4 papers
Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis
Carlo Drago, Andrea Scozzari
Modeling and forecasting of dynamically varying covariances have received much attention in the literature. The two most widely used conditional covariances and correlations models…
A combinatorial optimization approach to scenario filtering in portfolio selection
Justo Puerto, Federica Ricca, Moisés Rodríguez-Madrena +1
Recent studies stressed the fact that covariance matrices computed from empirical financial time series appear to contain a high amount of noise. This makes the classical Markowitz…
Location and portfolio selection problems: A unified framework
Justo Puerto, Moises Rodríguez-Madrena, Andrea Scozzari
Given a set of assets and an investment capital, the classical portfolio selection problem consists in determining the amount of capital to be invested in each asset in order to bu…
Mathematical Programming formulations for the efficient solution of the -sum approval voting problem
Diego Ponce, Justo Puerto, Federica Ricca +1
In this paper we address the problem of electing a committee among a set of candidates and on the basis of the preferences of a set of voters. We consider the approval voti…