15 citations · 15 across the 2 of their papers we have counts for
2 papers
q-fin.CP2023
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…
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…