Curriculum Vitae et Studiorum

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1 Curriculum Vitae et Studiorum Francesco Cesarone Home Address Via Bagnone, Rome, Italy Mobile phone: University Address Department of Business Studies University of Roma Tre Via Silvio D Amico 77, Rome, Italy Voice: Fax: WWW: [email protected] Personal Details Place and date of birth: Rome, 04/10/1975 Nationality: Italian Status: married Current Position Assistant Professor at University of Roma Tre Research interests Portfolio selection problems; Asset management; Risk modelling and optimum risk decisions; Index Tracking and Enhanced Indexation Problems; Algorithms for large scale linear, quadratic integer and mixed integer programming problems; Heuristic optimization; Computational finance; Parallel Computing. Education January 2013: Certificate in Advanced Risk and Portfolio Management - ARPM Certificate (Attilio Meucci, New York, US). September 2010: CASPUR Summer School of Advanced Computing, Villa Grazioli, Grottaferrata (Rome). July 2010: International School of Scientific Computation and MATLAB, Palermo - Department of Physical and Astronomical Sciences.

2 Francesco Cesarone 2 November March 2010: PhD in Mathematics for Economic and Financial Applications at the Faculty of Economics - University of Rome La Sapienza. PhD thesis: A New Portfolio Selection Approach: Algorithms, Analysis and Models, discussed on March 26 th, November 2009: Stochastic Programming School: Theory and Applications, Bergamo - Faculty of Economics. November 2006: winner of PhD fellowship in Mathematics for Economic and Financial Applications at the Faculty of Economics of LUISS (Libera Università Internazionale degli Studi Sociali Guido Carli) in Rome. 2002: Degree in Physics (109/110) at Università degli Studi di Roma La Sapienza, Facoltà di Scienze Matematiche, Fisiche e Naturali. Thesis on: Modello di diffusione con memoria in membrane biologiche (Diffusion model with memory across a biological membrane). Tutor: Prof. Michele Caputo, Prof. Cesare Cametti. This work has been published on the Journal of Membrane Science: F. Cesarone, M. Caputo, C. Cametti, Memory formalism in the passive diffusion across a biological membrane (Journal of Membrane Science 250 (2005) 79-84). 1999: Stage as young manager. Languages Mother tongue: Italian. English: reading - good; writing - good; verbal - good. 30 June - 25 July 2008: intensive English course at Language Centre, University of Bristol. Computing Skills Operating systems: Windows, Linux. Packages: MATLAB, AMPL, Mathematica, Origin, S-Plus, LaTeX, Grid Analysis and Display System (GrADS), Microsoft Office. Programming: Fortran, C. Teaching March-June 2014: Computational Finance, University of Roma Tre. March-June : Mathematical Models of Financial Markets, University of Roma Tre. April-June ; October-December : Linear Programming using Excel at the Faculty of Economics, LUISS.

3 Francesco Cesarone 3 April-June 2011: Computing and Financial Management at the Faculty of Economics, La Sapienza. October-December : Mathematical methods for economic and business decisions, University of Roma Tre. October-December : Financial Mathematics using Excel at the Faculty of Economics, LUISS. September 2010: Calculus at the Faculty of Economics, University of Roma Tre. April-June 2009; February-April 2010: Information Technology - Introduction to Financial Computing using MATLAB at the Faculty of Economics, University of Roma Tre. April-June 2009: Portfolio Theory at the Faculty of Economics, LUISS. July 2007; October-December : Calculus at the Faculty of Economics, La Sapienza. Awards September 2005: winner of the Young Scientist Travel Award awarded by the European Meteorological Society for outstanding contribution to the 5th Annual Meeting of the EMS, Utrecht, The Netherlands. Visiting positions 2009: Mathematical Sciences Department - Brunel University (London) Working Experience : research contract at SYMMYS (Attilio Meucci) for creating and development of materials relating to the Advanced Risk and Portfolio Management (ARPM) Bootcamp ( : research fellowship at the Faculty of Economics, University of Rome La Sapienza. Topic: Portfolio selection models : research contract at the Department of Statistics, University of Rome La Sapienza. Topic: Development of efficient algorithms for solving portfolio selection problems with high computational burden : PhD scholarships at the Faculty of Economics, University of Rome La Sapienza : work collaboration in the Information Technology group of FLIPPER- MUSIC at FOX (SKY) : research contract at the Institute of Biometeorology IBIMET - CNR in Rome. Topic: Study and identification of lasting baric configurations.

4 Francesco Cesarone : research contract at the Institute of Biometeorology IBIMET - CNR in Rome. Topic: Analysis and modelling of climatologic variability of the Mediterranean basin using station and rianalysis data). Climagri project : research contract at the Institute of Biometeorology IBIMET - CNR in Rome. Topic: Analysis of climatologic variability of the Mediterranean basin. Climagri project : Physics teacher in Secondary School : research activity at the Physics Department of the University of Rome La Sapienza. Topic: Diffusion with memory of drugs across a biologic membrane. This work has been published on the Journal of Membrane Science. Coordination of Research Projects 2014: Coordinator of a Research Program on Risk Parity Approach for Portfolio Selection Problems, funded by the Department of Business Studies, University of Roma Tre : Coordinator of a Research Program on Mathematical models and computational procedures for quantitative finance problems, funded by University of Roma Tre. 2012: Coordinator of a Research Program on Portfolio selection models, funded by the Department of Economics, University of Roma Tre. Organization of Conferences May 2009: Member of the organizing committee for the International Conference NET2009 evolution and complexity and COST-ESF workshop on Physics of Competition and Conflicts, Rome, Italy. Editorial Activity Referee for the following scientific journals: Quantitative Finance, Journal of the Operational Research Society, European Journal of Operational Research, Computational Management Science. Work in progress F. Cesarone, P. Ciurlia, (2013), Pricing and hedging American-style option combinations. F. Cesarone, F. Tardella, (2010), A CVaR model with non-parametric correlation constraints.

5 Francesco Cesarone 5 Publications and reports F. Cesarone, F. Tardella (2014), Risk Bounding is better then Risk Parity for portfolio selection, Available at SSRN: submitted to Operations Research Letters. R. Bruni, F. Cesarone, A. Scozzari, F. Tardella (2013), No arbitrage and a linear portfolio selection model, Economics Bulletin Vol. 33(2), pag , ISSN F. Cesarone, A. Scozzari, F. Tardella, (2013), Linear vs. Quadratic Portfolio Selection Models in Practice, Available at SSRN: submitted to Computational Management Science (second round revision). F. Cesarone, A. Gheno, F. Tardella, (2013), Learning and Holding Periods for Portfolio Selection: a Sensitivity Analysis, Applied Mathematical Sciences Vol. 7(100), pag , ISSN X. R. Bruni, F. Cesarone, A. Scozzari, F. Tardella, (2013), A New Linear Risk-Return Model for Enhanced Indexation, Available at SSRN: submitted to OR Spectrum (under review). R. Bruni, F. Cesarone, A. Scozzari, F. Tardella (2012), A new stochastic dominance approach to enhanced index tracking problems, Economics Bulletin Vol. 32(4), pag , ISSN R. Bruni, F. Cesarone, A. Scozzari, F. Tardella (2012), A New LP Model for Enhanced Indexation, Working papers of Department of Economics - University of Roma Tre - online, ISSN F. Cesarone, A. Scozzari, F. Tardella (2012), A new method for Mean-Variance portfolio optimization with cardinality constraints, Annals of Operations Research, Vol. 205(1), pag , ISSN: , doi: /s F. Cesarone, A. Scozzari, F. Tardella (2011), Portfolio selection problems in practice: a comparison between linear and quadratic optimization models, In: F. Cesarone, A. Scozzari, F. Tardella, Efficient Algorithms For Mean-Variance Portfolio Optimization With Hard Real-World Constraints, Giornale dell Istituto Italiano degli Attuari 72 (2009), M. Baldi, G. Dalu, G. Maracchi, M. Pasqui, F. Cesarone, Heat waves in the Mediterranean: a local feature or a larger-scale effect?, Int. J. Climatol. 26 (2006) F. Cesarone, M. Caputo, C. Cametti, Memory formalism in the passive diffusion across a biological membrane, Journal of Membrane Science 250 (2005) M. Baldi, F. Cesarone, G. A. Dalu, F. Cannata, Mitigation and Recover of Semi-arid and Arid Provinces in China, Acta Hort. (ISHS) 705 (2005):

6 Francesco Cesarone 6 M. Baldi, F. Cesarone, G.A. Dalu, G. Maracchi, F. Meneguzzo, Rainfall variability over the Mediterranean Region and its linkage with large scale features, Proceedings of the 14th International Conference on Clouds and Precipitation ICCP, Bologna, July M. Baldi, L. Genesio, F. Meneguzzo, F. Cesarone, and F. Piani, Role of the Monsoons Variability on the Summer Drought events in the Mediterranean Basin, Proceedings of the American Meteorological Society 16th Symposium on Global Change and Climate Variations, San Diego, CA, 9-13 January M. Baldi, M. Pasqui, F. Cesarone, and G. De Chiara, Heat waves in the Mediterranean Region: Analysis and model results, Proceedings of the American Meteorological Society 16th Symposium on Global Change and Climate Variations, San Diego, CA, 9-13 January F. Cesarone, Analisi e modellazione della variabilità climatologica del Bacino Mediterraneo tramite uso di dati di osservazione reale e di rianalisi (Analysis and modellation of climatologic variability of Mediterranean basin, using station and rianalysis data), report for CLIMAGRI project (2004). F. Cesarone, Modellistica dei campi di precipitazione sull Area Mediterranea (Modeling of precipitation patterns over Mediterranean area), report for ASI - MeditRain project (2003). Presentations F. Cesarone, F. Tardella, Risk Bounding is better than Risk Parity for portfolio selection, XV Workshop on Quantitative Finance, Firenze, Italy, January R. Bruni, F. Cesarone, A. Scozzari, F. Tardella, A Practically Realizable Strong Stochastic Dominance Model for Enhanced Indexation, XIV Workshop on Quantitative Finance, Rimini, Italy, January F. Cesarone, F. Tardella, Risk disparity is better than risk parity for portfolio selection, EURO th European Conference on Operational Research, Rome, Italy, July R. Bruni, F. Cesarone, A. Scozzari, F. Tardella, A Linear Programming Model For Enhanced Indexation Based On Strong Stochastic Dominance, EURO th European Conference on Operational Research, Vilnius, Lithuania, July R. Bruni, F. Cesarone, A. Scozzari, F. Tardella, A Linear Risk-Return Approach to Enhanced Indexation, EURO th European Conference on Operational Research, Vilnius, Lithuania, July R. Bruni, F. Cesarone, A. Scozzari, F. Tardella, A Linear Risk-Return Model for Enhanced Indexation, XIII Workshop on Quantitative Finance, L Aquila, Italy, January F. Cesarone, A. Scozzari, F. Tardella, Portfolio selection problems in practice: a comparison between linear and quadratic optimization models, Alumni s Workshop 2010, Roma, October 2010.

7 Francesco Cesarone 7 F. Cesarone, A. Scozzari, F. Tardella, A new portfolio selection approach: Models and Algorithms, 24th European conference on Operational Research, Lisbon, July F. Cesarone, A. Scozzari, F. Tardella, Efficient Algorithms For Mean-Variance Portfolio Optimization With Hard Real-World Constraints, Proceedings of the 18th AFIR Colloquium: Financial Risk in a Changing World, Rome, October Cesarone F., A. Scozzari, F. Tardella, A Clique Algorithm for Cardinality Constrained Portfolio Optimization, 5th International Conference on Computational Management Science, London, March Dalu G.A., F. Cesarone, M. Baldi, M. Gaetani, Climate extreme and variability related to forestry land-cover and agriculture land-use changes, Sino-Italian workshop on sustainable forestry, agro forestry and food technology, Beijing (China), November Baldi M., G.A. Dalu, F. Cesarone, G. Maracchi, Mediterranean Jetstream and Mediterranean Summer Anomalies, 5th Annual Meeting of the European Meteorological Society, Utrecht, September 2005; Young Scientist Travel Award awarded by the EMS. Baldi M., G.A. Dalu, F. Cesarone, G. Maracchi, Mediterranean Jetstream and Mediterranean Winter Anomalies, 5th Annual Meeting of the European Meteorological Society, Utrecht, September Baldi M., G.A. Dalu, F. Cesarone, Geopotential oscillations and Rainfall Cycle in the Mediterranean Region, European Geophysical Union General Assembly, Vienna, April Baldi M., F. Cesarone, G.A. Dalu: Mitigation and Recover of Semi-Arid and Arid Regions in China, 5th International Walnut Symposium, Sant Agnello di Sorrento (Napoli), Novembre Baldi M., M. Pasqui, F. Cesarone, G. De Chiara, 2004: Heat-wave events in the Mediterranean: a recurrent feature or a global warming effect?, 4th Annual Meeting of the European Meteorological Society, Nice, September Rasool I., M. Baldi, K. Wolter, T. N. Chase, J. Otterman, R. A. Pielke Sr., F. Cesarone, 2004: August 2003 Heat-wave in Western Europe: an analysis and perspective, 4th Annual Meeting of the European Meteorological Society, Nice, September Baldi M., F. Cesarone, F. Carella, A. Crisci, G.A. Dalu, 2004: Mediterranean winter and fall climate: trends and mechanisms, European Meteorological Society, Nice, September Baldi M., G. A. Dalu, F. Cesarone, M. Gaetani, 2004: African Monsoon and the climate of the Mediterranean, European Science Foundation Workshop: MEDCLIVAR: Mediterranean Climate Variability and Predictability Rome, May Meneguzzo F., M. Baldi, A. Bundel, F. Cesarone, F. Piani, 2004: Links of the seasonal precipitation in Europe and Northern Africa to the global sea surface temperatures in gridded observational datasets and in model integrations European Geophysical Union General Assembly, Nice, April 2004.

8 Francesco Cesarone 8 March, 2014