Fabio Tardella

Faculty of Economics - Sapienza University of Rome

Via del Castro Laurenziano, 9

Roma, Rome 00161

Italy

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 48,470

SSRN RANKINGS

Top 48,470

in Total Papers Downloads

823

CITATIONS

3

Scholarly Papers (10)

1.

Does Greater Diversification Really Improve Performance in Portfolio Selection?

Number of pages: 15 Posted: 30 Jul 2014
Francesco Cesarone, Jacopo Moretti and Fabio Tardella
Rome Tre University - Department of Business Studies, Faculty of Economis - Sapienza University of Rome and Faculty of Economics - Sapienza University of Rome
Downloads 292 (103,176)
Citation 2

Abstract:

Loading...

Asset Management, Diversification, Cardinality Constraints, Portfolio Optimization

2.

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 (198,686)

Abstract:

Loading...

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

3.

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 (216,903)

Abstract:

Loading...

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

4.

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 (303,462)

Abstract:

Loading...

Portfolio Optimization, Linear Programming, Index Tracking, Performance Analysis

5.

Why Small Portfolios Are Preferable and How to Choose Them

Journal of Financial Perspectives, Vol. 5, No. 1, 2018
Number of pages: 14 Posted: 17 Apr 2018
Francesco Cesarone, Jacopo Moretti and Fabio Tardella
Rome Tre University - Department of Business Studies, University of Rome I - Department of Methods and Models for Economics, Territory and Finance (MEMOTEF) and Faculty of Economics - Sapienza University of Rome
Downloads 70 (327,519)

Abstract:

Loading...

6.

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 (379,609)
Citation 1

Abstract:

Loading...

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

7.

Risk Parity with Expectiles

Number of pages: 29 Posted: 15 Jul 2019
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Rome Tre University - Department of Business Studies, Department of Statistics and Quantitative Methods University of Milano-Bicocca and Faculty of Economics - Sapienza University of Rome
Downloads 33 (450,993)

Abstract:

Loading...

Risk Allocation, Expectiles, Risk Parity, Portfolio Selection, Risk Diversification

8.

On the Stability of Portfolio Selection Models

Number of pages: 27 Posted: 17 Jul 2019
Rome Tre University - Department of Business Studies, University of Rome III, University of Rome III and Faculty of Economics - Sapienza University of Rome
Downloads 18 (530,762)
Citation 1

Abstract:

Loading...

risk parity, estimation errors, portfolio optimization, stability measures, gain-risk ratio

9.

An Alternative Approach for the Operational Risk Assessment of a New Product

Journal of Operational Risk, Forthcoming
Number of pages: 27 Posted: 06 Mar 2019
Cassa Depositi e Prestiti S.p.A., Cassa Depositi e Prestiti S.p.A., Rome Tre University - Department of Business Studies and Faculty of Economics - Sapienza University of Rome
Downloads 1 (648,637)
  • Add to Cart

Abstract:

Loading...

analytic hierarchy process, new product, operational risk assessment, 80/20 rule, mathematical programming

10.

Equal Risk Bounding Is Better than Risk Parity for Portfolio Selection

Journal of Global Optimization, DOI: 10.1007/s10898-016-0477-6.
Posted: 23 Mar 2014 Last Revised: 27 Mar 2018
Francesco Cesarone and Fabio Tardella
Rome Tre University - Department of Business Studies and Faculty of Economics - Sapienza University of Rome

Abstract:

Loading...

Portfolio optimization, Risk diversification, Risk Parity, Non-convex quadratically constrained optimization, Nonlinear 0–1 optimization