Used in Cesarone, F., Martino, M.L., Giacometti, R. & Tardella, F. (2024) A Return-Diversification Approach to Portfolio Selection. Working paper - Available online at: https://arxiv.org/abs/2312.09707.
Used in Ararat C., Cesarone, F., Pinar, M.C. & Ricci, J.M. (2024) MAD risk parity portfolios. Annals of Operations Research (336): 899-924. DOI: https://doi.org/10.1007/s10479-023-05797-2.
Used in Cesarone, F., Martino, M.L. & Carleo, A. (2022) Does ESG impact really enhance portfolio profitability?Sustainability 14(4). DOI: https://doi.org/10.3390/su14042050.
50 assets of the Euro Stoxx 50 Market Index from July 2005 to June 2014 (weekly frequency - source: Thomson Reuters Datastream).
32 assets of the Euro Stoxx 50 Market Index from January 2007 to May 2013 (weekly frequency - source: Yahoo Finance).
34 assets of the FTSEMIB Market Index from January 2007 to May 2013 (weekly frequency - source: Yahoo Finance).
63 assets of the FTSE100 Market Index from January 2007 to May 2013 (weekly frequency - source: Yahoo Finance).
Used in Carleo, A., Cesarone, F., Gheno, A. et al. (2017) Approximating Exact Expected Utility via Portfolio Efficient Frontiers. Decisions in Economics and Finance (40): 115-143. DOI: https://doi.org/10.1007/s10203-017-0201-0
Used in Cesarone, F. & Colucci, S. (2017) Minimum risk versus capital and risk diversification strategies for portfolio construction. Journal of the Operational Research Society. DOI: https://doi.org/10.1057/s41274-017-0216-5.
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