Sergio Ortobelli Lozza
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3 publications
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Exotic options with Lévy processes: the Markovian approach
Investment Management and Financial Innovations Volume 8, 2011 Issue #1 (cont.)
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A conservative discontinuous target volatility strategy
Simone Cirelli , Sebastiano Vitali , Sergio Ortobelli Lozza , Vittorio Moriggia doi: http://dx.doi.org/10.21511/imfi.14(2-1).2017.03Investment Management and Financial Innovations Volume 14, 2017 Issue #2 (cont. 1) pp. 176-190
Views: 1578 Downloads: 648 TO CITE АНОТАЦІЯThe asset management sector is constantly looking for a reliable investment strategy, which is able to keep its promises. One of the most used approaches is the target volatility strategy that combines a risky asset with a risk-free trying to maintain the portfolio volatility constant over time. Several analyses highlight that such target is fulfilled on average, but in periods of crisis, the portfolio still suffers market’s turmoils. In this paper, the authors introduce an innovative target volatility strategy: the discontinuous target volatility. Such approach turns out to be more conservative in high volatility periods. Moreover, the authors compare the adoption of the VIX Index as a risk measure instead of the classical standard deviation and show whether the former is better than the latter. In the last section, the authors also extend the analysis to remove the risk-free assumption and to include the correlation structure between two risky assets. Empirical results on a wide time span show the capability of the new proposed strategy to enhance the portfolio performance in terms of standard measures and according to stochastic dominance theory.
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Price and market risk reduction for bond portfolio selection in BRICS markets
Sergio Ortobelli Lozza , Filomena Petronio , Sebastiano Vitali doi: http://dx.doi.org/10.21511/imfi.15(1).2018.11Investment Management and Financial Innovations Volume 15, 2018 Issue #1 pp. 120-131
Views: 1421 Downloads: 191 TO CITE АНОТАЦІЯThis paper focuses on classical portfolio strategies applied to five countries, which are Brazil, Russia, India, China and South Africa. These five countries form the so-called BRICS group. In particular, the authors investigate their corporate and sovereign bond market and evaluate whether these markets can represent a profitable investment for non-satiable and risk-averse investors. Two-step optimization is proposed to control price risk and market risk. For price risk management, classical immunization strategies and are obtained funds of bond are obtained that share the same risk measure. For market risk control, the previously found funds are used and a performance measure optimization commonly used in stock markets is applied to define the best portfolio of funds. Therefore, the resulting optimal portfolio controls the price risk and jointly maximizes a desired performance measure that includes the market risk. Finally, the authors propose an empirical analysis to evaluate the profitability of the suggested two-step optimization for the five BRICS countries and compare the ex-post sample paths of the obtained portfolios for testing the stochastic dominance relations.
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