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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

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

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

Risk Parity with Expectiles

Bellini, Fabio - 2019

A recent popular approach to portfolio selection aims at diversifying risk by looking for the so called Risk Parity portfolios. These are defined by the condition that the risk contributions of all assets to the global risk of the portfolio are equal. The Risk Parity approach has been originally...

Persistent link: https://www.econbiz.de/10012866723

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

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