C. Ararat, F. Cesarone, M.C. Pinar, J.M. Ricci (2024), “MAD Risk Parity Portfolios", Annals of Operations Research, DOI: 10.1007/s10479-023-05797-2.
F. Cesarone, J. Puerto (2023), “New approximate stochastic dominance approaches for Enhanced Indexation Models", Available at arXiv: https://arxiv.org/abs/2401.12669.
F. Cesarone, R. Giacometti, M.L. Martino, F. Tardella (2023), “A return-diversification approach to portfolio selection", submitted to European Journal of Operational Research, Available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4665877.
F. Cesarone, M.L. Martino, F. Ricca, A. Scozzari (2023), “Managing ESG Ratings Disagreement in Sustainable Portfolio Selection", submitted to Computers and Operations Research, Available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4667120.
D. Bufalo, M. Bufalo, F. Cesarone, A. Di Paolo, G. Orlando (2023), “A benchmark-asset principal component factorization for index tracking on skewed markets", submitted to Quantitative Finance, Available at SSRN: https://ssrn.com/abstract=4066692.
F. Cesarone, L. Lampariello, D. Merolla, J.M. Ricci, S. Sagratella, V.G. Sasso (2023), “A bilevel approach to ESG multi-portfolio selection", Computational Management Science, Vol. 20(24), DOI: 10.1007/s10287-023-00458-y.
F. Cesarone, M.L. Martino, F. Tardella (2023), “Mean-Variance-VaR portfolios: MIQP formulation and performance analysis", OR Spectrum, DOI: 10.1007/s00291-023-00719-x.
R. Cerqueti, F. Cesarone, V. Ficcadenti (2023), “Portfolio decision analysis for pandemic mood and financial markets", submitted to Annals of Operations Research.
F. Cesarone, J. Puerto, M. Rodríguez-Madrena (2022), “New approximate stochastic dominance approaches for Enhanced Indexation models", submitted to Operations Research.
R. Cerqueti, F. Cesarone, M.C. Heusch, C.D. Mottura (2022), “A new family of modified Gaussian copulas for market consistent valuation of government guarantees", Review of Managerial Science, DOI: 10.1007/s11846-022-00600-1.
F. Cesarone, R. Cesetti, G. Orlando, M.L. Martino, J.M. Ricci (2022), “Comparing SSD-Efficient Portfolios with a Skewed Reference Distribution", Mathematics, Vol. 11(1), DOI: 10.3390/math11010050.
F. Cesarone, M.L. Martino, A. Carleo (2022), “Does ESG Impact Really Enhance Portfolio Profitability?", Sustainability, Vol. 14(4), DOI: 10.3390/su14042050.
F. Bellini, F. Cesarone, C. Colombo, F. Tardella (2021), “Risk Parity with Expectiles", European Journal of Operational Research, Vol. 291(3), p. 1149-1163, DOI: 10.1016/j.ejor.2020.10.009.
F. Cesarone, F. Mango, C. D. Mottura, J. M. Ricci, F. Tardella (2020), “On the stability of portfolio selection models", Journal of Empirical Finance, Vol. 59, p. 210-234, DOI: 10.1016/j.jempfin.2020.10.003.
F. Cesarone (2020), “Computational Finance. MATLAB oriented modeling", Routledge-Giappichelli Studies in Business and Management, ISBN 978-0-367-49303-5.
F. Cesarone, F. Mango, G. Sabato (2020), “Z-score vs minimum variance preselection methods for constructing small portfolios", Investment Management and Financial Innovations, Vol. 17, p. 64-76, DOI: 10.21511/imfi.17(1).2020.06.
F. Cesarone, A. Scozzari, F. Tardella (2020), “An optimization-diversification approach to portfolio selection", Journal of Global Optimization, 76, p. 246-265, DOI: 10.1007/s10898-019-00809-7.
A. Giacchero, J. Moretti, F. Cesarone, F. Tardella (2019), “An alternative approach for the operational risk assessment of a new product", Journal of Operational Risk, Vol. 14(1), pag. 1-27, DOI: 10.21314/JOP.2019.221.
F. Cesarone, L. Lampariello, S. Sagratella (2018), “A risk-gain dominance maximization approach to enhanced index tracking", Finance Research Letters, DOI: 10.1016/j.frl.2018.08.001.
F. Cesarone, A. Scozzari, F. Tardella (2018), “A Multi-Greedy Approach to Optimal Diversified Portfolio Selection", Available at SSRN: https://ssrn.com/abstract=3203540.
F. Cesarone, J. Moretti, F. Tardella (2018), “Why small portfolios are preferable and how to choose them", The Journal of Financial Perspectives, Vol. 5(1), pag. 103-116, ISSN 2049-8640.
F. Cesarone, S. Colucci (2018), “Minimum Risk vs. Capital and Risk Diversification strategies for portfolio construction", Journal of the Operational Research Society, Vol. 69(2), pag. 183-200, DOI: 10.1057/s41274-017-0216-5.
XIX Quantitative Finance Workshop
Rome 24-26 January 2018, organized and hosted by Roma Tre University - Department of Business Studies
A. Carleo, F. Cesarone, A. Gheno, J.M. Ricci (2017), “Approximating Exact Expected Utility via Portfolio Efficient Frontiers", Decisions in
F. Cesarone and F. Tardella (2017), “Equal Risk Bounding is better than Risk Parity for portfolio selection", Journal of Global Optimization, Vol. 68(2), pag. 439-461, DOI: 10.1007/s10898-016-0477-6.
R. Bruni, F. Cesarone, A. Scozzari, F. Tardella (2017), “On Exact and Approximate Stochastic Dominance Strategies for Portfolio Selection", European Journal of Operational Research, Vol. 259(1), pag. 322-329, DOI: 10.1016/j.ejor.2016.10.006.
F. Cesarone, S. Colucci (2016), “A Quick Tool to Forecast VaR Using Implied and Realized Volatilities", The Journal of Risk Model Validation, Vol. 10(4), pag. 71-101, DOI: 10.21314/JRMV.2016.163.
F. Cesarone, J. Moretti, F. Tardella (2016), “Optimally chosen small portfolios are better than large ones", Economics Bulletin, Vol. 36(4), pag. 1876-1891, ISSN 1545-2921.
R. Bruni, F. Cesarone, A. Scozzari, F. Tardella, (2016), “Real-world datasets for portfolio selection and solutions of some stochastic dominance portfolio models", Data in Brief, Vol. 8, pag. 858-862, DOI: 10.1016/j.dib.2016.06.031.
F. Cesarone, S. Colucci (2015), “Minimum Risk vs. Capital and Risk Diversification strategies for portfolio construction", Available at SSRN: http://ssrn.com/abstract=2552455, submitted to Journal of the Operational Research Society. Supplemental.
R. Bruni, F. Cesarone, A. Scozzari, F. Tardella, (2015), “A Linear Risk-Return Model for Enhanced Indexation in Portfolio Optimization", OR Spectrum, Vol. 37(3), pag. 735-759, DOI: 10.1007/s00291-014-0383-6.
F. Cesarone, J. Moretti, F. Tardella, (2014), “Does Greater Diversification Really Improve Performance in Portfolio Selection?", Available at SSRN: http://ssrn.com/abstract=2473630.
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, DOI: 10.1007/s10287-014-0210-1.
F. Cesarone and F. Tardella (2014), “Equal risk bounding is better than risk parity for portfolio selection", Advanced Risk & Portfolio Management Research Paper Series 4, Available at SSRN: http://ssrn.com/abstract=2412559, preliminary results.
R. Bruni, F. Cesarone, A. Scozzari, F. Tardella (2013), “No arbitrage and a linear portfolio selection model", Economics Bulletin, Vol. 33(2), pag. 1247-1258, ISSN 1545-2921.
F. Cesarone, A. Gheno, F. Tardella, (2013), “Learning and Holding Periods for Portfolio Selection: a Sensitivity Analysis", Applied Mathematical Sciences, Vol. 7(100), pag. 4981-4999, DOI: 10.12988/ams.2013.37428, ISSN 1312-885X.
R. Bruni, F. Cesarone, A. Scozzari, F. Tardella (2012), “A new stochastic dominance approach to enhanced index tracking problems", Economics Bulletin, Vol. 32(4), pag. 3460-3470, ISSN 1545-2921.
R. Bruni, F. Cesarone, A. Scozzari, F. Tardella (2012), “A New LP Model for Enhanced Indexation", Working papers of Department of Economics - University of Roma Tre - online, ISSN 2279-6916.
F. Cesarone, A. Scozzari, F. Tardella (2012), “A new method for Mean-Variance portfolio optimization with cardinality constraints", Annals of Operations Research, Vol. 205, pag. 213-234, DOI: 10.1007/s10479-012-1165-7.
F. Cesarone, A. Scozzari, F. Tardella, “Efficient Algorithms For Mean-Variance Portfolio Optimization With Hard Real-World Constraints", Giornale dell'Istituto Italiano degli Attuari, 72 (2009), 37-56.
M. Baldi, G. Dalu, G. Maracchi, M. Pasqui, F. Cesarone, “Heat waves in the Mediterranean: a local feature or a larger-scale effect?", Int. J. Climatol., 26 (2006) 1477-1487.
F. Cesarone, M. Caputo, C. Cametti, “Memory formalism in the passive diffusion across a biological membrane", Journal of Membrane Science, 250 (2005) 79-84.
M. Baldi, F. Cesarone, G. A. Dalu, F. Cannata, “Mitigation and Recover of Semi-arid and Arid Provinces in China", Acta Hort. (ISHS), 705 (2005), 47-54.