Francesco Cesarone

Rome Tre University - Department of Business Studies

Dr

Via Silvio D'Amico 77

Via Silvio D'Amico 77

Rome, TN RM 00145

Italy

http://host.uniroma3.it/docenti/cesarone/papers.htm

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 31,034

SSRN RANKINGS

Top 31,034

in Total Papers Downloads

1,517

SSRN CITATIONS

3

CROSSREF CITATIONS

3

Scholarly Papers (11)

1.

Minimum Risk vs. Capital and Risk Diversification Strategies for Portfolio Construction

Number of pages: 24 Posted: 21 Jan 2015 Last Revised: 12 Feb 2015
Francesco Cesarone and Stefano Colucci
Rome Tre University - Department of Business Studies and Symphonia Sgr
Downloads 462 (63,209)
Citation 3

Abstract:

Loading...

Risk Parity, Diversification, Asset Allocation, Conditional Value-at-Risk, Portfolio Optimization, Smart Beta

2.

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 301 (103,600)
Citation 2

Abstract:

Loading...

Asset Management, Diversification, Cardinality Constraints, Portfolio Optimization

3.

A Quick Tool to Forecast VaR Using Implied and Realized Volatilities

Number of pages: 26 Posted: 14 Jan 2016
Francesco Cesarone and Stefano Colucci
Rome Tre University - Department of Business Studies and Symphonia Sgr
Downloads 279 (112,478)

Abstract:

Loading...

Value-at-Risk Forecast, Backtest, Shrinkage, Empirical Finance, Market Risk, ESMA, UCITS

4.

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 149 (202,530)
Citation 1

Abstract:

Loading...

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

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 82 (309,671)

Abstract:

Loading...

6.

A Linear Risk-Return Model for Enhanced Indexation

Number of pages: 19 Posted: 14 Nov 2013
Renato Bruni, Francesco Cesarone, Andrea Scozzari and Fabio Tardella
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 (314,230)

Abstract:

Loading...

Portfolio Optimization, Linear Programming, Index Tracking, Performance Analysis

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 63 (358,443)

Abstract:

Loading...

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

8.

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 62 (361,398)
Citation 1

Abstract:

Loading...

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

9.

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 38 (445,316)
Citation 1

Abstract:

Loading...

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

10.

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 (669,877)
  • Add to Cart

Abstract:

Loading...

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

11.

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