Fabio Caccioli

Available identifiers

Publication	Date of Publication	Type
Analytic approach to variance optimization under an $\mathcal{l}_1$ constraint	2023-07-26	Paper
Structural importance and evolution: an application to financial transaction networks	2022-11-11	Paper
Backtesting macroprudential stress tests	2022-05-16	Paper
Epidemic oscillations induced by social network control	2022-02-16	Paper
Bias-variance trade-off in portfolio optimization under expected shortfall with $ \newcommand{\e}{{\rm e}} {\ell_2}$ regularization	2021-08-17	Paper
Network valuation in financial systems	2021-03-23	Paper
Replica approach to mean-variance portfolio optimization	2020-08-11	Paper
Emergence of giant strongly connected components in continuum disk-spin percolation	2020-08-11	Paper
Analytic solution to variance optimization with no short positions	2020-08-11	Paper
Reconstructing and stress testing credit networks	2020-01-31	Paper
Overlapping portfolios, contagion, and financial stability	2018-11-15	Paper
Portfolio optimization under Expected Shortfall: contour maps of estimation error	2018-11-14	Paper
LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION	2016-08-26	Paper
Eroding market stability by proliferation of financial instruments	2010-06-23	Paper

No records found.

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Fabio Caccioli