Andrea Scozzari

University of Rome Niccolo' Cusano

Assistant Professor

Via Don Carlo Gnocchi, 3

Roma, 00166

Italy

SCHOLARLY PAPERS

4

DOWNLOADS

409

CITATIONS

1

Scholarly Papers (4)

1.

Linear vs. Quadratic Portfolio Selection Models in Practice

F. Cesarone, A. Scozzari, F. Tardella, (2014), " Linear vs. quadratic portfolio selection models with hard real-world constraints", Computational Management Science, Vol. 12(3), pag. 345-370 (published version).
Number of pages: 21 Posted: 12 Dec 2013 Last Revised: 10 May 2019
Francesco Cesarone, Andrea Scozzari and Fabio Tardella
Rome Tre University - Department of Business Studies, University of Rome Niccolo' Cusano and Faculty of Economics - Sapienza University of Rome
Downloads 146 (198,578)

Abstract:

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Mixed Integer Linear and Quadratic Programming; Portfolio Performance; Conditional Value-at-Risk; Mean-Variance; Mean Semi-Absolute Deviation

2.

Exact and Heuristic Approaches for the Index Tracking Problem with UCITS Constraints

Number of pages: 18 Posted: 26 May 2012
University of Rome Niccolo' Cusano, Faculty of Economics - Sapienza University of Rome, University of Trento - Department of Economics and Management and affiliation not provided to SSRN
Downloads 131 (216,766)

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Index tracking, mixed integer quadratic programming, stochastic search heuristics, differential evolution, cardinality constraints

3.

A Linear Risk-Return Model for Enhanced Indexation

Number of pages: 19 Posted: 14 Nov 2013
University of Rome I, Rome Tre University - Department of Business Studies, University of Rome Niccolo' Cusano and Faculty of Economics - Sapienza University of Rome
Downloads 80 (303,247)

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Portfolio Optimization, Linear Programming, Index Tracking, Performance Analysis

4.

A Multi-Greedy Approach to Optimal Diversified Portfolio Selection

Number of pages: 13 Posted: 16 Jul 2018
Francesco Cesarone, Andrea Scozzari and Fabio Tardella
Rome Tre University - Department of Business Studies, University of Rome Niccolo' Cusano and Faculty of Economics - Sapienza University of Rome
Downloads 52 (379,356)
Citation 1

Abstract:

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Multi-Greedy Heuristic, Risk Parity, Risk Diversification, Portfolio Optimization, Pseudo-Boolean Optimization