IDEAS home Printed from https://ideas.repec.org/f/pst355.html
   My authors  Follow this author

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. 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.
    2. 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.
    3. S D Flåm, 2005. "Portfolio Management without Probabilities or Statistics," Economics Discussion Paper Series 0508, Economics, The University of Manchester.
    4. Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
    5. 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.
    6. 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.
    7. 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.
    8. Shuo Sun & Rundong Wang & Bo An, 2021. "Reinforcement Learning for Quantitative Trading," Papers 2109.13851, arXiv.org.
    9. Bin Li & Steven C. H. Hoi, 2012. "On-Line Portfolio Selection with Moving Average Reversion," Papers 1206.4626, arXiv.org.
    10. Esther Mohr & Robert Dochow, 2017. "Risk management strategies for finding universal portfolios," Annals of Operations Research, Springer, vol. 256(1), pages 129-147, September.
    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. 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.
    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. 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. 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.
    2. 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.
    3. 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.
    4. S D Flåm, 2005. "Portfolio Management without Probabilities or Statistics," Economics Discussion Paper Series 0508, Economics, The University of Manchester.
    5. Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. 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.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Fabio Stella should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.