39 citations · 59 across the 7 of their papers we have counts for
3 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…
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…