Timing portfolio strategies with exponential Lévy processes View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2019-02

AUTHORS

Sergio Ortobelli Lozza, Enrico Angelelli, Alda Ndoci

ABSTRACT

This paper analyses the impact of parametric timing portfolio strategies on the U.S. stock market. In particular, we assume that the log-returns follow a given parametric Lévy process and we describe a methodology to approximate the distributions of stopping times using the underlying Markov transition matrix. Therefore, we propose the use of portfolio strategies based on the maximization of the ratio between the expected first passage time to reach a low level of wealth and the expected first passage time to reach a high level of wealth. Finally, we compare the ex-post wealth obtained maximizing the ratio of proper expected stopping times under different distributional assumptions. More... »

PAGES

97-127

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10287-018-0332-y

DOI

http://dx.doi.org/10.1007/s10287-018-0332-y

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1106250951


Indexing Status Check whether this publication has been indexed by Scopus and Web Of Science using the SN Indexing Status Tool
Incoming Citations Browse incoming citations for this publication using opencitations.net

JSON-LD is the canonical representation for SciGraph data.

TIP: You can open this SciGraph record using an external JSON-LD service: JSON-LD Playground Google SDTT

[
  {
    "@context": "https://springernature.github.io/scigraph/jsonld/sgcontext.json", 
    "about": [
      {
        "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/1502", 
        "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
        "name": "Banking, Finance and Investment", 
        "type": "DefinedTerm"
      }, 
      {
        "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/15", 
        "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
        "name": "Commerce, Management, Tourism and Services", 
        "type": "DefinedTerm"
      }
    ], 
    "author": [
      {
        "affiliation": {
          "alternateName": "Technical University of Ostrava", 
          "id": "https://www.grid.ac/institutes/grid.440850.d", 
          "name": [
            "Department SAEMQ, University of Bergamo, Via dei Caniana, 2, 24127, Bergamo, Italy", 
            "Department of Finance, VSB-TU of Ostrava, Sokolsk\u00e1 33, Ostrava, Czech Republic"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Ortobelli Lozza", 
        "givenName": "Sergio", 
        "id": "sg:person.010156577037.39", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.010156577037.39"
        ], 
        "type": "Person"
      }, 
      {
        "affiliation": {
          "alternateName": "University of Brescia", 
          "id": "https://www.grid.ac/institutes/grid.7637.5", 
          "name": [
            "Department of Economics and Management, University of Brescia, C.da Santa Chiara 50, 25122, Brescia, Italy"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Angelelli", 
        "givenName": "Enrico", 
        "id": "sg:person.010155070156.17", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.010155070156.17"
        ], 
        "type": "Person"
      }, 
      {
        "affiliation": {
          "alternateName": "University of Bergamo", 
          "id": "https://www.grid.ac/institutes/grid.33236.37", 
          "name": [
            "Department SAEMQ, University of Bergamo, Via dei Caniana, 2, 24127, Bergamo, Italy"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Ndoci", 
        "givenName": "Alda", 
        "type": "Person"
      }
    ], 
    "citation": [
      {
        "id": "https://app.dimensions.ai/details/publication/pub.1005062742", 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/978-3-642-13694-8", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1005062742", 
          "https://doi.org/10.1007/978-3-642-13694-8"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/978-3-642-13694-8", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1005062742", 
          "https://doi.org/10.1007/978-3-642-13694-8"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1111/j.1467-9965.2011.00486.x", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1005087205"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/0304-405x(87)90033-x", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1005127498"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/s0165-1889(00)00003-8", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1007826430"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1080/14697688.2011.620978", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1007967962"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1080/09720510.2006.10701233", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1009556189"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/0304-4149(87)90036-6", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1012589519"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/0304-4149(87)90036-6", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1012589519"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.2753/ree1540-496x4706s501", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1014826425"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/j.jbankfin.2006.12.003", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1018217207"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1111/1468-0262.00167", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1020316539"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/j.jbankfin.2005.12.006", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1023853989"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/j.jempfin.2009.09.002", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1026075749"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1111/j.1540-6261.1991.tb02675.x", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1026419886"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1111/j.1467-9965.2008.00338.x", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1027771010"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://app.dimensions.ai/details/publication/pub.1030644221", 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/978-1-4684-0441-8", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1030644221", 
          "https://doi.org/10.1007/978-1-4684-0441-8"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/978-1-4684-0441-8", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1030644221", 
          "https://doi.org/10.1007/978-1-4684-0441-8"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/s10479-016-2182-8", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1037489721", 
          "https://doi.org/10.1007/s10479-016-2182-8"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/s10479-016-2182-8", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1037489721", 
          "https://doi.org/10.1007/s10479-016-2182-8"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/j.ejor.2013.04.015", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1038188972"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/j.jbankfin.2005.04.024", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1039311919"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://app.dimensions.ai/details/publication/pub.1039411348", 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/978-3-0348-8163-0", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1039411348", 
          "https://doi.org/10.1007/978-3-0348-8163-0"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/978-3-0348-8163-0", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1039411348", 
          "https://doi.org/10.1007/978-3-0348-8163-0"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/s00780-013-0209-4", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1041358087", 
          "https://doi.org/10.1007/s00780-013-0209-4"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1023/a:1009650313980", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1044615003", 
          "https://doi.org/10.1023/a:1009650313980"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1080/03610918608812563", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1045167220"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/s10479-016-2387-x", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1045760815", 
          "https://doi.org/10.1007/s10479-016-2387-x"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/s10479-016-2387-x", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1045760815", 
          "https://doi.org/10.1007/s10479-016-2387-x"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1088/1469-7688/4/1/008", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1050325123"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1111/j.1467-9965.2010.00397.x", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1053353385"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1111/j.1467-9965.2010.00397.x", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1053353385"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1086/296137", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1058605963"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1086/296144", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1058605970"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1086/296519", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1058606345"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1109/twc.2007.051000", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1061825538"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1137/080741124", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1062855341"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1142/s0219024905002767", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1062986012"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1214/11-ps177", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1064392615"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1214/aop/1176995609", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1064405241"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1287/mnsc.2016.2506", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1064718240"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1287/opre.15.6.1057", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1064727165"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.21314/jcf.2003.110", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1068976613"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.2469/faj.v57.n1.2417", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1070835129"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.3905/jpm.1994.409501", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1071563659"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "sg:pub.10.1007/978-1-4757-2435-6_3", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1089531952", 
          "https://doi.org/10.1007/978-1-4757-2435-6_3"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1002/0470870230", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1098661174"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1002/0470870230", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1098661174"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.2139/ssrn.1802810", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1102307112"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.2139/ssrn.2687104", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1103574408"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://app.dimensions.ai/details/publication/pub.1109491214", 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1002/9781118268070", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1109491214"
        ], 
        "type": "CreativeWork"
      }
    ], 
    "datePublished": "2019-02", 
    "datePublishedReg": "2019-02-01", 
    "description": "This paper analyses the impact of parametric timing portfolio strategies on the U.S. stock market. In particular, we assume that the log-returns follow a given parametric L\u00e9vy process and we describe a methodology to approximate the distributions of stopping times using the underlying Markov transition matrix. Therefore, we propose the use of portfolio strategies based on the maximization of the ratio between the expected first passage time to reach a low level of wealth and the expected first passage time to reach a high level of wealth. Finally, we compare the ex-post wealth obtained maximizing the ratio of proper expected stopping times under different distributional assumptions.", 
    "genre": "research_article", 
    "id": "sg:pub.10.1007/s10287-018-0332-y", 
    "inLanguage": [
      "en"
    ], 
    "isAccessibleForFree": false, 
    "isFundedItemOf": [
      {
        "id": "sg:grant.7071470", 
        "type": "MonetaryGrant"
      }
    ], 
    "isPartOf": [
      {
        "id": "sg:journal.1136802", 
        "issn": [
          "1619-697X", 
          "1619-6988"
        ], 
        "name": "Computational Management Science", 
        "type": "Periodical"
      }, 
      {
        "issueNumber": "1-2", 
        "type": "PublicationIssue"
      }, 
      {
        "type": "PublicationVolume", 
        "volumeNumber": "16"
      }
    ], 
    "name": "Timing portfolio strategies with exponential L\u00e9vy processes", 
    "pagination": "97-127", 
    "productId": [
      {
        "name": "readcube_id", 
        "type": "PropertyValue", 
        "value": [
          "4f76d6b08c6c222c34c53fb72007ee122ebd63edf03b694252818f4fac976a70"
        ]
      }, 
      {
        "name": "doi", 
        "type": "PropertyValue", 
        "value": [
          "10.1007/s10287-018-0332-y"
        ]
      }, 
      {
        "name": "dimensions_id", 
        "type": "PropertyValue", 
        "value": [
          "pub.1106250951"
        ]
      }
    ], 
    "sameAs": [
      "https://doi.org/10.1007/s10287-018-0332-y", 
      "https://app.dimensions.ai/details/publication/pub.1106250951"
    ], 
    "sdDataset": "articles", 
    "sdDatePublished": "2019-04-11T13:58", 
    "sdLicense": "https://scigraph.springernature.com/explorer/license/", 
    "sdPublisher": {
      "name": "Springer Nature - SN SciGraph project", 
      "type": "Organization"
    }, 
    "sdSource": "s3://com-uberresearch-data-dimensions-target-20181106-alternative/cleanup/v134/2549eaecd7973599484d7c17b260dba0a4ecb94b/merge/v9/a6c9fde33151104705d4d7ff012ea9563521a3ce/jats-lookup/v90/0000000371_0000000371/records_130820_00000006.jsonl", 
    "type": "ScholarlyArticle", 
    "url": "https://link.springer.com/10.1007%2Fs10287-018-0332-y"
  }
]
 

Download the RDF metadata as:  json-ld nt turtle xml License info

HOW TO GET THIS DATA PROGRAMMATICALLY:

JSON-LD is a popular format for linked data which is fully compatible with JSON.

curl -H 'Accept: application/ld+json' 'https://scigraph.springernature.com/pub.10.1007/s10287-018-0332-y'

N-Triples is a line-based linked data format ideal for batch operations.

curl -H 'Accept: application/n-triples' 'https://scigraph.springernature.com/pub.10.1007/s10287-018-0332-y'

Turtle is a human-readable linked data format.

curl -H 'Accept: text/turtle' 'https://scigraph.springernature.com/pub.10.1007/s10287-018-0332-y'

RDF/XML is a standard XML format for linked data.

curl -H 'Accept: application/rdf+xml' 'https://scigraph.springernature.com/pub.10.1007/s10287-018-0332-y'


 

This table displays all metadata directly associated to this object as RDF triples.

228 TRIPLES      21 PREDICATES      74 URIs      19 LITERALS      7 BLANK NODES

Subject Predicate Object
1 sg:pub.10.1007/s10287-018-0332-y schema:about anzsrc-for:15
2 anzsrc-for:1502
3 schema:author Ncac83021a3e34f6ea2026da31c6ca6e3
4 schema:citation sg:pub.10.1007/978-1-4684-0441-8
5 sg:pub.10.1007/978-1-4757-2435-6_3
6 sg:pub.10.1007/978-3-0348-8163-0
7 sg:pub.10.1007/978-3-642-13694-8
8 sg:pub.10.1007/s00780-013-0209-4
9 sg:pub.10.1007/s10479-016-2182-8
10 sg:pub.10.1007/s10479-016-2387-x
11 sg:pub.10.1023/a:1009650313980
12 https://app.dimensions.ai/details/publication/pub.1005062742
13 https://app.dimensions.ai/details/publication/pub.1030644221
14 https://app.dimensions.ai/details/publication/pub.1039411348
15 https://app.dimensions.ai/details/publication/pub.1109491214
16 https://doi.org/10.1002/0470870230
17 https://doi.org/10.1002/9781118268070
18 https://doi.org/10.1016/0304-405x(87)90033-x
19 https://doi.org/10.1016/0304-4149(87)90036-6
20 https://doi.org/10.1016/j.ejor.2013.04.015
21 https://doi.org/10.1016/j.jbankfin.2005.04.024
22 https://doi.org/10.1016/j.jbankfin.2005.12.006
23 https://doi.org/10.1016/j.jbankfin.2006.12.003
24 https://doi.org/10.1016/j.jempfin.2009.09.002
25 https://doi.org/10.1016/s0165-1889(00)00003-8
26 https://doi.org/10.1080/03610918608812563
27 https://doi.org/10.1080/09720510.2006.10701233
28 https://doi.org/10.1080/14697688.2011.620978
29 https://doi.org/10.1086/296137
30 https://doi.org/10.1086/296144
31 https://doi.org/10.1086/296519
32 https://doi.org/10.1088/1469-7688/4/1/008
33 https://doi.org/10.1109/twc.2007.051000
34 https://doi.org/10.1111/1468-0262.00167
35 https://doi.org/10.1111/j.1467-9965.2008.00338.x
36 https://doi.org/10.1111/j.1467-9965.2010.00397.x
37 https://doi.org/10.1111/j.1467-9965.2011.00486.x
38 https://doi.org/10.1111/j.1540-6261.1991.tb02675.x
39 https://doi.org/10.1137/080741124
40 https://doi.org/10.1142/s0219024905002767
41 https://doi.org/10.1214/11-ps177
42 https://doi.org/10.1214/aop/1176995609
43 https://doi.org/10.1287/mnsc.2016.2506
44 https://doi.org/10.1287/opre.15.6.1057
45 https://doi.org/10.21314/jcf.2003.110
46 https://doi.org/10.2139/ssrn.1802810
47 https://doi.org/10.2139/ssrn.2687104
48 https://doi.org/10.2469/faj.v57.n1.2417
49 https://doi.org/10.2753/ree1540-496x4706s501
50 https://doi.org/10.3905/jpm.1994.409501
51 schema:datePublished 2019-02
52 schema:datePublishedReg 2019-02-01
53 schema:description This paper analyses the impact of parametric timing portfolio strategies on the U.S. stock market. In particular, we assume that the log-returns follow a given parametric Lévy process and we describe a methodology to approximate the distributions of stopping times using the underlying Markov transition matrix. Therefore, we propose the use of portfolio strategies based on the maximization of the ratio between the expected first passage time to reach a low level of wealth and the expected first passage time to reach a high level of wealth. Finally, we compare the ex-post wealth obtained maximizing the ratio of proper expected stopping times under different distributional assumptions.
54 schema:genre research_article
55 schema:inLanguage en
56 schema:isAccessibleForFree false
57 schema:isPartOf N45619806c8f64e698fa93f8eb815c0d6
58 Nd8d1198dc90f41b8be8568104768415b
59 sg:journal.1136802
60 schema:name Timing portfolio strategies with exponential Lévy processes
61 schema:pagination 97-127
62 schema:productId N8f09c2be191f4e1abe81168de0dc05e8
63 Na9f746e69016414cbb364f3f2f9e2f87
64 Nfcef0c68c08340c9a9ff4f25e3e73a81
65 schema:sameAs https://app.dimensions.ai/details/publication/pub.1106250951
66 https://doi.org/10.1007/s10287-018-0332-y
67 schema:sdDatePublished 2019-04-11T13:58
68 schema:sdLicense https://scigraph.springernature.com/explorer/license/
69 schema:sdPublisher Nfa98c1dec9a34019a6e2d32103a0d865
70 schema:url https://link.springer.com/10.1007%2Fs10287-018-0332-y
71 sgo:license sg:explorer/license/
72 sgo:sdDataset articles
73 rdf:type schema:ScholarlyArticle
74 N45619806c8f64e698fa93f8eb815c0d6 schema:issueNumber 1-2
75 rdf:type schema:PublicationIssue
76 N809cc0d76a644e8c9564c3371d47d403 rdf:first Nd3839992a4434ec8bff6f6dceae4d1de
77 rdf:rest rdf:nil
78 N8a70967c1e114154ad904849cc755d3a rdf:first sg:person.010155070156.17
79 rdf:rest N809cc0d76a644e8c9564c3371d47d403
80 N8f09c2be191f4e1abe81168de0dc05e8 schema:name readcube_id
81 schema:value 4f76d6b08c6c222c34c53fb72007ee122ebd63edf03b694252818f4fac976a70
82 rdf:type schema:PropertyValue
83 Na9f746e69016414cbb364f3f2f9e2f87 schema:name dimensions_id
84 schema:value pub.1106250951
85 rdf:type schema:PropertyValue
86 Ncac83021a3e34f6ea2026da31c6ca6e3 rdf:first sg:person.010156577037.39
87 rdf:rest N8a70967c1e114154ad904849cc755d3a
88 Nd3839992a4434ec8bff6f6dceae4d1de schema:affiliation https://www.grid.ac/institutes/grid.33236.37
89 schema:familyName Ndoci
90 schema:givenName Alda
91 rdf:type schema:Person
92 Nd8d1198dc90f41b8be8568104768415b schema:volumeNumber 16
93 rdf:type schema:PublicationVolume
94 Nfa98c1dec9a34019a6e2d32103a0d865 schema:name Springer Nature - SN SciGraph project
95 rdf:type schema:Organization
96 Nfcef0c68c08340c9a9ff4f25e3e73a81 schema:name doi
97 schema:value 10.1007/s10287-018-0332-y
98 rdf:type schema:PropertyValue
99 anzsrc-for:15 schema:inDefinedTermSet anzsrc-for:
100 schema:name Commerce, Management, Tourism and Services
101 rdf:type schema:DefinedTerm
102 anzsrc-for:1502 schema:inDefinedTermSet anzsrc-for:
103 schema:name Banking, Finance and Investment
104 rdf:type schema:DefinedTerm
105 sg:grant.7071470 http://pending.schema.org/fundedItem sg:pub.10.1007/s10287-018-0332-y
106 rdf:type schema:MonetaryGrant
107 sg:journal.1136802 schema:issn 1619-697X
108 1619-6988
109 schema:name Computational Management Science
110 rdf:type schema:Periodical
111 sg:person.010155070156.17 schema:affiliation https://www.grid.ac/institutes/grid.7637.5
112 schema:familyName Angelelli
113 schema:givenName Enrico
114 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.010155070156.17
115 rdf:type schema:Person
116 sg:person.010156577037.39 schema:affiliation https://www.grid.ac/institutes/grid.440850.d
117 schema:familyName Ortobelli Lozza
118 schema:givenName Sergio
119 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.010156577037.39
120 rdf:type schema:Person
121 sg:pub.10.1007/978-1-4684-0441-8 schema:sameAs https://app.dimensions.ai/details/publication/pub.1030644221
122 https://doi.org/10.1007/978-1-4684-0441-8
123 rdf:type schema:CreativeWork
124 sg:pub.10.1007/978-1-4757-2435-6_3 schema:sameAs https://app.dimensions.ai/details/publication/pub.1089531952
125 https://doi.org/10.1007/978-1-4757-2435-6_3
126 rdf:type schema:CreativeWork
127 sg:pub.10.1007/978-3-0348-8163-0 schema:sameAs https://app.dimensions.ai/details/publication/pub.1039411348
128 https://doi.org/10.1007/978-3-0348-8163-0
129 rdf:type schema:CreativeWork
130 sg:pub.10.1007/978-3-642-13694-8 schema:sameAs https://app.dimensions.ai/details/publication/pub.1005062742
131 https://doi.org/10.1007/978-3-642-13694-8
132 rdf:type schema:CreativeWork
133 sg:pub.10.1007/s00780-013-0209-4 schema:sameAs https://app.dimensions.ai/details/publication/pub.1041358087
134 https://doi.org/10.1007/s00780-013-0209-4
135 rdf:type schema:CreativeWork
136 sg:pub.10.1007/s10479-016-2182-8 schema:sameAs https://app.dimensions.ai/details/publication/pub.1037489721
137 https://doi.org/10.1007/s10479-016-2182-8
138 rdf:type schema:CreativeWork
139 sg:pub.10.1007/s10479-016-2387-x schema:sameAs https://app.dimensions.ai/details/publication/pub.1045760815
140 https://doi.org/10.1007/s10479-016-2387-x
141 rdf:type schema:CreativeWork
142 sg:pub.10.1023/a:1009650313980 schema:sameAs https://app.dimensions.ai/details/publication/pub.1044615003
143 https://doi.org/10.1023/a:1009650313980
144 rdf:type schema:CreativeWork
145 https://app.dimensions.ai/details/publication/pub.1005062742 schema:CreativeWork
146 https://app.dimensions.ai/details/publication/pub.1030644221 schema:CreativeWork
147 https://app.dimensions.ai/details/publication/pub.1039411348 schema:CreativeWork
148 https://app.dimensions.ai/details/publication/pub.1109491214 schema:CreativeWork
149 https://doi.org/10.1002/0470870230 schema:sameAs https://app.dimensions.ai/details/publication/pub.1098661174
150 rdf:type schema:CreativeWork
151 https://doi.org/10.1002/9781118268070 schema:sameAs https://app.dimensions.ai/details/publication/pub.1109491214
152 rdf:type schema:CreativeWork
153 https://doi.org/10.1016/0304-405x(87)90033-x schema:sameAs https://app.dimensions.ai/details/publication/pub.1005127498
154 rdf:type schema:CreativeWork
155 https://doi.org/10.1016/0304-4149(87)90036-6 schema:sameAs https://app.dimensions.ai/details/publication/pub.1012589519
156 rdf:type schema:CreativeWork
157 https://doi.org/10.1016/j.ejor.2013.04.015 schema:sameAs https://app.dimensions.ai/details/publication/pub.1038188972
158 rdf:type schema:CreativeWork
159 https://doi.org/10.1016/j.jbankfin.2005.04.024 schema:sameAs https://app.dimensions.ai/details/publication/pub.1039311919
160 rdf:type schema:CreativeWork
161 https://doi.org/10.1016/j.jbankfin.2005.12.006 schema:sameAs https://app.dimensions.ai/details/publication/pub.1023853989
162 rdf:type schema:CreativeWork
163 https://doi.org/10.1016/j.jbankfin.2006.12.003 schema:sameAs https://app.dimensions.ai/details/publication/pub.1018217207
164 rdf:type schema:CreativeWork
165 https://doi.org/10.1016/j.jempfin.2009.09.002 schema:sameAs https://app.dimensions.ai/details/publication/pub.1026075749
166 rdf:type schema:CreativeWork
167 https://doi.org/10.1016/s0165-1889(00)00003-8 schema:sameAs https://app.dimensions.ai/details/publication/pub.1007826430
168 rdf:type schema:CreativeWork
169 https://doi.org/10.1080/03610918608812563 schema:sameAs https://app.dimensions.ai/details/publication/pub.1045167220
170 rdf:type schema:CreativeWork
171 https://doi.org/10.1080/09720510.2006.10701233 schema:sameAs https://app.dimensions.ai/details/publication/pub.1009556189
172 rdf:type schema:CreativeWork
173 https://doi.org/10.1080/14697688.2011.620978 schema:sameAs https://app.dimensions.ai/details/publication/pub.1007967962
174 rdf:type schema:CreativeWork
175 https://doi.org/10.1086/296137 schema:sameAs https://app.dimensions.ai/details/publication/pub.1058605963
176 rdf:type schema:CreativeWork
177 https://doi.org/10.1086/296144 schema:sameAs https://app.dimensions.ai/details/publication/pub.1058605970
178 rdf:type schema:CreativeWork
179 https://doi.org/10.1086/296519 schema:sameAs https://app.dimensions.ai/details/publication/pub.1058606345
180 rdf:type schema:CreativeWork
181 https://doi.org/10.1088/1469-7688/4/1/008 schema:sameAs https://app.dimensions.ai/details/publication/pub.1050325123
182 rdf:type schema:CreativeWork
183 https://doi.org/10.1109/twc.2007.051000 schema:sameAs https://app.dimensions.ai/details/publication/pub.1061825538
184 rdf:type schema:CreativeWork
185 https://doi.org/10.1111/1468-0262.00167 schema:sameAs https://app.dimensions.ai/details/publication/pub.1020316539
186 rdf:type schema:CreativeWork
187 https://doi.org/10.1111/j.1467-9965.2008.00338.x schema:sameAs https://app.dimensions.ai/details/publication/pub.1027771010
188 rdf:type schema:CreativeWork
189 https://doi.org/10.1111/j.1467-9965.2010.00397.x schema:sameAs https://app.dimensions.ai/details/publication/pub.1053353385
190 rdf:type schema:CreativeWork
191 https://doi.org/10.1111/j.1467-9965.2011.00486.x schema:sameAs https://app.dimensions.ai/details/publication/pub.1005087205
192 rdf:type schema:CreativeWork
193 https://doi.org/10.1111/j.1540-6261.1991.tb02675.x schema:sameAs https://app.dimensions.ai/details/publication/pub.1026419886
194 rdf:type schema:CreativeWork
195 https://doi.org/10.1137/080741124 schema:sameAs https://app.dimensions.ai/details/publication/pub.1062855341
196 rdf:type schema:CreativeWork
197 https://doi.org/10.1142/s0219024905002767 schema:sameAs https://app.dimensions.ai/details/publication/pub.1062986012
198 rdf:type schema:CreativeWork
199 https://doi.org/10.1214/11-ps177 schema:sameAs https://app.dimensions.ai/details/publication/pub.1064392615
200 rdf:type schema:CreativeWork
201 https://doi.org/10.1214/aop/1176995609 schema:sameAs https://app.dimensions.ai/details/publication/pub.1064405241
202 rdf:type schema:CreativeWork
203 https://doi.org/10.1287/mnsc.2016.2506 schema:sameAs https://app.dimensions.ai/details/publication/pub.1064718240
204 rdf:type schema:CreativeWork
205 https://doi.org/10.1287/opre.15.6.1057 schema:sameAs https://app.dimensions.ai/details/publication/pub.1064727165
206 rdf:type schema:CreativeWork
207 https://doi.org/10.21314/jcf.2003.110 schema:sameAs https://app.dimensions.ai/details/publication/pub.1068976613
208 rdf:type schema:CreativeWork
209 https://doi.org/10.2139/ssrn.1802810 schema:sameAs https://app.dimensions.ai/details/publication/pub.1102307112
210 rdf:type schema:CreativeWork
211 https://doi.org/10.2139/ssrn.2687104 schema:sameAs https://app.dimensions.ai/details/publication/pub.1103574408
212 rdf:type schema:CreativeWork
213 https://doi.org/10.2469/faj.v57.n1.2417 schema:sameAs https://app.dimensions.ai/details/publication/pub.1070835129
214 rdf:type schema:CreativeWork
215 https://doi.org/10.2753/ree1540-496x4706s501 schema:sameAs https://app.dimensions.ai/details/publication/pub.1014826425
216 rdf:type schema:CreativeWork
217 https://doi.org/10.3905/jpm.1994.409501 schema:sameAs https://app.dimensions.ai/details/publication/pub.1071563659
218 rdf:type schema:CreativeWork
219 https://www.grid.ac/institutes/grid.33236.37 schema:alternateName University of Bergamo
220 schema:name Department SAEMQ, University of Bergamo, Via dei Caniana, 2, 24127, Bergamo, Italy
221 rdf:type schema:Organization
222 https://www.grid.ac/institutes/grid.440850.d schema:alternateName Technical University of Ostrava
223 schema:name Department SAEMQ, University of Bergamo, Via dei Caniana, 2, 24127, Bergamo, Italy
224 Department of Finance, VSB-TU of Ostrava, Sokolská 33, Ostrava, Czech Republic
225 rdf:type schema:Organization
226 https://www.grid.ac/institutes/grid.7637.5 schema:alternateName University of Brescia
227 schema:name Department of Economics and Management, University of Brescia, C.da Santa Chiara 50, 25122, Brescia, Italy
228 rdf:type schema:Organization
 




Preview window. Press ESC to close (or click here)


...