39 citations · 59 across the 7 of their papers we have counts for
8 papers
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…
A return-diversification approach to portfolio selection
Francesco Cesarone, Rosella Giacometti, Manuel Luis Martino +1
In this paper, we propose a general bi-objective model for portfolio selection, aiming to maximize both a diversification measure and the portfolio expected return. Within this gen…
Non-parametric cumulants approach for outlier detection of multivariate financial data
Francesco Cesarone, Rosella Giacometti, Jacopo Maria Ricci
In this paper, we propose an outlier detection algorithm for multivariate data based on their projections on the directions that maximize the Cumulant Generating Function (CGF). We…
Straightening skewed markets with an index tracking optimizationless portfolio
Daniele Bufalo, Michele Bufalo, Francesco Cesarone +1
Among professionals and academics alike, it is well known that active portfolio management is unable to provide additional risk-adjusted returns relative to their benchmarks. For t…
Mean-Variance-VaR portfolios: MIQP formulation and performance analysis
Francesco Cesarone, Manuel L Martino, Fabio Tardella
Value-at-Risk is one of the most popular risk management tools in the financial industry. Over the past 20 years several attempts to include VaR in the portfolio selection process…
MAD Risk Parity Portfolios
Çağın Ararat, Francesco Cesarone, Mustafa Çelebi Pınar +1
In this paper, we investigate the features and the performance of the Risk Parity (RP) portfolios using the Mean Absolute Deviation (MAD) as a risk measure. The RP model is a recen…
A dominance maximization approach to portfolio selection
Francesco Cesarone, Lorenzo Lampariello, Simone Sagratella
In the portfolio multiobjective optimization framework, we propose to compare and choose, among all feasible asset portfolios of a given market, the one that maximizes the product…
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…