39 citations · 59 across the 7 of their papers we have counts for
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q-fin.PM2021
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…
q-fin.PM2021★ 15 cited
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…