Francesco Cesarone

Publications and reports
• 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 .
• D. Bufalo, M. Bufalo, F. Cesarone, G. Orlando (2022), "Straightening skewed markets with an index tracking optimizationless portfolio", Available at SSRN: https://ssrn.com/abstract=4066692 .
• F. Cesarone, M.L. Martino, A. Carleo (2022), "Does ESG Impact Really Enhance Portfolio Profitability?", Sustainability, vol. 14(4), DOI: 10.3390/su14042050 .
• F. Cesarone, M.L. Martino, F. Tardella (2021), "Mean-Variance-VaR portfolios MIQP formulation and performance analysis", arXiv preprint arXiv:2111.09773, submitted to OR Spectrum.
• C. Ararat, F. Cesarone, M.C. Pinar, J.M. Ricci (2021), "MAD Risk Parity Portfolios", arXiv preprint arXiv:2110.12282, submitted to Annals of Operations Research.
• R. Cerqueti, F. Cesarone, V. Ficcadenti (2021), "Portfolio decision analysis for pandemic mood and financial markets", submitted to Computational Management Science.
• 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 (2019), "An optimization-diversification approach to portfolio selection", Journal of Global Optimization, pag. 1-21, 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.
• 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.
• Quantitative Finance Workshop 2018

• A. Carleo, F. Cesarone, A. Gheno, J.M. Ricci (2017), "Approximating Exact Expected Utility via Portfolio Efficient Frontiers", Decisions in Economics and Finance, Vol. 40(1-2), pag. 115-143, DOI: 10.1007/s10203-017-0201-0. Supplemental.
• 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.
• 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, http://dx.doi.org/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, 1-22, DOI:10.1007/s10479-012-1165-7.
• F. Cesarone, A. Scozzari, F. Tardella (2011), "Portfolio selection problems in practice: a comparison between linear and quadratic optimization models", In: http://econpapers.repec.org/paper/arxpapers/1105.3594.htm.
• 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.