Giorgio Costa

Publication Activity (10 Years)

Years Active: 2020-2023
Publications (10 Years): 4

Top Topics

Portfolio Optimization

Service Delivery

Semidefinite Programming

Investment Decisions

Top Venues

Comput. Oper. Res.

J. Glob. Optim.

Optim. Methods Softw.

Publications

Hassan T. Anis, Giorgio Costa, Roy H. Kwon
Risk-allocation-based index tracking. Comput. Oper. Res. 154 (2023)
Giorgio Costa, Garud N. Iyengar
Distributionally Robust End-to-End Portfolio Construction. CoRR (2022)
Giorgio Costa, Roy H. Kwon
Data-driven distributionally robust risk parity portfolio optimization. Optim. Methods Softw. 37 (5) (2022)
Giorgio Costa, Roy H. Kwon
Generalized risk parity portfolio optimization: an ADMM approach. J. Glob. Optim. 78 (1) (2020)