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Linear vs quadratic portfolio selection models with hard real-world constraints

Cesarone, Francesco; Scozzari, Andrea; Tardella, Fabio - In: Computational Management Science : CMS 12 (2015) 3, pp. 345-370

Persistent link: https://www.econbiz.de/10011285989

A linear risk-return model for enhanced indexation in portfolio optimization

Bruni, Renato; Cesarone, Francesco; Scozzari, Andrea; … - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 735-759

Persistent link: https://www.econbiz.de/10011296700

On exact and approximate stochastic dominance strategies for portfolio selection

Bruni, Renato; Cesarone, Francesco; Scozzari, Andrea; … - In: European journal of operational research : EJOR 259 (2017) 1, pp. 322-329

Persistent link: https://www.econbiz.de/10011644989

Polynomially computable bounds for the probability of the union of events

Boros, Endre; Scozzari, Andrea; Tardella, Fabio; … - In: Mathematics of operations research 39 (2014) 4, pp. 1311-1329

Persistent link: https://www.econbiz.de/10010462086

Managing ESG ratings disagreement in sustainable portfolio selection

Cesarone, Francesco; Martino, Manuel Luis; Ricca, Federica - In: Computers & operations research : an international journal 170 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10015066287

Linear vs. Quadratic Portfolio Selection Models in Practice

Cesarone, Francesco - 2019

Several risk-return portfolio models take into account practical limitations on the number of assets to include in the portfolio and on their weights. We present here a comparative study, both from the efficiency and from the performance viewpoint, of the Limited Asset Markowitz (LAM), the...

Persistent link: https://www.econbiz.de/10012905102

Mathematical programming formulations for the efficient solution of the k-sum approval voting problem

Ponce, Diego; Puerto, Justo; Ricca, Federica; Scozzari, … - In: Computers & operations research : and their … 98 (2018), pp. 127-136

Persistent link: https://www.econbiz.de/10011886770

Extensive facility location problems on networks : an updated review

Puerto, Justo; Ricca, Federica; Scozzari, Andrea - In: Top : transactions in operations research 26 (2018) 2, pp. 187-226

Persistent link: https://www.econbiz.de/10011889496

Comments on: extensive facility location problems on networks : an updated review

Mesa, Juan A. - In: Top : transactions in operations research 26 (2018) 2, pp. 227-228

Persistent link: https://www.econbiz.de/10011889502

Comments on: extensive facility location problems on networks : an updated review

Saldanha-da-Gama, Francisco - In: Top : transactions in operations research 26 (2018) 2, pp. 229-232

Persistent link: https://www.econbiz.de/10011889504