Rank-Size Analysis of Optimal Portfolio Weights Across Portfolio Optimization Models

Mon, 23 Jun 2025 00:00:00 +0000

Event: EURO 2025 - 32nd European Conference on Operational Research
Location: Leeds, United Kingdom
Date: June 23-25, 2025

This presentation introduces a novel rank-size analysis framework for comparing optimal portfolio weight distributions across different portfolio optimization models. The research provides innovative insights into portfolio concentration patterns and offers a systematic methodology for evaluating portfolio construction strategies.

Key Contributions:

Novel rank-size analysis approach for portfolio optimization
Comparative analysis of four portfolio strategies (Mean-Variance, CVaR, Most Diversified, Risk Parity)
Stochastic dominance methodology for model selection
Empirical analysis across major financial indices (2009-2023)

Methodology: The study employs various rank-size functions including the Exponential Law, Discrete Generalised Beta Distribution, and the Universal Law to model optimal weight distributions, with a robust selection methodology based on stochastic dominance applied to RMSE distributions.

Collaborative Research: This work represents a collaborative effort with researchers from Roma Tre University (Italy) and other international institutions, showcasing the international scope of the research collaboration.

Presentation Materials: Full presentation slides available for download (PDF format), including comprehensive data visualizations and empirical analysis results across multiple financial indices.

Alessio Di Paolo

Mon, 01 Jan 0001 00:00:00 +0000

Alessio Di Paolo | Valerio Ficcadenti

Rank-Size Analysis of Optimal Portfolio Weights Across Portfolio Optimization Models

Alessio Di Paolo