Andrea Rigamonti

Free University of Bozen-Bolzano

Universitätsplatz 1

Bozen-Bolzano, BZ 39100

Italy

SCHOLARLY PAPERS

4

DOWNLOADS

363

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Asset Allocation Under Predictability and Parameter Uncertainty Using LASSO

Computational Management Science, 2020, 17(2):179-201
Number of pages: 27 Posted: 19 Oct 2018 Last Revised: 31 Aug 2020
Andrea Rigamonti and Alex Weissensteiner
Free University of Bozen-Bolzano and Free University of Bolzano Bozen
Downloads 157 (210,024)

Abstract:

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LASSO, cross-validation, return predictability, parameter uncertainty, portfolio selection

2.

Mean-Variance Optimization Is a Good Choice, but for Other Reasons Than You Might Think

Risks, 2020, 8(1):29
Number of pages: 23 Posted: 17 Oct 2019 Last Revised: 17 Mar 2020
Andrea Rigamonti
Free University of Bozen-Bolzano
Downloads 131 (243,032)
Citation 2

Abstract:

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downside risk, semivariance, skewness, parameter uncertainty, portfolio optimization

3.

Mean-Semivariance Portfolio Optimization Using Minimum Average Partial

Number of pages: 18 Posted: 18 Mar 2020 Last Revised: 09 Jul 2020
Andrea Rigamonti and Katarina Lucivjanska
Free University of Bozen-Bolzano and University of Pavol Jozef Šafárik in Kosice
Downloads 50 (430,643)

Abstract:

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semivariance, principal component analysis, minimum average partial, parameter uncertainty, portfolio optimization

4.

Numerical Solution for the Minimum Semivariance Portfolio Optimization Problem in R: The Semicov Package

Number of pages: 4 Posted: 15 Apr 2020
Andrea Rigamonti
Free University of Bozen-Bolzano
Downloads 25 (547,016)
Citation 1

Abstract:

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semivariance, numerical solution, portfolio optimization