Search Results for author: Fabio Tardella

Found 2 papers, 0 papers with code

A return-diversification approach to portfolio selection

no code implementations15 Dec 2023 Francesco Cesarone, Rosella Giacometti, Manuel Luis Martino, Fabio Tardella

In this paper, we propose a general bi-objective model for portfolio selection, aiming to maximize both a diversification measure and the portfolio expected return.

Mean-Variance-VaR portfolios: MIQP formulation and performance analysis

no code implementations18 Nov 2021 Francesco Cesarone, Manuel L Martino, Fabio Tardella

We thus obtain a portfolio selection model characterized by three criteria: expected return, variance, and VaR at a specified confidence level.

Management Portfolio Optimization

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