Mean–Variance portfolio selection in presence of infrequently traded stocks

Journal article

Castellano, R and Cerqueti, R (2014). Mean–Variance portfolio selection in presence of infrequently traded stocks. European Journal of Operational Research. 234 (2), pp. 442-449.

Publication dates
Authors	Castellano, R and Cerqueti, R
Abstract	This paper deals with a mean-variance optimal portfolio selection problem in presence of risky assets characterized by low frequency of trading and, therefore, low liquidity. To model the dynamics of illiquid assets, we introduce pure-jump processes. This leads to the development of a portfolio selection model in a mixed discrete/continuous time setting. In this paper, we pursue the twofold scope of analyzing and comparing either long-term investment strategies as well as short-term trading rules. The theoretical model is analyzed by applying extensive Monte Carlo experiments, in order to provide useful insights from a Önancial perspective
Keywords	Markowitz model; Thin stocks; Mean-variance utility function; Jump-diffusion dynamics; Stochastic control problem; Monte Carlo
Year	2014
Journal	European Journal of Operational Research
Journal citation	234 (2), pp. 442-449
Publisher	Elsevier BV
ISSN	0377-2217
Digital Object Identifier (DOI)	doi:10.1016/j.ejor.2013.04.024
Print	Apr 2014
Publication process dates
Accepted	24 Apr 2014
Deposited	01 Apr 2020
Accepted author manuscript	EJOR thin stocks for LSBU.pdf License CC BY-NC-ND 4.0 File Access Level Open

Permalink -

https://openresearch.lsbu.ac.uk/item/896q4

Download files

Accepted author manuscript

	EJOR thin stocks for LSBU.pdf
	License: CC BY-NC-ND 4.0
	File access level: Open

1
total views
5
total downloads
1
views this month
0
downloads this month

Export as

Related outputs

Tsallis Entropy for Cross-Shareholding Network Configurations

Cerqueti, R., Rotundo, G. and Ausloos, M. (2020). Tsallis Entropy for Cross-Shareholding Network Configurations. Entropy. 22 (6), pp. 676-676.

Words ranking and Hirsch index for identifying the core of the hapaxes in political texts

Ficcadenti, V., Cerqueti, R., Ausloos, M. and Dhesi, G. (2020). Words ranking and Hirsch index for identifying the core of the hapaxes in political texts. Journal of Informetrics. 14 (3), pp. 101054-101054.

Firms clustering in presence of technological renewal processes

Cerqueti, R and Rotundo, G (2020). Firms clustering in presence of technological renewal processes. in: Puu, T and Panchuk, A (ed.) Nonlinear economic dynamics Nova Science Publishers, Inc..

Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling

Cerqueti, R, Giacalone, M and Mattera, R (2020). Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. Information Sciences. 527, pp. 1-26.

Exploring the financial risk of a temperature index: a fractional integrated approach

Castellano, R., Cerqueti, R. and Rotundo, G. (2020). Exploring the financial risk of a temperature index: a fractional integrated approach. Annals of Operations Research. 284 (1), pp. 225-242.

The Skew Normal multivariate risk measurement framework

Bernardi, M., Cerqueti, R. and Palestini, A. (2020). The Skew Normal multivariate risk measurement framework. Computational Management Science. 17 (1), pp. 105-119.

Sustainable consumption behaviours in P2P accommodation platforms: an exploratory study

Ceptureanu, E.G., Ceptureanu, S., Herteliu, C. and Cerqueti, R. (2020). Sustainable consumption behaviours in P2P accommodation platforms: an exploratory study. Soft Computing. pp. 1-8.

Systemic risk assessment through high order clustering coefficient

Cerqueti, R, Clemente, GP and Grassi, R (2020). Systemic risk assessment through high order clustering coefficient. Annals of Operations Research.

Teams in New Ventures: Gender, Human Capital and Motivation

Cerqueti, R., Lucarelli, C., Marinelli, N. and Micozzi, A. (2020). Teams in New Ventures: Gender, Human Capital and Motivation. International Journal of Gender and Entrepreneurship.

Political Corruption

Cerqueti, R and Coppier, R (2019). Political Corruption. in: Marciano, A and Ramello, G (ed.) Encyclopedia of Law and Economics New York Springer.

Optimization Problems

Cerqueti, R and Coppier, R (2019). Optimization Problems. in: Marciano, A and Ramello, G (ed.) Encyclopedia of Law and Economics Springer.

Panel stationary tests against changes in persistence

Cerqueti, R., Costantini, M., Gutierrez, L. and Westerlund, J. (2019). Panel stationary tests against changes in persistence. Statistical Papers. 60 (4), pp. 1079-1100.

Long run analysis of crude oil portfolios

Cerqueti, R., Fanelli, V. and Rotundo, G. (2019). Long run analysis of crude oil portfolios. Energy Economics. 79, pp. 183-205.

Genitourinary Tumors: Update on Molecular Biomarkers for Diagnosis, Prognosis and Prediction of Response to Therapy

Cimadamore, A., Scarpelli, M., Santoni, M., Massari, F., Tartari, F., Cerqueti, R., Lopez-Beltran, A., Cheng, L. and Montironi, R. (2019). Genitourinary Tumors: Update on Molecular Biomarkers for Diagnosis, Prognosis and Prediction of Response to Therapy. Current Drug Metabolism. 20 (4), pp. 305-312.

A Network-Based Measure of the Socio-Economic Roots of the Migration Flows

Cerqueti, R., Clemente, G.P. and Grassi, R. (2019). A Network-Based Measure of the Socio-Economic Roots of the Migration Flows. Social Indicators Research. 146 (1-2), pp. 187-204.

Measuring network resilience through connection patterns

Cerqueti, R., Ferraro, G. and Iovanella, A. (2019). Measuring network resilience through connection patterns. Reliability Engineering & System Safety. 188, pp. 320-329.

Civic capital and support for the welfare state

Cerqueti, R, Sabatini, F and Ventura, M (2019). Civic capital and support for the welfare state. Social Choice and Welfare. 53 (2), pp. 313-336.

Public debt management and tax evasion

Argentiero, A and Cerqueti, R (2019). Public debt management and tax evasion. Macroeconomic Dynamics.

A Generalized Error Distribution Copula-based method for portfolios risk assessment

Cerqueti, R., Giacalone, M. and Panarello, D. (2019). A Generalized Error Distribution Copula-based method for portfolios risk assessment. Physica A: Statistical Mechanics and its Applications. 524, pp. 687-695.

An economic efficiency indicator for assessing income opportunities in sustainable waste management

Bartolacci, F., Cerqueti, R., Paolini, A. and Soverchia, M. (2019). An economic efficiency indicator for assessing income opportunities in sustainable waste management. Environmental Impact Assessment Review. 78, pp. 106279-106279.

Macro Asset Allocation with Social Impact Investments

Biasin, M., Cerqueti, R., Giacomini, E., Marinelli, N., Quaranta, A.G. and Riccetti, L. (2019). Macro Asset Allocation with Social Impact Investments. Sustainability. 11 (11), pp. 3140-3140.

Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall

Bernardi, M., Cerqueti, R. and Palestini, A. (2019). Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall. Journal of the Operational Research Society.

Long memory and crude oil’s price predictability

Cerqueti, R. and Fanelli, V. (2019). Long memory and crude oil’s price predictability. Annals of Operations Research. pp. 1-12.

Influence measures in subnetworks using vertex centrality

Cerqueti, R., Clemente, G.P. and Grassi, R. (2019). Influence measures in subnetworks using vertex centrality. Soft Computing.

A joint text mining-rank size investigation of the rhetoric structures of the US Presidents’ speeches

Ficcadenti, V, Cerqueti, R. and Ausloos, M. (2019). A joint text mining-rank size investigation of the rhetoric structures of the US Presidents’ speeches. Expert Systems with Applications. 123, pp. 127-142.

A Generalized Error Distribution-BasedMethod for Conditional Value-at-Risk Evaluation

Cerqueti, R., Giacalone, M. and Panarello, D. (2018). A Generalized Error Distribution-BasedMethod for Conditional Value-at-Risk Evaluation. in: Corazza, M, Durban, M, Grane, A, Perna, C and Sibillo, M (ed.) Mathematical and StatisticalMethods for Actuarial Sciences and Finance, Springer. pp. 209-212

Exploring how innovation strategies at time of crisis influence performance: a cluster analysis perspective

Ausloos, M., Bartolacci, F., Castellano, N.G. and Cerqueti, R. (2018). Exploring how innovation strategies at time of crisis influence performance: a cluster analysis perspective. Technology Analysis & Strategic Management. 30 (4), pp. 484-497.

Stochastic Ising model with flipping sets of spins and fast decreasing temperature

Cerqueti, R. and De Santis, E. (2018). Stochastic Ising model with flipping sets of spins and fast decreasing temperature. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques. 54 (2), pp. 757-789.

Intriguing yet simple skewness: kurtosis relation in economic and demographic data distributions, pointing to preferential attachment processes

Ausloos, M. and Cerqueti, R. (2018). Intriguing yet simple skewness: kurtosis relation in economic and demographic data distributions, pointing to preferential attachment processes. Journal of Applied Statistics. 45 (12), pp. 2202-2218.

Regular paths in financial markets: Investigating the Benford's law

Riccioni, J and Cerqueti, R (2018). Regular paths in financial markets: Investigating the Benford's law. Chaos, Solitons and Fractals. 107, pp. 186-194.

Does the U.S. exercise contagion on Italy? A theoretical model and empirical evidence

Cerqueti, R, Fenga, L and Ventura, M (2018). Does the U.S. exercise contagion on Italy? A theoretical model and empirical evidence. Physica A: Statistical Mechanics and its Applications. 499, pp. 436-442.

Investigating the Configurations in Cross-Shareholding: A Joint Copula-Entropy Approach

Cerqueti, R, Rotundo, G and Ausloos, M (2018). Investigating the Configurations in Cross-Shareholding: A Joint Copula-Entropy Approach. Entropy. 20 (2), pp. 134-134.

Data on the annual aggregated income taxes of the Italian municipalities over the quinquennium 2007–2011

Ausloos, M, Cerqueti, R and Mir, T. A (2018). Data on the annual aggregated income taxes of the Italian municipalities over the quinquennium 2007–2011. Data in Brief. 18, pp. 156-159.

Copulas, uncertainty, and false discovery rate control

Cerqueti, R and Lupi, C (2018). Copulas, uncertainty, and false discovery rate control. International Journal of Approximate Reasoning. 100, pp. 105-114.

SME investment best strategies. Outliers for assessing how to optimize performance

Ausloos, M, Cerqueti, R, Bartolacci, F and Castellano, N. G (2018). SME investment best strategies. Outliers for assessing how to optimize performance. Physica A: Statistical Mechanics and its Applications. 509, pp. 754-765.

A new measure for community structures through indirect social connections

Cerqueti, R, Ferraro, G and Iovanella, A (2018). A new measure for community structures through indirect social connections. Expert Systems with Applications. 114, pp. 196-209.

A network approach to risk theory and portfolio selection

Cerqueti, R. and Lupi, C. (2017). A network approach to risk theory and portfolio selection. in: Corazza, M, Legros, F, Perna, C and Sibillo, M (ed.) Mathematical and Statistical Methods for Actuarial Sciences and Finance Springer Verlag.

A mixed integer linear program to compress transition probability matrices in Markov chain bootstrapping

Cerqueti, R., Falbo, P., Pelizzari, C., Ricca, F. and Scozzari, A. (2017). A mixed integer linear program to compress transition probability matrices in Markov chain bootstrapping. Annals of Operations Research. 248 (1-2), pp. 163-187.

Relevant states and memory in Markov chain bootstrapping and simulation

Cerqueti, R., Falbo, P. and Pelizzari, C. (2017). Relevant states and memory in Markov chain bootstrapping and simulation. European Journal of Operational Research. 256 (1), pp. 163-177.

Long-range properties and data validity for hydrogeological time series: The case of the Paglia river

Ausloos, M., Cerqueti, R. and Lupi, C. (2017). Long-range properties and data validity for hydrogeological time series: The case of the Paglia river. Physica A: Statistical Mechanics and its Applications. 470, pp. 39-50.

Assessing the relationship between toxicity and economic cost of oncological target agents: A systematic review of clinical trials

Tartari, F., Conti, A. and Cerqueti, R. (2017). Assessing the relationship between toxicity and economic cost of oncological target agents: A systematic review of clinical trials. PLoS ONE. 12 (8), pp. e0183639-e0183639.

Data science for assessing possible tax income manipulation: The case of Italy

Ausloos, M., Cerqueti, R. and Mir, T.A. (2017). Data science for assessing possible tax income manipulation: The case of Italy. Chaos, Solitons and Fractals. 104, pp. 238-256.

Corruption, evasion and environmental policy: a game theory approach

Cerqueti, R. and Coppier, R. (2016). Corruption, evasion and environmental policy: a game theory approach. IMA Journal of Management Mathematics. 27 (2), pp. 235-253.

Religion-based urbanization process in Italy: statistical evidence from demographic and economic data

Ausloos, M. and Cerqueti, R. (2016). Religion-based urbanization process in Italy: statistical evidence from demographic and economic data. Quality & Quantity. 50 (4), pp. 1539-1565.

Optimal Investment in Research and Development Under Uncertainty

Cerqueti, R, Marazzina, D and Ventura, M (2016). Optimal Investment in Research and Development Under Uncertainty. Journal of Optimization Theory and Applications. 168 (1), pp. 296-309.

Studies on Regional Wealth Inequalities: The Case of Italy

Ausloos, M and Cerqueti, R (2016). Studies on Regional Wealth Inequalities: The Case of Italy. Acta Physica Polonica A. 129 (5), pp. 959-964.

Regularities and discrepancies of credit default swaps: a data science approach through Benford's law

Ausloos, M., Castellano, R. and Cerqueti, R. (2016). Regularities and discrepancies of credit default swaps: a data science approach through Benford's law. Chaos, Solitons and Fractals. 90, pp. 8-17.

Bayesian estimation and entropy for economic dynamic stochastic models: An exploration of overconsumption

Argentiero, A., Bovi, M. and Cerqueti, R. (2016). Bayesian estimation and entropy for economic dynamic stochastic models: An exploration of overconsumption. Chaos, Solitons and Fractals. 88, pp. 143-157.

Non-exchangeable copulas and multivariate total positivity

Cerqueti, R. and Lupi, C. (2016). Non-exchangeable copulas and multivariate total positivity. Information Sciences. 360, pp. 163-169.

Sustainable management of fossil fuels: A dynamic stochastic optimization approach with jump-diffusion

Castellano, R., Cerqueti, R. and Spinesi, L. (2016). Sustainable management of fossil fuels: A dynamic stochastic optimization approach with jump-diffusion. European Journal of Operational Research. 255 (1), pp. 288-297.

Risk measures on networks and expected utility

Cerqueti, R. and Lupi, C. (2016). Risk measures on networks and expected utility. Reliability Engineering & System Safety. 155, pp. 1-8.

Innovation, imitation and policy inaction

Cerqueti, R., Quaranta, A.G. and Ventura, M. (2016). Innovation, imitation and policy inaction. Technological Forecasting and Social Change. 111, pp. 22-30.

Forecasting macroeconomic fundamentals in economic crises

Bovi, M. and Cerqueti, R. (2016). Forecasting macroeconomic fundamentals in economic crises. Annals of Operations Research. 247 (2), pp. 451-469.

A Universal Rank-Size Law

Ausloos, M. and Cerqueti, R. (2016). A Universal Rank-Size Law. PLoS ONE. 11 (11).

A theory of misperception in a stochastic dominance framework and its application to structured financial products

Castellano, R. and Cerqueti, R. (2016). A theory of misperception in a stochastic dominance framework and its application to structured financial products. IMA Journal of Management Mathematics. 29 (1), pp. 23-37.

A game for exploring political and bureaucratic corruption

Cerqueti, R. and Coppier, R. (2016). A game for exploring political and bureaucratic corruption. IMA Journal of Management Mathematics. 29 (2), pp. 151-173.

Signatures of systems with non-exchangeable lifetimes: some implications in the analysis of financial risk

Cerqueti, R and Spizzichino, F. (2015). Signatures of systems with non-exchangeable lifetimes: some implications in the analysis of financial risk. in: Kitzos, C (ed.) Springer Proceedingsin Mathematics & Statistics Springer.

Approximating Markov Chains for Bootstrapping and Simulation

Cerqueti, R., Falbo, P., Guastaroba, G. and Pelizzari, C. (2015). Approximating Markov Chains for Bootstrapping and Simulation. in: Steland, A (ed.) Stochastic Models, Statistics and Their Applications,Springer Proceedings in Mathematics & Statistics Switzerland Springer Verlag.

The impact of innovation on companies’ performance: an entropy-based analysis of the STAR market segment of the Italian Stock Exchange

Bartolacci, F., Castellano, N.G. and Cerqueti, R. (2015). The impact of innovation on companies’ performance: an entropy-based analysis of the STAR market segment of the Italian Stock Exchange. Technology Analysis & Strategic Management. 27 (1), pp. 102-123.

Patent Valuation under Spatial Point Processes with Delayed and Decreasing Jump Intensity

Cerqueti, R. and Ventura, M. (2015). Patent Valuation under Spatial Point Processes with Delayed and Decreasing Jump Intensity. The B.E. Journal of Theoretical Economics. 15 (2).

Risk and uncertainty in the patent race: a probabilistic model

Cerqueti, R and Ventura, M (2015). Risk and uncertainty in the patent race: a probabilistic model. IMA Journal of Management Mathematics. 26 (1), pp. 39-62.

On the coexistence of innovators and imitators

Cerqueti, R., Tramontana, F. and Ventura, M. (2015). On the coexistence of innovators and imitators. Technological Forecasting and Social Change. 90 (B), pp. 487-496.

A review of aggregation techniques for agent-based models: understanding the presence of long-term memory

Cerqueti, R. and Rotundo, G. (2015). A review of aggregation techniques for agent-based models: understanding the presence of long-term memory. Quality & Quantity. 49 (4), pp. 1693-1717.

Evidence of economic regularities and disparities of Italian regions from aggregated tax income size data

Cerqueti, R. and Ausloos, M. (2015). Evidence of economic regularities and disparities of Italian regions from aggregated tax income size data. Physica A: Statistical Mechanics and its Applications. 421, pp. 187-207.

Corruptibility and tax evasion

Cerqueti, R. and Coppier, R. (2015). Corruptibility and tax evasion. European Journal of Law and Economics. 39 (2), pp. 355-373.

Approximating multivariate Markov chains for bootstrapping through contiguous partitions

Cerqueti, R., Falbo, P., Guastaroba, G. and Pelizzari, C. (2015). Approximating multivariate Markov chains for bootstrapping through contiguous partitions. OR Spectrum. 37 (3), pp. 803-841.

Socio-economical analysis of Italy: The case of hagiotoponym cities

Cerqueti, R. and Ausloos, M. (2015). Socio-economical analysis of Italy: The case of hagiotoponym cities. The Social Science Journal. 52 (4), pp. 561-564.

Cross ranking of cities and regions: population versus income

Cerqueti, R. and Ausloos, M. (2015). Cross ranking of cities and regions: population versus income. Journal of Statistical Mechanics: Theory and Experiment. 2015 (7), pp. P07002-P07002.

A disutility-based drift control for exchange rates

Castellano, R, Cerqueti, R and D'Ecclesia, R. L (2014). A disutility-based drift control for exchange rates. Optimization. 63 (2), pp. 255-269.

A quantitative view on policymakers’ goal, institutions and tax evasion

Bovi, M and Cerqueti, R (2014). A quantitative view on policymakers’ goal, institutions and tax evasion. Quality & Quantity. 48 (3), pp. 1493-1510.

Exhaustion of resources: a marked temporal process framework

Cerqueti, R (2014). Exhaustion of resources: a marked temporal process framework. Stochastic Environmental Research and Risk Assessment. 28 (4), pp. 1023-1033.

Symmetries of systems with spatially bounded domains

Cerqueti, R and Sarnari, F (2014). Symmetries of systems with spatially bounded domains. Journal of Advanced Research in Dynamical and Control Systems. 6 (1), pp. 11-25.

Benford’s law predicted digit distribution of aggregated income taxes: the surprising conformity of Italian cities and regions

Mir, T. A, Ausloos, M and Cerqueti, R (2014). Benford’s law predicted digit distribution of aggregated income taxes: the surprising conformity of Italian cities and regions. The European Physical Journal B. 87 (11).

New results on the convergence of random matrices

Cerqueti, R and Costantini, M (2013). New results on the convergence of random matrices. Statistics. 47 (4), pp. 663-671.

Roots and effects of financial misperception in a stochastic dominance framework

Castellano, R and Cerqueti, R (2013). Roots and effects of financial misperception in a stochastic dominance framework. Quality & Quantity. 47 (6), pp. 3371-3389.

Extension of dependence properties to semi-copulas and applications to the mean–variance model

Cerqueti, R and Spizzichino, F (2013). Extension of dependence properties to semi-copulas and applications to the mean–variance model. Fuzzy Sets and Systems. 220, pp. 99-108.

A Tabu Search heuristic procedure in Markov chain bootstrapping

Cerqueti, R, Falbo, P, Guastaroba, G and Pelizzari, C (2013). A Tabu Search heuristic procedure in Markov chain bootstrapping. European Journal of Operational Research. 227 (2), pp. 367-384.

Economic interactions and social tolerance: A dynamic perspective

Cerqueti, R, Correani, L and Garofalo, G (2013). Economic interactions and social tolerance: A dynamic perspective. Economics Letters. 120 (3), pp. 458-463.

Illegal finance and usurers behaviour

Barone, R, Cerqueti, R and Quaranta, A. G. (2012). Illegal finance and usurers behaviour. European Journal of Law and Economics. 34 (2), pp. 265-277.

The perspective of a bank in granting credits: an optimization model

Cerqueti, R and Quaranta, A. G (2012). The perspective of a bank in granting credits: an optimization model. Optimization Letters. 6 (5), pp. 867-882.

Financing policies via stochastic control: a dynamic programming approach

Cerqueti, R (2012). Financing policies via stochastic control: a dynamic programming approach. Journal of Global Optimization. 53 (3), pp. 539-561.

The role of diversity in persistence aggregation

Cerqueti, R and Rotundo, G (2012). The role of diversity in persistence aggregation. International Journal of Intelligent Systems. 27 (2), pp. 176-187.

Corruption, growth and ethnic fractionalization: a theoretical model

Cerqueti, R, Coppier, R and Piga, G (2012). Corruption, growth and ethnic fractionalization: a theoretical model. Journal of Economics. 106 (2), pp. 153-181.

Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach

Castellano, R and Cerqueti, R (2012). Optimal consumption/investment problem with light stocks: A mixed continuous-discrete time approach. Applied Mathematics and Computation. 218 (12), pp. 6887-6898.

Why is the Tax Evasion so Persistent?

Cerqueti, R and Bovi, M (2011). Why is the Tax Evasion so Persistent? in: Tavidze, A (ed.) Progress in Economics Nova Science Publishers, Inc..

The optimal bid/ask spread in a Specialist System

Castellano, R and Cerqueti, R (2011). The optimal bid/ask spread in a Specialist System. Economic Modelling. 28 (5), pp. 2247-2253.

Economic growth, corruption and tax evasion

Cerqueti, R and Coppier, R (2011). Economic growth, corruption and tax evasion. Economic Modelling. 28 (1-2), pp. 489-500.

Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels

Cerqueti, R and Costantini, M (2011). Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels. Journal of Banking & Finance. 35 (10), pp. 2598-2605.

Memory Property in Heterogeneously Populated Markets

Cerqueti, R and Rotundo, G (2010). Memory Property in Heterogeneously Populated Markets. in: Greco, S, Marques Pereira, RA, Squillante, M, Yager, RR and Kacprzyk, J (ed.) Preferences and Decisions - Studies in Fuzziness and Soft Computing Berlin Springer Verlag. pp. 53-69

Light Stocks and Wealth Allocation

Cerqueti, R and Castellano, R (2010). Light Stocks and Wealth Allocation. in: Kasımbeyli, R, Dinçer, C, Özpeynirci, S and Sakalauskas, L (ed.) 24th mini euro conference on continuous optimization and information based technologies in the financial sector - MEC EUROPT 2010: selected papers Vilnius "Technika".

Some Nonparametric Asymptotic Results for a Class of Stochastic Processes

Cerqueti, R and Costantini, M (2010). Some Nonparametric Asymptotic Results for a Class of Stochastic Processes. Communications in Statistics - Theory and Methods. 39 (14), pp. 2552-2560.

Options with underlying asset driven by a fractional brownian motion: crossing barriers estimates

Rotundo, G and Cerqueti, R (2010). Options with underlying asset driven by a fractional brownian motion: crossing barriers estimates. New Mathematics and Natural Computation. 06 (01), pp. 109-118.

A Dynamic Stochastic Model of Asset Pricing with Heterogeneous Beliefs

Brianzoni, S, Cerqueti, R and Michetti, E (2010). A Dynamic Stochastic Model of Asset Pricing with Heterogeneous Beliefs. Computational Economics. 35 (2), pp. 165-188.

A Characterization of the Dickey-Fuller Distribution With Some Extensions to the Multivariate Case

Cerqueti, R, Costantini, M and Lupi, C (2009). A Characterization of the Dickey-Fuller Distribution With Some Extensions to the Multivariate Case. in: Martinez, WL (ed.) Proceedings of the Joint Statistical Meeting (Business and Economic Statistics Section), 1-6 August 2009, Washington DC, USA American Statistical Association.