Pierpaolo Uberti - Research

Principal Publications

[23] D'Aversa, M., Mainini A., Moretto, E., Stefani, S., Uberti, P.: Minimizing the impact of Geographical Basis Risk on Weather Derivatives, to appear in Annals of Operations Research

[22] Uberti, P.: A Theoretical Generalization of the Markowitz Model Incorporating Skewness and Kurtosis, Quantitative Finance (2023), 23:5, 877-886

[21] Torrente, M.L., Uberti P.: Geometric Diversification in Portfolio Theory, Quality & Quantity (2023), 1-21

[20] Fassino, C., Torrente, M.L., Uberti P.: A singular value decomposition based approach to handle ill-conditioning in optimization problems with applications to portfolio theory, Chaos, Solitons & Fractals (2022), 165(1), https://doi.org/10.1016/j.chaos.2022.112746

[19] Torrente, ML., Uberti, P. A rescaling technique to improve numerical stability of portfolio optimization problems. Soft Computing (2022). https://doi.org/10.1007/s00500-021-06543-1

[18] Alemanni B., Maggi M. and Uberti P. (2021): Unleveraged Portfolios and Pure Allocation Return, Journal of Risk and Financial Management 14(11): 550. https://doi.org/10.3390/jrfm14110550

[17] Ballante, E., Figini, S., Uberti, P. A new approach in model selection for ordinal target variables. Computational Statistics (2021), https://doi.org/10.1007/s00180-021-01112-4

[16] Ballante, E., Galvani, M., Uberti, P. et al. Polarized Classification Tree Models: Theory and Computational Aspects. Journal of Classification (2021). https://doi.org/10.1007/s00357-021-09383-8

[15] Torrente, ML., Uberti, P. Connectedness versus diversification: two sides of the same coin. Mathematics and Financial Economics (2021). https://doi.org/10.1007/s11579-021-00291-4

[14] Maggi, M., Torrente, ML. & Uberti, P. Proper measures of connectedness. Annals of Finance 16, 547–571 (2020). https://doi.org/10.1007/s10436-020-00363-3

[13] Figini S., Uberti P. and Torrente M. L. (2019): Model of models: a new perspective to deal with model uncertainty, Far East Journal of Theoretical Statistics, Vol 57, pp 147-170.

[12] Maggi M. and Uberti P. (2019): Google search volumes for portfolio management: performances and asset concentration, Annals of Operations Research, https://doi.org/10.1007/s10479-019-03424-7 .

[11] S. Figini and Uberti P. (2019): Uncertainty interval to assess performances of credit risk models, Advances and Applications in Statistics, Vol. 57, pp 121-133.

[10] Alemanni B. and Uberti P. (2019): What Are Investors Afraid of? Finding the Big Bad Wolf, International Journal of Financial Studies, 7, 42; doi:10.3390/ijfs7030042.

[9] Maggi, M. and Uberti, P. (2019): A Note on Statistical Arbitrage and Long Term market Eﬃciency, Journal of Modern Economy, 2:8.

[8] Figini S., Maggi M. and Uberti, P. (2018): The market rank indicator to detect financial distress, Econometrics and Statistics, https://doi.org/10.1016/j.ecosta.2017.12.001

[7] Lucarelli C., Uberti P., Brighetti G. and Maggi M. (2015): Risky choices and emotion-based learning, Journal of Economic Psychology, vol. 49, pp 59-73.

[6] Lucarelli C., Uberti P. and Brighetti G. (2014): Missclassifications in financial risk tolerance, Journal of Risk Research, pp. 1-16.

[5] Figini S. and Uberti P. (2013): Concentration measures in risk management, Journal of the Operational Research Society, vol. 64, pp. 718-723.

[4] Figini S. and Uberti, P. (2010): How to measure single-name credit risk concentrations, European Journal of Operational Research, vol. 202 (1), 232-238.

[3] Figini S. and Uberti P. (2010): Model assessment for predictive classification models, Communication in Statistics Theory and Methods, vol. 39(18), pp. 3238-3244.

[2] Figini S., Uberti P. and Giudici P. (2009): A threshold based approach to merge data in financial risk management, Journal of Applied Statistics, vol. 37(11), pp. 1815-1824.

[1] Figini, S. Giudici, P. Uberti, P. and Sanyal, A. (2007): A Statistical Method to Optimize the Combination of Internal and External Data in operational Risk Measurement, Journal of Operational Risk, Vol. 2, Num. 4.

Other publications

[11] Fassino, C., Uberti, P. (2023): How the choice of one parameter impacts the numerical stability of the efficient frontier ,in “Statistical methods for evaluation and quality: techniques, technologies and trends (T3)”. Book of Short Papers IES 2023, Editors: Bucci A., Cartone A., Evangelista A., Marletta A. , ISBN 9791280333698

[10] Fassino, C., Uberti, P. (2023): On the numerical stability of the efficient frontier, in "proceedings of The Statistics and Data Science Conference" Editors: Cerchiello P., Agosto A., Osmetti S., Spelta A. , ISBN 9788869521706

[9] Lucarelli, C., Maggi, M. and Uberti, P. (2021): Risk seeking or risk averse? Phenomenology and perception, in Financial Education and Risk Literacy.

[8] Fassino C., Torrente M. L. and Uberti P. (2020): Numerical Stability of Optimal Mean Variance Portfolios, accepted for the publication on the Springer Volume of the virtual conference Mathematical and Statistical Methods for Actuarial Sciences and Finance, eMAF 2020.

[7] Maggi, M. and Uberti, P. (2019): Portfolio Leverage in Asset Allocation Problems, in Advances in Optimization and Decision Science for Society, Services and Enterprises, Springer.

[6] Maggi, M. and Uberti P. (2018): Google searches for portfolio management: a risk and return analysis, Proceeding of the Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer.

[5] Alemanni B. and Uberti P. (2016): Risk Aversion and Loss Aversion. Two Sides of the Same Coin? XXI Rapporto sul Sistema Finanziario Italiano, Fondazione Rosselli.

[4] Uberti P., Lucarelli C., Brighetti G. (2013): Somatic portfolio theory: when emotions lead to economic efficiency, available at SSRN: https://ssrn.com/abstract=2263137 or http://dx.doi.org/10.2139/ssrn.2263137

[3] Figini S., Uberti P. and Giudici, P. (2007) How to measure the credit risk, Journal of the Italian Society of Financial Risk Management, Vol. 3, N. 4.

[2] Maggi M. and Uberti P. (2007): A General Optimization Method for Noncontinuous Functions, quaderno del dipartimento di economia politica e metodi quantitativi, Facoltà di Economia, Università degli studi di Pavia.

[1] De Giuli M.E., Tarantola C. and Uberti P. (2007): Optimal Clustering in Bayesian Capital Asset Pricing Model, quaderno del dipartimento di economia politica e metodi quantitativi, Facoltà di Economia, Università degli studi di Pavia.

Technical reports (under review)

[1] Torrente M.L and Uberti P. (2021): On a Class of Portfolio Diversification Measures Induced by Risk Measures

[2] Pastorino C. and Uberti P. (2022): An Empirical Comparison of Correlation-Based Systemic Risk Measures

[3] Bellini F., Torrente M.L., Uberti P. (2023): Diversity and Diversification

[4] Uberti P. (2022): On the Twin Prime Conjecture

[5] Uberti P. (2023): N Moments Optimal Portfolio

[7] Santucci De Magistris P., Uberti P., Violante F. (2023): On the boundaries of the total connectedness index

[8] Fassino C., Uberti P. (2023): The $\delta$-stable part of the efficient frontier

[9] Fassino C., Uberti P. (2023): Condition Number Decomposition

[10] Maggi M., Uberti P. (2023): Effective diversification through pseudo-principal portfolios

[11] Fassino C., Grassi R., Uberti P. (2023): Risk parity as the fixed point of a contraction

Conferences

[31] Bellini F., Torrente M.L. and Uberti P., Diversity and Diversification, Quantitative Finance Workshop, Gaeta (2023).

[30] Fassino C., Uberti P., On the numerical stability of the efficient frontier, Statistics for data science and artificial intelligence, Pavia (2023).

[29] Torrente M.L. and Uberti P., Risk Adjusted Geometric Diversified Portfolios, 46th Annual Meeting of the AMASES, Palermo (2022).

[28] Bellini F., Torrente M.L. and Uberti P., Diversity and Diversification, 46th Annual Meeting of the AMASES, Palermo (2022).

[27] Maggi M., Qyrana M., Torrente M.L. and Uberti P., Market connectedness and systemic risk, ECSO-CMS 2022 European Conference on Stochastic Optimization Computational Management Science, Venice (2022).

[26] Fassino C., Torrente M.L and Uberti P., Using SVD to handle ill-conditioning in optimization
problems with applications to portfolio theory, ECSO-CMS 2022 European Conference on Stochastic Optimization Computational Management Science, Venice (2022).

[25] Torrente M.L. and Uberti P., Geometric diversification in portfolio theory, Quantitative Finance Workshop 2022, Roma (2022).

[24] Qyrana M., Uberti P. and Figini S., Proper measures of connectedness for systemic risk detection: An application on real financial data, 14 th international conference computational and financial econometrics (CFE 2020), virtual conference

[23] Fassino C., Torrente M. L. and Uberti P., Numerical Stability of Optimal Mean Variance Portfolios, eMAF2020 electronic conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2020.

[22] Maggi M., Torrente M. L. and Uberti P., Measures of connectedness and systemic risk, 43rd Annual Meeting of the AMASES, 2019.

[21] Galvani M., Ballante E., Figini S., Uberti P., A New Polarization Measure for Decision Tree Models, XLIX Annual Meeting of AIRO, Italian Operations research society (ODS 2019), 2019.

[20] Torrente M.L. and Uberti P., Superiority Conditions for the 1/N Investment Strategy: A Theoretical Approach, XLIX Annual Meeting of AIRO, Italian Operations research society (ODS 2019), 2019.

[19] Maggi M. and Uberti P., Portfolio Leverage in asset allocation problems, XLIX Annual Meeting of AIRO, Italian Operations research society (ODS 2019), 2019.

[18] Maggi M. and Uberti P., Efficient portfolios and leverage analysis, 30^th European conference on operational research (EURO 2019), Dublin, 2019.

[17] Maggi M., Torrente M. L.and Uberti P., A new measure of multicollinearity and an application to financial systemic risk, 30^th European conference on operational research (EURO 2019), Dublin, 2019.

[16] Maggi M., Lucarelli C. and Uberti P., Risk Seeking or Risk Aversion? Phenomenology and Perception, 2nd Workshop on Behavioral Financial Regulation and Policy (BeFaiRly), Roma (Bank of Italy), 2018.

[15] Maggi, M., Ravera M., Torrente M. L. and Uberti P., The Out-of-Sample Performance of Equally Weighted Portfolios: Theoretical Results, 42nd Annual Meeting of the AMASES, 2018.

[14] Maggi, M. and Uberti, P. Can Google search data contribute to portfolio management? 42nd Annual Meeting of the AMASES, 2018.

[13] Torrente M. L. and Uberti P., On the Numerical Stability of Asset Allocation Models, 29^th European conference on operational research (EURO 2018), 2018.

[12] Figini S., Maggi M. and Uberti P., New indicators in systemic risks analytics: Theory and applications, oral presentation at 11^th International Conference on Computational and Financial Econometrics (CFE 2017), 2017.

[11] Lucarelli C., Maggi M. and Uberti P., Risk Seeking or Risk aversion? Phenomenology and Perception. Invited submission for the28th European Conference on Operational Research, session Financial and Commodities Modelling, Poznan (Poland), 2016.

[10] Maggi M., Lucarelli C. and Uberti P. (2014): Risk measurements in decision making with emotional arousal, 8th International Conference on Computational and Financial Econometrics, 2014.

[9] Brighetti G., Lucarelli C. and Uberti P. (2014): Somatic portfolio theory: when emotions lead to economic efficiency, World Finance Conference WFC, Venezia 2014.

[8] Brighetti G., Lucarelli C. and Uberti P. (2014): Somatic portfolio theory: when emotions lead to economic efficiency, EFMA conference, Roma, 25-28 June 2014.

[7] Resta M., Rebesco I. and Uberti P. (2012): Evaluating equity curves via concentration indexes, Fifth International Conference MAF, Venezia, 10-11-12 April 2012.

[6] Uberti P. (2010): Higher Moments Asset Allocation, XXXIV AMASES conference, Macerata.

[5] Figini, S., Giudici, P. and Uberti P. (2010): Concentration measures for risk analysis, CLADAG 2010 Firenze.

[4] De Giuli, M. E., Tarantola, C. e Uberti, P (2007). Optimal Clustering in Bayesian Capital Asset Pricing Model, “22nd European Conference on Operational Research (Euro XXIII)”, Prague.

[3] Maggi M. and Uberti P. (2006): A Simple Numerical Method for Unconstrained Optimization without Using Derivatives, XXX AMASES conference, Trieste.

[2] De Giuli M.E., Tarantola C. and Uberti P. (2006): A Bayesian Analysis of CAPM Based on Product Partition Models, XXX AMASES, Trieste.

[1] De Giuli M.E., Uberti P. and Vaiani S. (2005): How to Use a Forecasting Model in Ferson-Siegel Approach, XXIX AMASES conference, Palermo.