Fabio Tardella

Faculty of Economics - Sapienza University of Rome

Via del Castro Laurenziano, 9

Roma, Rome 00161

Italy

SCHOLARLY PAPERS

10

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SSRN CITATIONS

1

CROSSREF CITATIONS

1

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 306 (103,808)
Citation 2

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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 152 (202,824)
Citation 1

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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 136 (222,004)

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

4.

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 89 (299,378)

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5.

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 (319,515)

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Portfolio Optimization, Linear Programming, Index Tracking, Performance Analysis

6.

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 77 (326,691)

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

7.

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 69 (350,255)
Citation 1

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

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 45 (424,604)

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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 (681,074)
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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

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