Sergio Ortobelli Lozza

Multivariate stochastic dominance applied to sector-based portfolio selection

Noureddine Kouaissah, S. O. Lozza, Sergio Ortobelli Lozza, 2020 .

Portfolio optimization with asset preselection using data envelopment analysis

V. Moriggia, M. Hosseinzadeh, Sergio Ortobelli Lozza, 2022, Central European Journal of Operations Research.

Timing portfolio strategies with exponential Lévy processes

E. Angelelli, Sergio Ortobelli Lozza, Alda Ndoci, 2018, Computational Management Science.

Diversification versus optimality: is there really a diversification puzzle?

F. Fabozzi, Martín Egozcue, Sergio Ortobelli Lozza, 2018 .

Portfolio Selection Using Multivariate Semiparametric Estimators and a Copula PCA-Based Approach

Noureddine Kouaissah, Sergio Ortobelli Lozza, Ikram Jebabli, 2021, Computational Economics.

Timing portfolio strategies with exponential Lévy processes

Sergio Ortobelli Lozza, Enrico Angelelli, Alda Ndoci, 2018, Computational Management Science.

Dynamic Return Scenario Generation Approach for Large-Scale Portfolio Optimisation Framework

Sergio Ortobelli Lozza, David Neděla, Tomáš Tichý, 2024, Computational Economics.