Prof. Roy Cerqueti | Valerio Ficcadentihttps://valerioficcadenti.com/authors/roy-cerqueti/Prof. Roy CerquetiHugo Blox Builder (https://hugoblox.com)en-ushttps://valerioficcadenti.com/media/icon_huef8cf56cc73f48d41a5f1ecba5605ab4_269363_512x512_fill_lanczos_center_3.pngProf. Roy Cerquetihttps://valerioficcadenti.com/authors/roy-cerqueti/Rank-Size Analysis of Optimal Portfolio Weights Across Portfolio Optimization Modelshttps://valerioficcadenti.com/talks/euro_2025/Mon, 23 Jun 2025 00:00:00 +0000https://valerioficcadenti.com/talks/euro_2025/<p><strong>Event:</strong> <a href="https://www.euro2025leeds.com/" target="_blank" rel="noopener">EURO 2025 - 32nd European Conference on Operational Research</a><br> <strong>Location:</strong> Leeds, United Kingdom<br> <strong>Date:</strong> June 23-25, 2025</p> <hr> <p>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.</p> <p><strong>Key Contributions:</strong></p> <ul> <li>Novel rank-size analysis approach for portfolio optimization</li> <li>Comparative analysis of four portfolio strategies (Mean-Variance, CVaR, Most Diversified, Risk Parity)</li> <li>Stochastic dominance methodology for model selection</li> <li>Empirical analysis across major financial indices (2009-2023)</li> </ul> <p><strong>Methodology:</strong> 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.</p> <p><strong>Collaborative Research:</strong> 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.</p> <p><strong>Presentation Materials:</strong> Full presentation slides available for download (PDF format), including comprehensive data visualizations and empirical analysis results across multiple financial indices.</p>Economic keywords in political communications and financial marketshttps://valerioficcadenti.com/publication/ficcadenti-2024-economic/Mon, 01 Jan 2024 00:00:00 +0000https://valerioficcadenti.com/publication/ficcadenti-2024-economic/<p>Add the <strong>full text</strong> or <strong>supplementary notes</strong> for the publication here using Markdown formatting.</p>Investors’ attention and network spillover for commodity market forecastinghttps://valerioficcadenti.com/publication/cerqueti-2024102023/Mon, 01 Jan 2024 00:00:00 +0000https://valerioficcadenti.com/publication/cerqueti-2024102023/<p>Add the <strong>full text</strong> or <strong>supplementary notes</strong> for the publication here using Markdown formatting.</p>Kendall correlations and radar charts to include goals for and goals against in soccer rankingshttps://valerioficcadenti.com/publication/cerqueti-2024-kendall/Mon, 01 Jan 2024 00:00:00 +0000https://valerioficcadenti.com/publication/cerqueti-2024-kendall/<p>Add the <strong>full text</strong> or <strong>supplementary notes</strong> for the publication here using Markdown formatting.</p>Portfolio decision analysis for pandemic sentiment assessment based on finance and web querieshttps://valerioficcadenti.com/publication/cerqueti-2024-portfolio/Mon, 01 Jan 2024 00:00:00 +0000https://valerioficcadenti.com/publication/cerqueti-2024-portfolio/<p>Add the <strong>full text</strong> or <strong>supplementary notes</strong> for the publication here using Markdown formatting.</p>Anxiety about the pandemic and trust in financial marketshttps://valerioficcadenti.com/publication/cerqueti-2023-anxiety/Sun, 01 Jan 2023 00:00:00 +0000https://valerioficcadenti.com/publication/cerqueti-2023-anxiety/<p>Add the <strong>full text</strong> or <strong>supplementary notes</strong> for the publication here using Markdown formatting.</p>A rank-size approach to analyse soccer competitions and teams: the case of the Italian football league ``Serie A\"https://valerioficcadenti.com/publication/ficcadenti-2022-footbal/Sat, 01 Jan 2022 00:00:00 +0000https://valerioficcadenti.com/publication/ficcadenti-2022-footbal/<p>Add the <strong>full text</strong> or <strong>supplementary notes</strong> for the publication here using Markdown formatting.</p>Combining rank-size and k-means for clustering countries over the COVID-19 new deaths per millionhttps://valerioficcadenti.com/publication/cerqueti-2022-combining/Sat, 01 Jan 2022 00:00:00 +0000https://valerioficcadenti.com/publication/cerqueti-2022-combining/<p>Add the <strong>full text</strong> or <strong>supplementary notes</strong> for the publication here using Markdown formatting.</p>Markov Chain Monte Carlo for generating ranked textual datahttps://valerioficcadenti.com/publication/cerqueti-2022-markov/Sat, 01 Jan 2022 00:00:00 +0000https://valerioficcadenti.com/publication/cerqueti-2022-markov/<p>Add the <strong>full text</strong> or <strong>supplementary notes</strong> for the publication here using Markdown formatting.</p>Words ranking and Hirsch index for identifying the core of the hapaxes in political textshttps://valerioficcadenti.com/publication/ficcadenti-2020-words/Wed, 01 Jan 2020 00:00:00 +0000https://valerioficcadenti.com/publication/ficcadenti-2020-words/<p>Add the <strong>full text</strong> or <strong>supplementary notes</strong> for the publication here using Markdown formatting.</p>A joint text mining-rank size investigation of the rhetoric structures of the US Presidents’ speecheshttps://valerioficcadenti.com/publication/ficcadenti-2019-joint/Tue, 01 Jan 2019 00:00:00 +0000https://valerioficcadenti.com/publication/ficcadenti-2019-joint/<p>Add the <strong>full text</strong> or <strong>supplementary notes</strong> for the publication here using Markdown formatting.</p>Earthquakes economic costs through rank-size lawshttps://valerioficcadenti.com/publication/ficcadenti-2017-earthquakes/Sun, 01 Jan 2017 00:00:00 +0000https://valerioficcadenti.com/publication/ficcadenti-2017-earthquakes/<p>Add the <strong>full text</strong> or <strong>supplementary notes</strong> for the publication here using Markdown formatting.</p>Prof. Roy Cerquetihttps://valerioficcadenti.com/authors/roy-cerqueti/Mon, 01 Jan 0001 00:00:00 +0000https://valerioficcadenti.com/authors/roy-cerqueti/