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.

One Method, Many Systems - A rank-size approach to socio-economic modelling

Thu, 15 May 2025 00:00:00 +0000

Event: International Conference on Informatics in Economy (IE 2025)
Location: Bucharest, Romania
Date: May 15-17, 2025
Format: Keynote Presentation

This keynote presentation at the International Conference on Informatics in Economy (IE 2025) explores the universal applicability of rank-size analysis across diverse socio-economic systems and modelling frameworks.

Keynote Highlights:

Universal Methodology: Demonstration of how a single rank-size approach applies across multiple domains
Interdisciplinary Perspective: Bridging financial markets, population dynamics, income distributions, and organizational structures
Methodological Advances: Recent developments in rank-size modelling and statistical selection techniques
Practical Applications: Tools and insights for policy makers and researchers

Key Themes:

One Method, Many Systems: How rank-size laws provide a common analytical language
Universal Patterns: Revealing scaling behaviours that transcend disciplinary boundaries
Comparative Analysis: Systematic approaches to cross-system comparison
Theoretical Foundations: Underlying mechanisms driving rank-size phenomena

Conference Context: The International Conference on Informatics in Economy brings together researchers, practitioners, and policy makers to explore the intersection of information technology and economic analysis. This keynote addresses the growing need for unified analytical frameworks in an increasingly interconnected world.

Academic Impact: This presentation builds upon extensive research in rank-size analysis, extending applications from traditional domains to new areas of socio-economic inquiry. The work demonstrates the potential for methodological innovation to drive interdisciplinary collaboration and understanding.

Institution: Presented at Bucharest University of Economic Studies, one of Romania’s leading institutions for economic research and education, highlighting the international recognition of rank-size analysis methodology.

Rank-Size Analysis | Valerio Ficcadenti

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

One Method, Many Systems - A rank-size approach to socio-economic modelling