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Prof. Vittorio MORIGGIA
Department of Economics, University of Bergamo, Bergamo, Lombardy, Italy
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Academic Career Length
21Years (2006-Present)
(Calculated once Scilit publication data is synced: current year − year of first publication + 1)
Representative Publications
View All Publications19 December 2016 in Annals of Operations Research
Journal Article
17 September 2012 in IMA Journal of Management Mathematics
Journal Article
GCGiorgio Consigli
Giorgio ConsigliGIGaetano Iaquinta
Gaetano Iaquinta
VMVittorio MORIGGIA
Vittorio MORIGGIAMTMassimo di Tria
Massimo di Tria
DMDavide Musitelli
Davide Musitelli
Increasing financial pressure on State-controlled pension systems has caused, over the last two decades or so, an unprecedented effort by private pension funds (PFs) and insurance companies to issue new types of retirement vehicles. This article investigates the effects of such widespread phenomenon from the perspective of individual asset–liability management. A multistage stochastic programming problem has been formulated with investment opportunities including PFs, unit-linked contracts and variable life annuities. The introduction of a specific risk measure with respect to a desirable retirement income stream and a planning horizon spanning the entire individuals' working life helps to analyse the implications of observed market dynamics on retirement strategies. We present comparative results focusing on the retirement planning problem for three representative individuals carrying different time horizons but common retirement goals. The results show the benefits over traditional pension accumulation plans of dynamic strategies based on mixed portfolios of retirement products.
1 February 2006 in Annals of Operations Research
Journal Article
MBMarida Bertocchi
Marida BertocchiVMVittorio MORIGGIA
Vittorio MORIGGIAJDJitka Dupačová
Jitka Dupačová8 July 2022 in Central European Journal of Operations Research
Journal Article
MHMohammad Mehdi Hosseinzadeh
Mohammad Mehdi Hosseinzadeh
Sergio Ortobelli LozzaFLFarhad Hosseinzadeh Lotfi
Farhad Hosseinzadeh LotfiVMVittorio MORIGGIA
Vittorio MORIGGIAThis paper uses data envelopment analysis (DEA) approach as a nonparametric efficiency analysis tool to preselect efficient assets in large-scale portfolio problems. Thus, we reduce the dimensionality of portfolio problems, considering multiple asset performance criteria in a linear DEA model. We first introduce several reward/risk criteria that are typically used in portfolio literature to identify features of financial returns. Secondly, we suggest some DEA input/output sets for preselecting efficient assets in a large-scale portfolio framework. Then, we evaluate the impact of the preselected assets in different portfolio optimization strategies. In particular, we propose an ex-post empirical analysis based on two alternative datasets: the components of S &P500 and the Fama and French 100 portfolio formed on size and book to market. According to this empirical analysis we observe better performances of the DEA preselection than the classic PCA factor models for large scale portfolio selection problems. Moreover, the proposed model outperform the S &P500 index and the strategy based on the fully diversified portfolio.
8 May 2019 in Annals of Operations Research
Journal Article
GCGiorgio Consigli
Giorgio ConsigliVMVittorio MORIGGIA
Vittorio MORIGGIASVSebastiano Vitali
Sebastiano Vitali1 September 2021 in Energy Economics
Journal Article
RDRuth Dominguez
Ruth DominguezSVSebastiano Vitali
Sebastiano Vitali
MCMiguel Carrión
Miguel Carrión
VMVittorio MORIGGIA
Vittorio MORIGGIAAbout Me
Associate professor in Mathematical Methods for Economy, Finance and Actuarial Sciences (Italian academic discipline: STAT-4/A, formerly SECS-S/06) at the Department of Economics at University of Bergamo, with habilitation for full professorship.
Prof. Moriggia is currently teaching on:
Coding for Data Science (in English) at the Dept. of Economics.
MATLAB for Decision Maker (in English) at the Dept. of Management.
Management Information System (in Italian) at the Dept. of Management.
Big Data Management (in English) at the Dept. of Economics.
Coding for Finance (in English) interdepartmental course between Dept. of Economics and Dept. of Management.
Computer Science (in Italian) at the Dept. of Engineering.
Their fields of research mainly cover:
Stochastic Optimization and Stochastic Dominance in Energy.
Pension Fund Management.
Property and Casualty Management.
Personal Asset Liability Management.
Dynamic stochastic programming in portfolio management, sensitivity analysis, contamination technique and scenario reduction.
Scenario generation for stochastic programming in Finance.
Option Implied trees.
Logical Analysis of Data (LAD) in credit risk.
Prof. Moriggia is member of:
Association for Mathematics Applied to Social and Economic Sciences (AMASES), since 1996.
Italian Association of Operations Research (AIRO), since 1998.
European Mathematical Society, since 2023.