39 citations · 46 across the 5 of their papers we have counts for
6 papers
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…
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…
Discrete Midpoint Convexity
Satoko Moriguchi, Kazuo Murota, Akihisa Tamura +1
For a function defined on a convex set in a Euclidean space, midpoint convexity is the property requiring that the value of the function at the midpoint of any line segment is not…
Scaling, Proximity, and Optimization of Integrally Convex Functions
Satoko Moriguchi, Kazuo Murota, Akihisa Tamura +1
In discrete convex analysis, the scaling and proximity properties for the class of L-convex functions were established more than a decade ago and have been used to desig…
Largest minimal inversion-complete and pair-complete sets of permutations
Eric Balandraud, Maurice Queyranne, Fabio Tardella
We solve two related extremal problems in the theory of permutations. A set of permutations of the integers 1 to is inversion-complete (resp., pair-complete) if for every i…
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…