Francesco Cesarone

Datasets for portfolio selection problems
 

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).
 

Datasets used in:

  • Cesarone, F., Martino, M.L. & Tardella, F. (2023) Mean-Variance-VaR portfolios: MIQP formulation and performance analysis. OR Spectrum (45): 1043-1069. DOI: https://doi.org/10.1007/s00291-023-00719-x.
  • 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.
 

Datasets used in:

  • Cesarone, F. & Tardella, F. (2017) Equal Risk Bounding is better than Risk Parity for portfolio selection. Journal of Global Optimization (68): 439–461. DOI: https://doi.org/10.1007/s10898-016-0477-6
  • Cesarone, F., Scozzari, A. & Tardella, F. (2015) Linear vs. quadratic portfolio selection models with hard real-world constraints. Computational Management Science (12): 345–370. DOI: https://doi.org/10.1007/s10287-014-0210-1
  • Cesarone, F., Scozzari, A. & Tardella, F. (2013) A new method for Mean-Variance portfolio optimization with cardinality constraints. Annals of Operations Research (205): 213–234. DOI: https://doi.org/10.1007/s10479-012-1165-7