NEP Fields

7 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (1) 2012-01-03
  2. NEP-FIN: Finance (2) 2005-11-05 2005-11-05. Author is listed
  3. NEP-ORE: Operations Research (1) 2012-01-03

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