39 citations · 41 across the 6 of their papers we have counts for
4 papers · 1 filter
Managing ESG Ratings Disagreement in Sustainable Portfolio Selection
Francesco Cesarone, Manuel Luis Martino, Federica Ricca +1
Sustainable Investing identifies the approach of investors whose aim is twofold: on the one hand, they want to achieve the best compromise between portfolio risk and return, but th…
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…
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…
Portfolio selection problems in practice: a comparison between linear and quadratic optimization models
Francesco Cesarone, Andrea Scozzari, Fabio Tardella
Several portfolio selection models take into account practical limitations on the number of assets to include and on their weights in the portfolio. We present here a study of the…