Since hedge fund returns are not normally distributed, mean-variance optimization techniques
are not appropriate and should be replaced by optimization procedures incorporating …

In this work, we consider corporate governance (CG) ties among companies from a multiple
network perspective. Such a structure naturally arises from the close interrelation between …

In the equity context different Smart Beta strategies (such as the equally weighted, global
minimum variance, equal risk contribution and maximum diversified ratio) have been proposed …

In this paper we propose an estimation procedure for the distribution of the ratio between two
independent Dagum random variables. Such an issue is of remarkable importance when …

Modern portfolio theory started with Markowitz (J Financ 7(1):77–91, 1952; Portfolio selection
efficient diversification of investments. Wiley, New York, 1959). Early works developed …

A widespread liberalization process in commodity and energy markets has led over the last
15 years or so to a fruitful and rich methodological spreading of techniques and quantitative …

This book offers essential information on the life and career of the recently deceased
Giorgio P. Szegö, particularly his important contributions in various areas of mathematical …

The book contains a selection of recently revised papers that have initiallybeen presented
at two different meetings of the EURO Working Group on Financial Modelling. The papers …

Giorgio P. Szegö was born on July 10 1934, from a family of Hungarian ancestry. He graduated
in Physics in 1956 and spent the first few years in Germany and in the US before starting …

The Chapter provides a comprehensive summary of Giorgio Szegö’s scientific production in
the three main domains of his activity: Theory of Stability and Global Optimization, …