UBERTI , Pierpaolo

This paper analyzes the numerical stability of Markowitz portfolio optimization model, by identifying and studying a source of instability, that strictly depends on the mathematical structure of the optimization problem and its constraints. As a consequence, it is shown how standard portfolio optimization models can result in an unstable model...

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Multi-class predictive models are generally evaluated averaging binary classification indicators without a distinction between nominal and ordinal dependent variables. This paper introduces a novel approach to assess performances of predictive models characterized by an ordinal target variable and a new index for model evaluation is proposed....

This volume is the third in the AIRO Springer Series. It contains very recent results in the field of optimization and decision science, aimed at solving complex problems. The volume is mainly addressed to the operations research (OR) community but, due to its interdisciplinary contents, it will also be of great interest for scholars and...

In asset management, the portfolio leverage affects performance, and can be subject to constraints and operational limitations. Due to the possible leverage aversion of the investors, the comparison between portfolio performances can be incomplete or misleading. We propose a procedure to unleverage the mean-variance efficient portfolios to...