Francesco Cesarone

Publication Activity (10 Years)

Years Active: 2013-2024
Publications (10 Years): 14

Top Topics

Portfolio Management

Stochastic Dominance

Cluster Ensemble

Top Venues

J. Glob. Optim.

Comput. Manag. Sci.

Eur. J. Oper. Res.

Publications

Francesco Cesarone, Manuel Luis Martino, Federica Ricca, Andrea Scozzari
Managing ESG ratings disagreement in sustainable portfolio selection. Comput. Oper. Res. 170 (2024)
Çagin Ararat, Francesco Cesarone, Mustafa Çelebi Pinar, Jacopo M. Ricci
MAD risk parity portfolios. Ann. Oper. Res. 336 (1-2) (2024)
Francesco Cesarone, Manuel L. Martino, Fabio Tardella
Mean-Variance-VaR portfolios: MIQP formulation and performance analysis. OR Spectr. 45 (3) (2023)
Francesco Cesarone, Lorenzo Lampariello, Davide Merolla, Jacopo M. Ricci, Simone Sagratella, Valerio Giuseppe Sasso
A bilevel approach to ESG multi-portfolio selection. Comput. Manag. Sci. 20 (1) (2023)
Francesco Cesarone, Pierdomenico Pepe
Sample-and-hold solution of a consensus problem with nonlinear dynamics and input/output disturbances. Eur. J. Control 59 (2021)
Fabio Bellini, Francesco Cesarone, Christian Colombo, Fabio Tardella
Risk parity with expectiles. Eur. J. Oper. Res. 291 (3) (2021)
Francesco Cesarone, Andrea Scozzari, Fabio Tardella
An optimization-diversification approach to portfolio selection. J. Glob. Optim. 76 (2) (2020)
Francesco Cesarone, Pierdomenico Pepe
Robustification of sample-and-hold controllers for the consensus problem. ECC (2019)
Francesco Cesarone, Stefano Colucci
Minimum risk versus capital and risk diversification strategies for portfolio construction. J. Oper. Res. Soc. 69 (2) (2018)
Francesco Cesarone, Pierdomenico Pepe, Nicola Guglielmi
Solution by sampled-data control of a consensus problem: an approach by stabilization in the sample-and-hold sense. ACC (2018)
Renato Bruni, Francesco Cesarone, Andrea Scozzari, Fabio Tardella
On exact and approximate stochastic dominance strategies for portfolio selection. Eur. J. Oper. Res. 259 (1) (2017)
Francesco Cesarone, Fabio Tardella
Equal Risk Bounding is better than Risk Parity for portfolio selection. J. Glob. Optim. 68 (2) (2017)
Renato Bruni, Francesco Cesarone, Andrea Scozzari, Fabio Tardella
A linear risk-return model for enhanced indexation in portfolio optimization. OR Spectr. 37 (3) (2015)
Francesco Cesarone, Andrea Scozzari, Fabio Tardella
Linear vs. quadratic portfolio selection models with hard real-world constraints. Comput. Manag. Sci. 12 (3) (2015)
Francesco Cesarone, Andrea Scozzari, Fabio Tardella
A new method for mean-variance portfolio optimization with cardinality constraints. Ann. Oper. Res. 205 (1) (2013)