Generalized risk parity portfolio optimization: an ADMM approach. - Giorgio Costa; Roy H. Kwon (J. Glob. Optim., 2020)

Distributionally Robust End-to-End Portfolio Construction. - Giorgio Costa; Garud N. Iyengar (CoRR, 2022)

Data-driven distributionally robust risk parity portfolio optimization. - Giorgio Costa; Roy H. Kwon (Optim. Methods Softw., 2022)

Risk-allocation-based index tracking. - Hassan T. Anis; Giorgio Costa; Roy H. Kwon (Comput. Oper. Res., 2023)