no code implementations • 15 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.
no code implementations • 18 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.