Sergio Ortobelli Lozza

1.5k total citations
101 papers, 958 citations indexed

About

Sergio Ortobelli Lozza is a scholar working on Finance, Management Science and Operations Research and Economics and Econometrics. According to data from OpenAlex, Sergio Ortobelli Lozza has authored 101 papers receiving a total of 958 indexed citations (citations by other indexed papers that have themselves been cited), including 85 papers in Finance, 66 papers in Management Science and Operations Research and 37 papers in Economics and Econometrics. Recurrent topics in Sergio Ortobelli Lozza's work include Risk and Portfolio Optimization (54 papers), Financial Markets and Investment Strategies (47 papers) and Stochastic processes and financial applications (42 papers). Sergio Ortobelli Lozza is often cited by papers focused on Risk and Portfolio Optimization (54 papers), Financial Markets and Investment Strategies (47 papers) and Stochastic processes and financial applications (42 papers). Sergio Ortobelli Lozza collaborates with scholars based in Italy, Czechia and United States. Sergio Ortobelli Lozza's co-authors include Stoyan V. Stoyanov, Svetlozar T. Rachev, Almira Biglova, Frank J. Fabozzi, Svetlozar T. Rachev, Tomáš Tichý, Enrico Angelelli, Sasan Barak, Rosella Giacometti and Noureddine Kouaissah and has published in prestigious journals such as European Journal of Operational Research, Journal of Banking & Finance and Information Fusion.

In The Last Decade

Sergio Ortobelli Lozza

91 papers receiving 837 citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Sergio Ortobelli Lozza Italy 15 712 639 377 91 80 101 958
Ganlin Xu United States 11 719 1.0× 429 0.7× 458 1.2× 103 1.1× 118 1.5× 28 920
Alexandre M. Baptista United States 15 771 1.1× 575 0.9× 447 1.2× 102 1.1× 55 0.7× 47 1.0k
Phelim Boyle Canada 12 849 1.2× 211 0.3× 347 0.9× 76 0.8× 305 3.8× 30 1.1k
David Vyncke Belgium 10 488 0.7× 516 0.8× 352 0.9× 33 0.4× 232 2.9× 30 838
Steven Vanduffel Belgium 21 893 1.3× 1.0k 1.6× 559 1.5× 41 0.5× 292 3.6× 147 1.5k
Andreas Tsanakas United Kingdom 15 321 0.5× 595 0.9× 391 1.0× 24 0.3× 247 3.1× 69 832
Thorsten Rheinländer United Kingdom 10 514 0.7× 186 0.3× 281 0.7× 62 0.7× 115 1.4× 28 629
Marco Frittelli Italy 15 1.1k 1.5× 979 1.5× 664 1.8× 47 0.5× 229 2.9× 41 1.4k
Xiangyu Cui China 15 490 0.7× 422 0.7× 240 0.6× 26 0.3× 100 1.3× 55 682
Abel Cadenillas Canada 17 788 1.1× 373 0.6× 500 1.3× 126 1.4× 296 3.7× 38 1.1k

Countries citing papers authored by Sergio Ortobelli Lozza

Since Specialization
Citations

This map shows the geographic impact of Sergio Ortobelli Lozza's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Sergio Ortobelli Lozza with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Sergio Ortobelli Lozza more than expected).

Fields of papers citing papers by Sergio Ortobelli Lozza

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Sergio Ortobelli Lozza. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Sergio Ortobelli Lozza. The network helps show where Sergio Ortobelli Lozza may publish in the future.

Co-authorship network of co-authors of Sergio Ortobelli Lozza

This figure shows the co-authorship network connecting the top 25 collaborators of Sergio Ortobelli Lozza. A scholar is included among the top collaborators of Sergio Ortobelli Lozza based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Sergio Ortobelli Lozza. Sergio Ortobelli Lozza is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Lozza, Sergio Ortobelli, et al.. (2024). Dynamic Return Scenario Generation Approach for Large-Scale Portfolio Optimisation Framework. Computational Economics. 65(2). 819–843. 4 indexed citations
2.
Kouaissah, Noureddine, et al.. (2023). XOR-analytic network process and assessing the impact of COVID-19 by sector. Computers & Industrial Engineering. 177. 109017–109017. 2 indexed citations
3.
Lozza, Sergio Ortobelli, et al.. (2023). Mean–variance vs trend–risk portfolio selection. Review of Managerial Science. 18(7). 2047–2078. 2 indexed citations
4.
Kouaissah, Noureddine & Sergio Ortobelli Lozza. (2020). Multivariate stochastic dominance: A parametric approach. Economics bulletin. 40(2). 1380–1387. 2 indexed citations
5.
Pellerey, Franco & Sergio Ortobelli Lozza. (2017). Applications to Portfolio Theory of Market Stochastic Bounds. Investment Management and Financial Innovations. 4(4). 25–36.
6.
Lozza, Sergio Ortobelli, et al.. (2016). Asymptotic stochastic dominance rules for sums of i.i.d. random variables. Journal of Computational and Applied Mathematics. 300. 432–448. 9 indexed citations
7.
Lozza, Sergio Ortobelli & Tommaso Lando. (2015). Independence tests for financial variables. 67–70. 1 indexed citations
8.
Lozza, Sergio Ortobelli & Tommaso Lando. (2015). Independence Tests based on the Conditional Expectation. WSEAS Transactions on Mathematics archive. 14(32). 335–344. 1 indexed citations
9.
Angelelli, Enrico, et al.. (2013). Volume-Return portfolio selection and large scale dimensional problems with bivariate Markov chains. Institutional Research Information System (Università degli Studi di Brescia). 7(11). 984–992. 3 indexed citations
10.
Lozza, Sergio Ortobelli, et al.. (2013). Portfolio selection with options. Aisberg (University of Bergamo). 16. 89–94. 1 indexed citations
11.
Angelelli, Enrico, et al.. (2013). An asymptotic Markovian approach to the portfolio selection problem. Institutional Research Information System (Università degli Studi di Brescia). 11(7). 936–944. 3 indexed citations
12.
Lozza, Sergio Ortobelli, et al.. (2011). GARCH type portfolio selection models with the Markovian approach. 5(2). 308–315. 2 indexed citations
13.
Rachev, Svetlozar T., Sergio Ortobelli Lozza, Stoyan V. Stoyanov, & Frank J. Fabozzi. (2008). Desirable Properties of an Ideal Risk Measure in Portfolio Theory. SSRN Electronic Journal. 2 indexed citations
14.
Lozza, Sergio Ortobelli, Svetlozar T. Rachev, Haim Shalit, & Frank J. Fabozzi. (2008). Orderings and Risk Probability Functionals in Portfolio Theory. 203–234. 8 indexed citations
15.
Lozza, Sergio Ortobelli, et al.. (2007). Exotic options with Lévy processes: the Markovian approach. Investment Management and Financial Innovations. 8(1). 140–156. 5 indexed citations
16.
Lamantia, Fabio, Sergio Ortobelli Lozza, & Svetlozar T. Rachev. (2006). AN EMPIRICAL COMPARISON AMONG VAR MODELS AND TIME RULES WITH ELLIPTICAL AND STABLE DISTRIBUTED RETURNS. Investment Management and Financial Innovations. 3(3). 8–29. 13 indexed citations
17.
Stoyanov, Stoyan V., Svetlozar T. Rachev, Gennady Samorodnitsky, & Sergio Ortobelli Lozza. (2006). Computing the portfolio Conditional Value-at-Risk in the Alfa-stable case. SSRN Electronic Journal. 1–22. 36 indexed citations
18.
Lamantia, Fabio, Sergio Ortobelli Lozza, & Svetlozar T. Rachev. (2006). VaR, CVaR and Time Rules with Elliptical and Asymmetric Stable Distributed Returns. Investment Management and Financial Innovations. 3(4). 19–39. 8 indexed citations
19.
Lozza, Sergio Ortobelli, Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fabozzi, & Almira Biglova. (2005). The proper use of the risk measures in the Portfolio Theory. International Journal of Theoretical and Applied Finance. 1107–1133. 7 indexed citations
20.
Lozza, Sergio Ortobelli & Svetlozar T. Rachev. (2001). Safety-first analysis and stable paretian approach to portfolio choice theory. Mathematical and Computer Modelling. 34(9-11). 1037–1072. 16 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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