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Prof. FRANCESCO CESARONE

Qualifica	Professore Associato
Settore Scientifico Disciplinare	SECS-S/06
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_106646-1 Dettaglio
• Portfolio decision analysis for pandemic sentiment assessment based on finance and web queries, CESARONE, FRANCESCO, , 2024Link identifier #identifier_person_42268-2 Dettaglio
• A bilevel approach to ESG multi‑portfolio selection, CESARONE, FRANCESCO; LAMPARIELLO, LORENZO; RICCI, JACOPO MARIA; SAGRATELLA, SIMONE, , 2023Link identifier #identifier_person_167760-3 Dettaglio
• Mean‑Variance‑VaR portfolios: MIQP formulation and performance analysis, CESARONE, FRANCESCO; MARTINO, MANUEL LUIS, , 2023Link identifier #identifier_person_152292-4 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_29295-5 Dettaglio
• Comparing SSD-Efficient Portfolios with a Skewed Reference Distribution, CESARONE, FRANCESCO; CESETTI, RAFFAELLO; MARTINO, MANUEL LUIS; RICCI, JACOPO MARIA, , 2022Link identifier #identifier_person_192574-6 Dettaglio
• Does ESG Impact Really Enhance Portfolio Profitability?, CESARONE, FRANCESCO; MARTINO, MANUEL LUIS; CARLEO, ALESSANDRA, , 2022Link identifier #identifier_person_136620-7 Dettaglio
• Risk Parity with Expectiles, CESARONE, FRANCESCO, , 2021Link identifier #identifier_person_109109-8 Dettaglio
• On the stability of portfolio selection models, CESARONE, FRANCESCO; MOTTURA, CARLO DOMENICO; RICCI, JACOPO MARIA, , 2020Link identifier #identifier_person_129509-9 Dettaglio
• Z-score vs minimum variance preselection methods for constructing small portfolios, CESARONE, FRANCESCO, , 2020Link identifier #identifier_person_109991-10 Dettaglio
• A risk-gain dominance maximization approach to enhanced index tracking, CESARONE, FRANCESCO; LAMPARIELLO, LORENZO, , 2019Link identifier #identifier_person_148691-11 Dettaglio
• An alternative approach for the operational risk assessment of a new product, MORETTI, JACOPO; CESARONE, FRANCESCO, , 2019Link identifier #identifier_person_157953-12 Dettaglio
• An optimization-diversification approach to portfolio selection, CESARONE, FRANCESCO, , 2019Link identifier #identifier_person_134001-13 Dettaglio
• Minimum risk versus capital and risk diversification strategies for portfolio construction, CESARONE, FRANCESCO; COLUCCI, STEFANO, , 2018Link identifier #identifier_person_151606-14 Dettaglio
• Why small portfolios are preferable and how to choose them, CESARONE, FRANCESCO; MORETTI, JACOPO, , 2018Link identifier #identifier_person_55494-15 Dettaglio
• Approximating exact expected utility via portfolio efficient frontiers, CARLEO, ALESSANDRA; CESARONE, FRANCESCO; GHENO, ANDREA; RICCI, JACOPO MARIA, , 2017Link identifier #identifier_person_177486-16 Dettaglio
• Equal Risk Bounding is better than Risk Parity for portfolio selection, CESARONE, FRANCESCO, , 2017Link identifier #identifier_person_164712-17 Dettaglio
• On Exact and Approximate Stochastic Dominance Strategies for Portfolio Selection, CESARONE, FRANCESCO, , 2017Link identifier #identifier_person_60362-18 Dettaglio
• A Quick Tool to Forecast VaR Using Implied and Realized Volatilities, CESARONE, FRANCESCO; COLUCCI, STEFANO, , 2016Link identifier #identifier_person_162715-19 Dettaglio
• Optimally chosen small portfolios are better than large ones, CESARONE, FRANCESCO, , 2016Link identifier #identifier_person_35803-20 Dettaglio
• Real-world datasets for portfolio selection and solutions of some stochastic dominance portfolio models, CESARONE, FRANCESCO, , 2016Link identifier #identifier_person_86680-21 Dettaglio
• A Linear Risk-Return Model for Enhanced Indexation in Portfolio Optimization, CESARONE, FRANCESCO, , 2015Link identifier #identifier_person_131072-22 Dettaglio
• Linear vs. quadratic portfolio selection models with hard real-world constraints, CESARONE, FRANCESCO, , 2015Link identifier #identifier_person_191552-23 Dettaglio
• A new method for mean-variance portfolio optimization with cardinality constraints, CESARONE, FRANCESCO, , 2013Link identifier #identifier_person_180687-24 Dettaglio
• Learning and holding periods for portfolio selection models: a sensitivity analysis, CESARONE, FRANCESCO; GHENO, ANDREA, , 2013Link identifier #identifier_person_79031-25 Dettaglio
• No arbitrage and a linear portfolio selection model, CESARONE, FRANCESCO, , 2013Link identifier #identifier_person_66842-26 Dettaglio
• A New LP Model for Enhanced Indexation, CESARONE, FRANCESCO, , 2012Link identifier #identifier_person_107476-27 Dettaglio
• A new stochastic dominance approach to enhanced index tracking problems, CESARONE, FRANCESCO, , 2012Link identifier #identifier_person_41432-28 Dettaglio
• Efficient Algorithms For Mean-Variance Portfolio Optimization With Hard Real-World Constraints, CESARONE, FRANCESCO, , 2009Link identifier #identifier_person_137904-29 Dettaglio
• Heat waves in the Mediterranean:a local feature or a larger-scale effect?, CESARONE, FRANCESCO, , 2006Link identifier #identifier_person_112292-30 Dettaglio
• Mitigation and Recover of Semi-arid andArid Provinces in China, CESARONE, FRANCESCO, , 2006Link identifier #identifier_person_179494-31 Dettaglio
• Memory formalism in the passive diffusion across highly heterogeneous systems, CESARONE, FRANCESCO, , 2005Link identifier #identifier_person_139694-32 Dettaglio

Libro

• CESARONE, FRANCESCO, Computational Finance. MATLAB oriented modeling, pp. 1 238, 2020 Link identifier #identifier_person_103746-33Dettaglio

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_46643-34Dettaglio
• CESARONE, FRANCESCO; LAMPARIELLO, LORENZO; RICCI, JACOPO MARIA; SAGRATELLA, SIMONE, A bilevel approach to ESG multi-portfolio selection, 2023 Link identifier #identifier_person_139379-35Dettaglio
• CESARONE, FRANCESCO; CORRADINI, MASSIMILIANO; LAMPARIELLO, LORENZO; RICCIONI, JESSICA, A new behavioral model for portfolio selection using the Half-Full/Half-Empty approach, 2023 Link identifier #identifier_person_83033-36Dettaglio
• CESARONE, FRANCESCO; CORRADINI, MASSIMILIANO; LAMPARIELLO, LORENZO; RICCIONI, JESSICA, A new behavioral model for portfolio selection using the Half‐Full/Half‐Empty approach, 2023 Link identifier #identifier_person_75368-37Dettaglio
• CESARONE, FRANCESCO; MARTINO, MANUEL LUIS; RICCA, FEDERICA, Managing ESG Ratings Disagreement in Sustainable Portfolio Selection, 2023 Link identifier #identifier_person_63551-38Dettaglio
• CESARONE, FRANCESCO; MARTINO, MANUEL LUIS, Mean‐Variance‐VaR portfolios: MIQP formulation and performance analysis, 2023 Link identifier #identifier_person_78692-39Dettaglio
• CESARONE, FRANCESCO, New approximate stochastic dominance approaches for Enhanced Indexation models, 2023 Link identifier #identifier_person_158768-40Dettaglio
• CESARONE, FRANCESCO, New approximate stochastic dominance approaches for Enhanced Indexation models, 2023 Link identifier #identifier_person_194035-41Dettaglio
• CESARONE, FRANCESCO; GIACOMETTI, ROSELLA; RICCI, JACOPO MARIA, Non‐parametric cumulants approach for outlier detection of multivariate financial data, 2023 Link identifier #identifier_person_95369-42Dettaglio
• CESARONE, FRANCESCO; ACCATTOLI, ANDREA; LUCIANI, FRANCESCA, The impact of cryptocurrencies in an equity investment universe for portfolio selection, 2023 Link identifier #identifier_person_178546-43Dettaglio
• CESARONE, FRANCESCO; MARTINO, MANUEL LUIS; CARLEO, ALESSANDRA, Does ESG Impact Really Enhance Portfolio Profitability?, 2022 Link identifier #identifier_person_69614-44Dettaglio
• CESARONE, FRANCESCO; GIACOMETTI, ROSELLA, Maximum risk diversification for portfolio selection, 2022 Link identifier #identifier_person_190382-45Dettaglio
• CESARONE, FRANCESCO; RICCI, JACOPO MARIA, Non-parametric cumulants approach for outlier detection of multivariate financial data, 2022 Link identifier #identifier_person_156458-46Dettaglio
• CESARONE, FRANCESCO, Maximum risk diversification for portfolio selection, pp. 268 268, 2021 Link identifier #identifier_person_178575-47Dettaglio
• CESARONE, FRANCESCO; GIACOMETTI, ROSELLA, Maximum risk diversification for portfolio selection, 2021 Link identifier #identifier_person_190481-48Dettaglio
• CESARONE, FRANCESCO; PINAR, MUSTAFA CELEBI; RICCI, JACOPO MARIA, Equal Risk Contribution Portfolios using MAD, 2020 Link identifier #identifier_person_816-49Dettaglio
• 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_120790-50Dettaglio
• CESARONE, FRANCESCO; PINAR, MUSTAFA CELEBI; RICCI, JACOPO MARIA, Equal Risk Contribution Portfolios using MAD, 2019 Link identifier #identifier_person_70367-51Dettaglio
• CESARONE, FRANCESCO, Risk Parity with Expectiles, pp. 1 13, 2019 Link identifier #identifier_person_159657-52Dettaglio
• CESARONE, FRANCESCO, Risk Parity with Expectiles, 2019 Link identifier #identifier_person_188797-53Dettaglio
• CESARONE, FRANCESCO, Risk Parity with Expectiles, pp. 327 327, 2019 Link identifier #identifier_person_14080-54Dettaglio
• CESARONE, FRANCESCO, Z-score vs Markowitz preselection for constructing small portfolios, 2019 Link identifier #identifier_person_114489-55Dettaglio
• CESARONE, FRANCESCO, A dominance maximization approach to portfolio selection, pp. 54 55, 2018 Link identifier #identifier_person_83545-56Dettaglio
• CESARONE, FRANCESCO; COLUCCI, STEFANO, Equal Risk Contribution portfolios for CVaR and CVaR-deviation risk measures, pp. 46 46, 2018 Link identifier #identifier_person_192380-57Dettaglio
• CESARONE, FRANCESCO; MOTTURA, CARLO DOMENICO; RICCI, JACOPO MARIA, On the stability of portfolio selection models, pp. 39 39, 2018 Link identifier #identifier_person_6600-58Dettaglio
• CESARONE, FRANCESCO; MOTTURA, CARLO DOMENICO; RICCI, JACOPO MARIA, On the stability of portfolio selection models, pp. 222 222, 2018 Link identifier #identifier_person_103693-59Dettaglio
• MORETTI, JACOPO; CESARONE, FRANCESCO, Operational risk assessment of a new product using AHP, pp. 24 24, 2018 Link identifier #identifier_person_104247-60Dettaglio
• CESARONE, FRANCESCO, Diversification+Optimization=Portfolio Selection, pp. 4 5, 2017 Link identifier #identifier_person_149629-61Dettaglio
• CESARONE, FRANCESCO, Diversified Optimal Portfolios: a new approach to portfolio selection, 2017 Link identifier #identifier_person_38217-62Dettaglio
• CESARONE, FRANCESCO, Joining Diversification and Optimization for Asset Allocation, pp. 37 38, 2017 Link identifier #identifier_person_106648-63Dettaglio
• CESARONE, FRANCESCO; COLUCCI, STEFANO, A Quick Tool to forecast VaR, pp. 1 26, 2016 Link identifier #identifier_person_6245-64Dettaglio
• COLUCCI, STEFANO; CESARONE, FRANCESCO, A Quick Tool to forecast VaR using Implied and Realized Volatilities, pp. 12 12, 2016 Link identifier #identifier_person_158226-65Dettaglio
• CESARONE, FRANCESCO, Exact and Approximate Stochastic Dominance for Portfolio Selection, 2016 Link identifier #identifier_person_71559-66Dettaglio
• CESARONE, FRANCESCO, Improving the Risk Parity Approach to Portfolio Selection, pp. 1 11, 2016 Link identifier #identifier_person_167932-67Dettaglio
• CESARONE, FRANCESCO, On Exact and Approximate Stochastic Dominance Strategies for Portfolio Selection, pp. 2 2, 2016 Link identifier #identifier_person_135516-68Dettaglio
• CESARONE, FRANCESCO, Does Greater Diversification Really Improve Performance in Portfolio Selection?, 2015 Link identifier #identifier_person_68993-69Dettaglio
• CESARONE, FRANCESCO, Joining risk diversification and utility maximization for portfolio selection, pp. 210 211, 2015 Link identifier #identifier_person_163128-70Dettaglio
• CESARONE, FRANCESCO, Minimum Risk vs. Capital and Risk Diversification strategies for portfolio construction, 2015 Link identifier #identifier_person_97185-71Dettaglio
• CESARONE, FRANCESCO, MINLP models for portfolio selection, 2015 Link identifier #identifier_person_93253-72Dettaglio
• CESARONE, FRANCESCO, PseudoBoolean models for portfolio selection, pp. 30 30, 2015 Link identifier #identifier_person_198247-73Dettaglio
• CESARONE, FRANCESCO, Risk Bounding is better then Risk Parity for portfolio selection, 2014 Link identifier #identifier_person_154714-74Dettaglio
• CESARONE, FRANCESCO, A Practically Realizable Strong Stochastic Dominance Model for Enhanced Indexation, 2013 Link identifier #identifier_person_199365-75Dettaglio
• CESARONE, FRANCESCO, Risk disparity is better than risk parity for portfolio selection, pp. 316 316, 2013 Link identifier #identifier_person_47558-76Dettaglio
• CESARONE, FRANCESCO, A Linear Programming Model for Enhanced Indexationbased on Strong Stochastic Dominance, 2012 Link identifier #identifier_person_58827-77Dettaglio
• CESARONE, FRANCESCO, A Linear Risk-Return Model for Enhanced Indexation, 2012 Link identifier #identifier_person_123769-78Dettaglio
• CESARONE, FRANCESCO, A Risk-Return Approach to Enhanced Indexation, 2012 Link identifier #identifier_person_176986-79Dettaglio
• CESARONE, FRANCESCO, A new portfolio selection approach: Models andAlgorithms, 2010 Link identifier #identifier_person_176423-80Dettaglio
• CESARONE, FRANCESCO, Portfolio selection problems in practice: a comparisonbetween linear and quadratic optimization models, 2010 Link identifier #identifier_person_41028-81Dettaglio
• CESARONE, FRANCESCO, A Clique Algorithm for Cardinality ConstrainedPortfolio Optimization, 2008 Link identifier #identifier_person_107663-82Dettaglio
• CESARONE, FRANCESCO, Efficient Algorithms For Mean-Variance Portfolio Optimization With Hard Real-World Constraints, 2008 Link identifier #identifier_person_17073-83Dettaglio
• CESARONE, FRANCESCO, Climate extreme and variability relatedto forestry land-cover and agriculture land-use changes, 2005 Link identifier #identifier_person_122940-84Dettaglio
• CESARONE, FRANCESCO, Geopotential oscillations and Rainfall Cycle in the Mediterranean Region, 2005 Link identifier #identifier_person_185193-85Dettaglio
• CESARONE, FRANCESCO, Heat waves in the MediterraneanRegion: Analysis and model results, pp. 2203 2214, 2005 Link identifier #identifier_person_63843-86Dettaglio
• CESARONE, FRANCESCO, Mediterranean Jetstream and Mediterranean Summer Anomalies, 2005 Link identifier #identifier_person_135913-87Dettaglio
• CESARONE, FRANCESCO, Mediterranean Jetstream and Mediterranean Winter Anomalies, 2005 Link identifier #identifier_person_63194-88Dettaglio
• CESARONE, FRANCESCO, Role of the MonsoonsVariability on the Summer Drought events in the Mediterranean Basin, 2005 Link identifier #identifier_person_36037-89Dettaglio
• CESARONE, FRANCESCO, African Monsoon and the climate of the Mediterranean, 2004 Link identifier #identifier_person_82950-90Dettaglio
• CESARONE, FRANCESCO, August 2003 Heat-wave in Western Europe: an analysis and perspective, 2004 Link identifier #identifier_person_97922-91Dettaglio
• CESARONE, FRANCESCO, Heat-wave events in the Mediterranean: a recurrent feature or a global warming effect?, 2004 Link identifier #identifier_person_90981-92Dettaglio
• 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_174865-93Dettaglio
• CESARONE, FRANCESCO, Mediterranean winter and fall climate: trends and mechanisms, 2004 Link identifier #identifier_person_144860-94Dettaglio
• CESARONE, FRANCESCO, Rainfall variability overthe Mediterranean Region and its linkage with large scale features, 2004 Link identifier #identifier_person_37518-95Dettaglio