Andrea Fontanari

Delft University of Technology - Delft Institute of Applied Mathematics (DIAM)

Mekelweg 4

Delft, Holland 2628

Netherlands

SCHOLARLY PAPERS

4

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in Total Papers Downloads

1,409

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

From Concentration Profiles to Concentration Maps. New Tools for the Study of Loss Distributions.

Number of pages: 34 Posted: 13 Oct 2016 Last Revised: 01 Dec 2017
Andrea Fontanari, Pasquale Cirillo and Cornelis W. Oosterlee
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), ZHAW School of Management and Law and Center for Mathematics and Computer Science (CWI)
Downloads 489 (71,597)
Citation 2

Abstract:

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concentration profile, concentration map, Gini index, Lorenz curve, CAES, ES, VaR

2.

Portfolio Risk and the Quantum Majorization of Correlation Matrices

Number of pages: 22 Posted: 12 Jan 2019 Last Revised: 10 Feb 2020
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), affiliation not provided to SSRN, ZHAW School of Management and Law and Center for Mathematics and Computer Science (CWI)
Downloads 456 (77,955)
Citation 1

Abstract:

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quantum majorization, portfolio risk, risk measures, order

3.

Gini Estimation Under Infinite Variance

Number of pages: 22 Posted: 21 Jul 2017 Last Revised: 22 Dec 2017
Andrea Fontanari, Nassim Nicholas Taleb and Pasquale Cirillo
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), New York University (NYU) - NYU Tandon School of Engineering and ZHAW School of Management and Law
Downloads 276 (136,598)
Citation 2

Abstract:

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Gini index; inequality measure; size distribution; extremes; α-stable distribution

4.

Lorenz-Generated Bivariate Archimedean Copulas

Number of pages: 22 Posted: 07 Jun 2019 Last Revised: 26 Jun 2020
Andrea Fontanari, Pasquale Cirillo and Cornelis W. Oosterlee
Delft University of Technology - Delft Institute of Applied Mathematics (DIAM), ZHAW School of Management and Law and Center for Mathematics and Computer Science (CWI)
Downloads 188 (197,256)

Abstract:

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Copula, Lorenz Curve, Lorenz Copula, Kendall's tau, Generator