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Prof. FRANCESCO CESARONE

Qualifica	Professore Ordinario
Settore Scientifico Disciplinare	STAT-04/A
Cellulare aziendale	81885
Email	francesco.cesarone@uniroma3.it
Indirizzo	Via Silvio D'Amico 77
Struttura/Afferenza	Dipartimento di Economia Aziendale
Altre informazioni	Sito web personale Curriculum

Contributo in Rivista

• MAD risk parity portfolios, CESARONE, FRANCESCO; RICCI, JACOPO MARIA, , 2024Link identifier #identifier_person_25891-1 Dettaglio
• Managing ESG ratings disagreement in sustainable portfolio selection, CESARONE, FRANCESCO; MARTINO, MANUEL LUIS; RICCA, FEDERICA, , 2024Link identifier #identifier_person_33057-2 Dettaglio
• Portfolio decision analysis for pandemic sentiment assessment based on finance and web queries, CESARONE, FRANCESCO, , 2024Link identifier #identifier_person_178825-3 Dettaglio
• A bilevel approach to ESG multi‑portfolio selection, CESARONE, FRANCESCO; LAMPARIELLO, LORENZO; RICCI, JACOPO MARIA; SAGRATELLA, SIMONE, , 2023Link identifier #identifier_person_25455-4 Dettaglio
• Mean‑Variance‑VaR portfolios: MIQP formulation and performance analysis, CESARONE, FRANCESCO; MARTINO, MANUEL LUIS, , 2023Link identifier #identifier_person_30112-5 Dettaglio
• A new family of modified Gaussian copulas for market consistent valuation of government guarantees, CESARONE, FRANCESCO; HEUSCH, MARIA CRISTINA; MOTTURA, CARLO DOMENICO, , 2022Link identifier #identifier_person_177091-6 Dettaglio
• Comparing SSD-Efficient Portfolios with a Skewed Reference Distribution, CESARONE, FRANCESCO; CESETTI, RAFFAELLO; MARTINO, MANUEL LUIS; RICCI, JACOPO MARIA, , 2022Link identifier #identifier_person_174697-7 Dettaglio
• Does ESG Impact Really Enhance Portfolio Profitability?, CESARONE, FRANCESCO; MARTINO, MANUEL LUIS; CARLEO, ALESSANDRA, , 2022Link identifier #identifier_person_26655-8 Dettaglio
• Risk Parity with Expectiles, CESARONE, FRANCESCO, , 2021Link identifier #identifier_person_79217-9 Dettaglio
• On the stability of portfolio selection models, CESARONE, FRANCESCO; MOTTURA, CARLO DOMENICO; RICCI, JACOPO MARIA, , 2020Link identifier #identifier_person_170398-10 Dettaglio
• Z-score vs minimum variance preselection methods for constructing small portfolios, CESARONE, FRANCESCO, , 2020Link identifier #identifier_person_18610-11 Dettaglio
• A risk-gain dominance maximization approach to enhanced index tracking, CESARONE, FRANCESCO; LAMPARIELLO, LORENZO, , 2019Link identifier #identifier_person_169966-12 Dettaglio
• An alternative approach for the operational risk assessment of a new product, MORETTI, JACOPO; CESARONE, FRANCESCO, , 2019Link identifier #identifier_person_62596-13 Dettaglio
• An optimization-diversification approach to portfolio selection, CESARONE, FRANCESCO, , 2019Link identifier #identifier_person_71692-14 Dettaglio
• Minimum risk versus capital and risk diversification strategies for portfolio construction, CESARONE, FRANCESCO; COLUCCI, STEFANO, , 2018Link identifier #identifier_person_189444-15 Dettaglio
• Why small portfolios are preferable and how to choose them, CESARONE, FRANCESCO; MORETTI, JACOPO, , 2018Link identifier #identifier_person_157497-16 Dettaglio
• Approximating exact expected utility via portfolio efficient frontiers, CARLEO, ALESSANDRA; CESARONE, FRANCESCO; GHENO, ANDREA; RICCI, JACOPO MARIA, , 2017Link identifier #identifier_person_18033-17 Dettaglio
• Equal Risk Bounding is better than Risk Parity for portfolio selection, CESARONE, FRANCESCO, , 2017Link identifier #identifier_person_39725-18 Dettaglio
• On Exact and Approximate Stochastic Dominance Strategies for Portfolio Selection, CESARONE, FRANCESCO, , 2017Link identifier #identifier_person_33316-19 Dettaglio
• A Quick Tool to Forecast VaR Using Implied and Realized Volatilities, CESARONE, FRANCESCO; COLUCCI, STEFANO, , 2016Link identifier #identifier_person_28255-20 Dettaglio
• Optimally chosen small portfolios are better than large ones, CESARONE, FRANCESCO, , 2016Link identifier #identifier_person_54370-21 Dettaglio
• Real-world datasets for portfolio selection and solutions of some stochastic dominance portfolio models, CESARONE, FRANCESCO, , 2016Link identifier #identifier_person_109820-22 Dettaglio
• A Linear Risk-Return Model for Enhanced Indexation in Portfolio Optimization, CESARONE, FRANCESCO, , 2015Link identifier #identifier_person_160452-23 Dettaglio
• Linear vs. quadratic portfolio selection models with hard real-world constraints, CESARONE, FRANCESCO, , 2015Link identifier #identifier_person_47693-24 Dettaglio
• A new method for mean-variance portfolio optimization with cardinality constraints, CESARONE, FRANCESCO, , 2013Link identifier #identifier_person_87934-25 Dettaglio
• Learning and holding periods for portfolio selection models: a sensitivity analysis, CESARONE, FRANCESCO; GHENO, ANDREA, , 2013Link identifier #identifier_person_148970-26 Dettaglio
• No arbitrage and a linear portfolio selection model, CESARONE, FRANCESCO, , 2013Link identifier #identifier_person_57558-27 Dettaglio
• A New LP Model for Enhanced Indexation, CESARONE, FRANCESCO, , 2012Link identifier #identifier_person_19472-28 Dettaglio
• A new stochastic dominance approach to enhanced index tracking problems, CESARONE, FRANCESCO, , 2012Link identifier #identifier_person_33919-29 Dettaglio
• Efficient Algorithms For Mean-Variance Portfolio Optimization With Hard Real-World Constraints, CESARONE, FRANCESCO, , 2009Link identifier #identifier_person_138342-30 Dettaglio
• Heat waves in the Mediterranean:a local feature or a larger-scale effect?, CESARONE, FRANCESCO, , 2006Link identifier #identifier_person_88963-31 Dettaglio
• Mitigation and Recover of Semi-arid andArid Provinces in China, CESARONE, FRANCESCO, , 2006Link identifier #identifier_person_26635-32 Dettaglio
• Memory formalism in the passive diffusion across highly heterogeneous systems, CESARONE, FRANCESCO, , 2005Link identifier #identifier_person_197573-33 Dettaglio

Libro

• CESARONE, FRANCESCO, Computational Finance. MATLAB oriented modeling, pp. 1 238, 2020 Link identifier #identifier_person_38654-34Dettaglio

Contributo in volume e atti di convegno

• CESARONE, FRANCESCO; DI PAOLO, ALESSIO, A benchmark-asset principal component factorization for index tracking on skewed markets, 2023 Link identifier #identifier_person_686-35Dettaglio
• CESARONE, FRANCESCO; RICCI, JACOPO MARIA; SAGRATELLA, SIMONE, A bilevel approach to ESG multi-portfolio selection, 2023 Link identifier #identifier_person_82768-36Dettaglio
• CESARONE, FRANCESCO; CORRADINI, MASSIMILIANO; RICCIONI, JESSICA, A new behavioral model for portfolio selection using the Half-Full/Half-Empty approach, 2023 Link identifier #identifier_person_54999-37Dettaglio
• CESARONE, FRANCESCO; CORRADINI, MASSIMILIANO; RICCIONI, JESSICA, A new behavioral model for portfolio selection using the Half‐Full/Half‐Empty approach, 2023 Link identifier #identifier_person_111559-38Dettaglio
• CESARONE, FRANCESCO; MARTINO, MANUEL LUIS; RICCA, FEDERICA, Managing ESG Ratings Disagreement in Sustainable Portfolio Selection, 2023 Link identifier #identifier_person_78371-39Dettaglio
• CESARONE, FRANCESCO; MARTINO, MANUEL LUIS, Mean‐Variance‐VaR portfolios: MIQP formulation and performance analysis, 2023 Link identifier #identifier_person_71193-40Dettaglio
• CESARONE, FRANCESCO, New approximate stochastic dominance approaches for Enhanced Indexation models, 2023 Link identifier #identifier_person_12346-41Dettaglio
• CESARONE, FRANCESCO, New approximate stochastic dominance approaches for Enhanced Indexation models, 2023 Link identifier #identifier_person_22285-42Dettaglio
• CESARONE, FRANCESCO; GIACOMETTI, ROSELLA; RICCI, JACOPO MARIA, Non‐parametric cumulants approach for outlier detection of multivariate financial data, 2023 Link identifier #identifier_person_94209-43Dettaglio
• CESARONE, FRANCESCO; ACCATTOLI, ANDREA; LUCIANI, FRANCESCA, The impact of cryptocurrencies in an equity investment universe for portfolio selection, 2023 Link identifier #identifier_person_36646-44Dettaglio
• CESARONE, FRANCESCO; MARTINO, MANUEL LUIS; CARLEO, ALESSANDRA, Does ESG Impact Really Enhance Portfolio Profitability?, 2022 Link identifier #identifier_person_121782-45Dettaglio
• CESARONE, FRANCESCO; GIACOMETTI, ROSELLA, Maximum risk diversification for portfolio selection, 2022 Link identifier #identifier_person_24141-46Dettaglio
• CESARONE, FRANCESCO; RICCI, JACOPO MARIA, Non-parametric cumulants approach for outlier detection of multivariate financial data, 2022 Link identifier #identifier_person_192972-47Dettaglio
• CESARONE, FRANCESCO, Maximum risk diversification for portfolio selection, pp. 268 268, 2021 Link identifier #identifier_person_64813-48Dettaglio
• CESARONE, FRANCESCO; GIACOMETTI, ROSELLA, Maximum risk diversification for portfolio selection, 2021 Link identifier #identifier_person_41976-49Dettaglio
• CESARONE, FRANCESCO; PINAR, MUSTAFA CELEBI; RICCI, JACOPO MARIA, Equal Risk Contribution Portfolios using MAD, 2020 Link identifier #identifier_person_49970-50Dettaglio
• CARLEO, ALESSANDRA; CENCI, MARISA; CESARONE, FRANCESCO; CONGEDO, MARIA ALESSANDRA; CORRADINI, MASSIMILIANO; GHENO, ANDREA; LAMPARIELLO, LORENZO; MOTTURA, CARLO DOMENICO, LE GARANZIE STATALI COME STRUMENTO DI INTERVENTO PUBBLICO A SOSTEGNO DELL’ECONOMIA: ELEMENTI DI VALUTAZIONE FINANZIARIA, 2020 Link identifier #identifier_person_171171-51Dettaglio
• CESARONE, FRANCESCO; PINAR, MUSTAFA CELEBI; RICCI, JACOPO MARIA, Equal Risk Contribution Portfolios using MAD, 2019 Link identifier #identifier_person_87715-52Dettaglio
• CESARONE, FRANCESCO, Risk Parity with Expectiles, pp. 1 13, 2019 Link identifier #identifier_person_181537-53Dettaglio
• CESARONE, FRANCESCO, Risk Parity with Expectiles, 2019 Link identifier #identifier_person_189215-54Dettaglio
• CESARONE, FRANCESCO, Risk Parity with Expectiles, pp. 327 327, 2019 Link identifier #identifier_person_111252-55Dettaglio
• CESARONE, FRANCESCO, Z-score vs Markowitz preselection for constructing small portfolios, 2019 Link identifier #identifier_person_192317-56Dettaglio
• CESARONE, FRANCESCO, A dominance maximization approach to portfolio selection, pp. 54 55, 2018 Link identifier #identifier_person_198427-57Dettaglio
• CESARONE, FRANCESCO; COLUCCI, STEFANO, Equal Risk Contribution portfolios for CVaR and CVaR-deviation risk measures, pp. 46 46, 2018 Link identifier #identifier_person_162217-58Dettaglio
• CESARONE, FRANCESCO; MOTTURA, CARLO DOMENICO; RICCI, JACOPO MARIA, On the stability of portfolio selection models, pp. 39 39, 2018 Link identifier #identifier_person_133352-59Dettaglio
• CESARONE, FRANCESCO; MOTTURA, CARLO DOMENICO; RICCI, JACOPO MARIA, On the stability of portfolio selection models, pp. 222 222, 2018 Link identifier #identifier_person_66237-60Dettaglio
• MORETTI, JACOPO; CESARONE, FRANCESCO, Operational risk assessment of a new product using AHP, pp. 24 24, 2018 Link identifier #identifier_person_170809-61Dettaglio
• CESARONE, FRANCESCO, Diversification+Optimization=Portfolio Selection, pp. 4 5, 2017 Link identifier #identifier_person_153728-62Dettaglio
• CESARONE, FRANCESCO, Diversified Optimal Portfolios: a new approach to portfolio selection, 2017 Link identifier #identifier_person_136260-63Dettaglio
• CESARONE, FRANCESCO, Joining Diversification and Optimization for Asset Allocation, pp. 37 38, 2017 Link identifier #identifier_person_65238-64Dettaglio
• CESARONE, FRANCESCO; COLUCCI, STEFANO, A Quick Tool to forecast VaR, pp. 1 26, 2016 Link identifier #identifier_person_54182-65Dettaglio
• COLUCCI, STEFANO; CESARONE, FRANCESCO, A Quick Tool to forecast VaR using Implied and Realized Volatilities, pp. 12 12, 2016 Link identifier #identifier_person_118602-66Dettaglio
• CESARONE, FRANCESCO, Exact and Approximate Stochastic Dominance for Portfolio Selection, 2016 Link identifier #identifier_person_174845-67Dettaglio
• CESARONE, FRANCESCO, Improving the Risk Parity Approach to Portfolio Selection, pp. 1 11, 2016 Link identifier #identifier_person_85218-68Dettaglio
• CESARONE, FRANCESCO, On Exact and Approximate Stochastic Dominance Strategies for Portfolio Selection, pp. 2 2, 2016 Link identifier #identifier_person_20214-69Dettaglio
• CESARONE, FRANCESCO, Does Greater Diversification Really Improve Performance in Portfolio Selection?, 2015 Link identifier #identifier_person_199929-70Dettaglio
• CESARONE, FRANCESCO, Joining risk diversification and utility maximization for portfolio selection, pp. 210 211, 2015 Link identifier #identifier_person_90405-71Dettaglio
• CESARONE, FRANCESCO, Minimum Risk vs. Capital and Risk Diversification strategies for portfolio construction, 2015 Link identifier #identifier_person_55038-72Dettaglio
• CESARONE, FRANCESCO, MINLP models for portfolio selection, 2015 Link identifier #identifier_person_21242-73Dettaglio
• CESARONE, FRANCESCO, PseudoBoolean models for portfolio selection, pp. 30 30, 2015 Link identifier #identifier_person_19249-74Dettaglio
• CESARONE, FRANCESCO, Risk Bounding is better then Risk Parity for portfolio selection, 2014 Link identifier #identifier_person_87760-75Dettaglio
• CESARONE, FRANCESCO, A Practically Realizable Strong Stochastic Dominance Model for Enhanced Indexation, 2013 Link identifier #identifier_person_156410-76Dettaglio
• CESARONE, FRANCESCO, Risk disparity is better than risk parity for portfolio selection, pp. 316 316, 2013 Link identifier #identifier_person_55682-77Dettaglio
• CESARONE, FRANCESCO, A Linear Programming Model for Enhanced Indexationbased on Strong Stochastic Dominance, 2012 Link identifier #identifier_person_104446-78Dettaglio
• CESARONE, FRANCESCO, A Linear Risk-Return Model for Enhanced Indexation, 2012 Link identifier #identifier_person_90471-79Dettaglio
• CESARONE, FRANCESCO, A Risk-Return Approach to Enhanced Indexation, 2012 Link identifier #identifier_person_188425-80Dettaglio
• CESARONE, FRANCESCO, A new portfolio selection approach: Models andAlgorithms, 2010 Link identifier #identifier_person_103586-81Dettaglio
• CESARONE, FRANCESCO, Portfolio selection problems in practice: a comparisonbetween linear and quadratic optimization models, 2010 Link identifier #identifier_person_111736-82Dettaglio
• CESARONE, FRANCESCO, A Clique Algorithm for Cardinality ConstrainedPortfolio Optimization, 2008 Link identifier #identifier_person_35955-83Dettaglio
• CESARONE, FRANCESCO, Efficient Algorithms For Mean-Variance Portfolio Optimization With Hard Real-World Constraints, 2008 Link identifier #identifier_person_52009-84Dettaglio
• CESARONE, FRANCESCO, Climate extreme and variability relatedto forestry land-cover and agriculture land-use changes, 2005 Link identifier #identifier_person_167481-85Dettaglio
• CESARONE, FRANCESCO, Geopotential oscillations and Rainfall Cycle in the Mediterranean Region, 2005 Link identifier #identifier_person_10334-86Dettaglio
• CESARONE, FRANCESCO, Heat waves in the MediterraneanRegion: Analysis and model results, pp. 2203 2214, 2005 Link identifier #identifier_person_79745-87Dettaglio
• CESARONE, FRANCESCO, Mediterranean Jetstream and Mediterranean Summer Anomalies, 2005 Link identifier #identifier_person_170760-88Dettaglio
• CESARONE, FRANCESCO, Mediterranean Jetstream and Mediterranean Winter Anomalies, 2005 Link identifier #identifier_person_21550-89Dettaglio
• CESARONE, FRANCESCO, Role of the MonsoonsVariability on the Summer Drought events in the Mediterranean Basin, 2005 Link identifier #identifier_person_37990-90Dettaglio
• CESARONE, FRANCESCO, African Monsoon and the climate of the Mediterranean, 2004 Link identifier #identifier_person_1224-91Dettaglio
• CESARONE, FRANCESCO, August 2003 Heat-wave in Western Europe: an analysis and perspective, 2004 Link identifier #identifier_person_31556-92Dettaglio
• CESARONE, FRANCESCO, Heat-wave events in the Mediterranean: a recurrent feature or a global warming effect?, 2004 Link identifier #identifier_person_22614-93Dettaglio
• CESARONE, FRANCESCO, Links of the seasonal precipitation in Europe and Northern Africa to the global sea surface temperatures in gridded observational datasets and in model integrations, 2004 Link identifier #identifier_person_111151-94Dettaglio
• CESARONE, FRANCESCO, Mediterranean winter and fall climate: trends and mechanisms, 2004 Link identifier #identifier_person_116624-95Dettaglio
• CESARONE, FRANCESCO, Rainfall variability overthe Mediterranean Region and its linkage with large scale features, 2004 Link identifier #identifier_person_166492-96Dettaglio