1 citations · 1 across the 5 of their papers we have counts for
5 papers
Market-Implied Sustainability: Insights from Funds' Portfolio Holdings
Rosella Giacometti, Gabriele Torri, Marco Bonomelli +1
In this work we propose a framework to construct Market-Implied Sustainability (MIS) scores for individual firms by exploiting fund-level sustainability classifications and granula…
Modeling portfolio loss distribution under infectious defaults and immunization
Gabriele Torri, Rosella Giacometti, Gianluca Farina
We introduce a model for the loss distribution of a credit portfolio considering a contagion mechanism for the default of names which is the result of two independent components: a…
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…
An Axiomatic Risk-Reward Framework for Sustainable Investing
Gabriele Torri, Rosella Giacometti, Darinka Dentcheva +2
Continued interest in sustainable investing calls for an axiomatic approach to measures of risk and reward that focus not only on financial returns, but also on measures of environ…
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…