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pro vyhledávání: '"Cesarone, A"'
Autor:
Cesarone, Francesco, Puerto, Justo
In this paper, we discuss portfolio selection strategies for Enhanced Indexation (EI), which are based on stochastic dominance relations. The goal is to select portfolios that stochastically dominate a given benchmark but that, at the same time, must
Externí odkaz:
http://arxiv.org/abs/2401.12669
We focus on a behavioral model, that has been recently proposed in the literature, whose rational can be traced back to the Half-Full/Half-Empty glass metaphor. More precisely, we generalize the Half-Full/Half-Empty approach to the context of positiv
Externí odkaz:
http://arxiv.org/abs/2312.10749
Sustainable Investing identifies the approach of investors whose aim is twofold: on the one hand, they want to achieve the best compromise between portfolio risk and return, but they also want to take into account the sustainability of their investme
Externí odkaz:
http://arxiv.org/abs/2312.10739
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. Within this general framework, we focus on maximizing a diversification measure recen
Externí odkaz:
http://arxiv.org/abs/2312.09707
In this paper, we propose an outlier detection algorithm for multivariate data based on their projections on the directions that maximize the Cumulant Generating Function (CGF). We prove that CGF is a convex function, and we characterize the CGF maxi
Externí odkaz:
http://arxiv.org/abs/2305.10911
Publikováno v:
In Computers and Operations Research October 2024 170
Among professionals and academics alike, it is well known that active portfolio management is unable to provide additional risk-adjusted returns relative to their benchmarks. For this reason, passive wealth management has emerged in recent decades to
Externí odkaz:
http://arxiv.org/abs/2203.13766
Value-at-Risk is one of the most popular risk management tools in the financial industry. Over the past 20 years several attempts to include VaR in the portfolio selection process have been proposed. However, using VaR as a risk measure in portfolio
Externí odkaz:
http://arxiv.org/abs/2111.09773
In this paper, we investigate the features and the performance of the Risk Parity (RP) portfolios using the Mean Absolute Deviation (MAD) as a risk measure. The RP model is a recent strategy for asset allocation that aims at equally sharing the globa
Externí odkaz:
http://arxiv.org/abs/2110.12282
Autor:
Virgilio Cesarone
Publikováno v:
Phainomena, Vol 32, Iss 126-127, Pp 125-135 (2023)
The usual interpretations of gestuality presuppose that a gesture accompanies the expressive action, whereby it itself almost disappears, in order to make way for what the person gesturing wants to show as appertaining to his or her interiority. The
Externí odkaz:
https://doaj.org/article/15632749458047f4a721e854a3ffeff2