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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

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

Clustering and portfolio selection problems : a unified framework

Puerto, Justo; Rodríguez-Madrena, Moisés; Scozzari, Andrea - In: Computers & operations research : and their … 117 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012175449

Equal Risk Bounding Is Better than Risk Parity for Portfolio Selection

Cesarone, Francesco - 2018

Risk Parity (RP), also called equally weighted risk contribution, is a recent approach to risk diversification for portfolio selection. RP is based on the principle that the fractions of the capital invested in each asset should be chosen so as to make the total risk contributions of all assets...

Persistent link: https://www.econbiz.de/10012938048

Mean-Variance-VaR portfolios : MIQP formulation and performance analysis

Cesarone, Francesco; Martino, Manuel L.; Tardella, Fabio - In: OR spectrum : quantitative approaches in management 45 (2023) 3, pp. 1043-1069

Persistent link: https://www.econbiz.de/10014328733

A quick tool to forecast value-at-risk using implied and realized volatilities

Cesarone, Francesco; Colucci, Stefano - In: The journal of risk model validation 10 (2016) 4, pp. 71-101

Persistent link: https://www.econbiz.de/10011587719

Minimum risk versus capital and risk diversification strategies for portfolio construction

Cesarone, Francesco; Colucci, Stefano - In: Journal of the Operational Research Society 69 (2018) 2, pp. 183-200

Persistent link: https://www.econbiz.de/10012224472