Fabio Caccioli

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
The effect of heterogeneity on financial contagion due to overlapping portfolios Advances in Complex Systems	2024-10-30	Paper
Analytic approach to variance optimization under an \(\mathcal{l}_1\) constraint The European Physical Journal B. Condensed Matter and Complex Systems	2023-07-26	Paper
Structural importance and evolution: an application to financial transaction networks Physica A	2022-11-11	Paper
Backtesting macroprudential stress tests Journal of Economic Dynamics and Control	2022-05-16	Paper
Epidemic oscillations induced by social network control Journal of Statistical Mechanics: Theory and Experiment	2022-02-16	Paper
Bias-variance trade-off in portfolio optimization under expected shortfall with $ \newcommand{\e}Template:\rm e {\ell_2}$ regularization Journal of Statistical Mechanics: Theory and Experiment	2021-08-17	Paper
Network valuation in financial systems Mathematical Finance	2021-03-23	Paper
Replica approach to mean-variance portfolio optimization Journal of Statistical Mechanics: Theory and Experiment	2020-08-11	Paper
Replica approach to mean-variance portfolio optimization Journal of Statistical Mechanics: Theory and Experiment	2020-08-11	Paper
Analytic solution to variance optimization with no short positions Journal of Statistical Mechanics: Theory and Experiment	2020-08-11	Paper
Emergence of giant strongly connected components in continuum disk-spin percolation Journal of Statistical Mechanics: Theory and Experiment	2020-08-11	Paper
Emergence of giant strongly connected components in continuum disk-spin percolation Journal of Statistical Mechanics: Theory and Experiment	2020-08-11	Paper
Reconstructing and stress testing credit networks Journal of Economic Dynamics and Control	2020-01-31	Paper
Overlapping portfolios, contagion, and financial stability Journal of Economic Dynamics and Control	2018-11-15	Paper
Portfolio optimization under expected shortfall: contour maps of estimation error Quantitative Finance	2018-11-14	Paper
Portfolio optimization under expected shortfall: contour maps of estimation error Quantitative Finance	2018-11-14	Paper
Liquidity risk and instabilities in portfolio optimization International Journal of Theoretical and Applied Finance	2016-08-26	Paper
Eroding market stability by proliferation of financial instruments The European Physical Journal B. Condensed Matter and Complex Systems	2010-06-23	Paper

Research outcomes over time

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