Sandra Paterlini

University of Trento - Department of Economics and Management

Via Inama 5

Trento, I-38100

Italy

SCHOLARLY PAPERS

44

DOWNLOADS
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7,175

SSRN CITATIONS
Rank 14,527

SSRN RANKINGS

Top 14,527

in Total Papers Citations

66

CROSSREF CITATIONS

28

Scholarly Papers (44)

1.

Constructing Optimal Sparse Portfolios Using Regularization Methods

Number of pages: 30 Posted: 02 Nov 2012 Last Revised: 22 Aug 2014
Bjoern Fastrich, Sandra Paterlini and Peter Winker
University of Giessen - Department of Economics, University of Trento - Department of Economics and Management and University of Giessen - Department of Economics
Downloads 613 (76,389)
Citation 14

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Minimum Variance Portfolio, Statistical Regularization, Non-Convex Penalties

2.

ESG, Risk, and (Tail) Dependence

Number of pages: 44 Posted: 18 May 2021 Last Revised: 19 Oct 2022
Karoline Bax, Özge Sahin, Claudia Czado and Sandra Paterlini
University of Trento - Department of Economics and Management, Technische Universität München (TUM), Technische Universität München (TUM) - Department of Mathematics and University of Trento - Department of Economics and Management
Downloads 477 (104,196)
Citation 9

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ESG scores, Risk, Dependence, Tail dependence, Vine Copula models

3.

Did the Dodd-Frank Act Impact Hedge Fund Performance?

U of St. Thomas (Minnesota) Legal Studies Research Paper No. 14-09
Number of pages: 33 Posted: 03 Feb 2014 Last Revised: 28 May 2014
Wulf A. Kaal, Barbara Luppi, Barbara Luppi and Sandra Paterlini
University of St. Thomas, Minnesota - School of Law, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of St. Thomas School of Law and University of Trento - Department of Economics and Management
Downloads 456 (109,896)
Citation 3

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Dodd-Frank Act, Hedge Funds, Performance, Regression Discontinuity Design, Difference-in-Difference Design

4.

Operational-Risk Dependencies and the Determination of Risk Capital

Center for Quantitative Risk Analysis (CEQURA) Working Paper No. 3
Number of pages: 35 Posted: 06 Aug 2011
Stefan Mittnik, Sandra Paterlini and Tina Yener
University of Kiel - Institute of Statistics & Econometrics, University of Trento - Department of Economics and Management and Ludwig Maximilians University of Munich
Downloads 382 (134,856)
Citation 2

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Copula, Nonparametric Tail Dependence, Basel II, Loss Distribution Approach

5.

Cardinality versus q-Norm Constraints for Index Tracking

Number of pages: 21 Posted: 21 Sep 2010
Bjoern Fastrich, Sandra Paterlini and Peter Winker
University of Giessen - Department of Economics, University of Trento - Department of Economics and Management and University of Giessen - Department of Economics
Downloads 337 (154,585)
Citation 7

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Index tracking, Cardinality constraint, q-Norm, Regularization methods, Heuristic algorithms

6.

Tracking Hedge Funds Using Sparse Clones

Number of pages: 26 Posted: 10 Aug 2015 Last Revised: 12 Sep 2016
European Central Bank (ECB), EBS Universität für Wirtschaft und Recht, University of Trento - Department of Economics and Management and Resonanz Capital
Downloads 334 (156,058)

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Hedge Fund Replication, Sharpe Style Analysis, LASSO Regression, Alternative Betas

7.

The pitfalls of (non-definitive) Environmental, Social, and Governance scoring methodology

Global Finance Journal, Forthcoming
Number of pages: 25 Posted: 30 Jan 2022 Last Revised: 23 Sep 2022
Özge Sahin, Karoline Bax, Sandra Paterlini and Claudia Czado
Technische Universität München (TUM), University of Trento - Department of Economics and Management, University of Trento - Department of Economics and Management and Technische Universität München (TUM) - Department of Mathematics
Downloads 316 (166,152)
Citation 5

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Corporate social responsibility, data-mining, data quality, ESG scores, risk, sustainability performance

8.

Flexible Dependence Modeling of Operational Risk Losses and Its Impact on Total Capital Requirements

Number of pages: 27 Posted: 17 Apr 2013
Eike Brechmann, Claudia Czado and Sandra Paterlini
Technische Universität München (TUM), Technische Universität München (TUM) - Department of Mathematics and University of Trento - Department of Economics and Management
Downloads 311 (168,426)
Citation 3

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operational risk, risk capital, dependence modeling, zero inflation, Student's t copula, vine copula

9.

Sparse Precision Matrices for Minimum Variance Portfolios

Number of pages: 36 Posted: 10 May 2017 Last Revised: 15 Jun 2018
Gabriele Torri, Rosella Giacometti and Sandra Paterlini
University of Bergamo, University of Bergamo and University of Trento - Department of Economics and Management
Downloads 277 (189,862)
Citation 5

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minimum variance, precision matrix, graphical lasso, tlasso

10.

Operational Risk Modeling: An Evaluation of Competing Strategies

CAREFIN Research Paper No. 06/2010
Number of pages: 50 Posted: 30 Mar 2011
Sandra Paterlini, Stefan Mittnik and Tina Yener
University of Trento - Department of Economics and Management, University of Kiel - Institute of Statistics & Econometrics and Ludwig Maximilians University of Munich
Downloads 276 (191,298)

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Mutual funds, Expense ratios, Price sensitivity

11.

Do Lower ESG Rated Companies Have Higher Systemic Impact? Empirical Evidence from Europe and the United States

Number of pages: 30 Posted: 01 Jul 2022 Last Revised: 14 Nov 2022
Karoline Bax, Giovanni Bonaccolto and Sandra Paterlini
University of Trento - Department of Economics and Management, University "Kore" of Enna and University of Trento - Department of Economics and Management
Downloads 256 (207,154)
Citation 3

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ESG, sustainability, systemic risks, CoVaR, financial stability

12.
Downloads 248 (211,947)
Citation 10

Regular(Ized) Hedge Fund Clones

CAREFIN Research Paper No. 1/09
Number of pages: 34 Posted: 08 May 2010
Daniel Giamouridis and Sandra Paterlini
Bank of America - Bank of America Merrill Lynch and University of Trento - Department of Economics and Management
Downloads 248 (211,087)
Citation 1

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Regular(Ized) Hedge Fund Clones

Journal of Financial Research, Vol. 33, No. 3, pp. 223-247, September 2010
Posted: 12 Feb 2009 Last Revised: 08 Oct 2010
Daniel Giamouridis and Sandra Paterlini
Bank of America - Bank of America Merrill Lynch and University of Trento - Department of Economics and Management

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Hedge Funds, Replication, Portfolio Management, Index Tracking, Norm-constrained portfolios

13.

Did the Dodd-Frank Act Impact Private Fund Performance? – Evidence from 2010-2015

Number of pages: 28 Posted: 11 Jul 2015 Last Revised: 15 Mar 2016
Wulf A. Kaal, Barbara Luppi, Barbara Luppi and Sandra Paterlini
University of St. Thomas, Minnesota - School of Law, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of St. Thomas School of Law and University of Trento - Department of Economics and Management
Downloads 245 (214,540)

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Dodd-Frank Act, Private Funds, Performance, Regression Discontinuity Design

14.

Exact and Heuristic Approaches for the Index Tracking Problem with UCITS Constraints

Number of pages: 18 Posted: 26 May 2012
University of Rome Niccolo' Cusano, Faculty of Economics - Sapienza University of Rome, University of Trento - Department of Economics and Management and affiliation not provided to SSRN
Downloads 232 (227,255)

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Index tracking, mixed integer quadratic programming, stochastic search heuristics, differential evolution, cardinality constraints

15.

Environmental, Social, Governance scores and the Missing pillar - Why does missing information matter?

Corporate Social Responsibility and Environmental Management
Number of pages: 27 Posted: 24 Jul 2021 Last Revised: 20 Jun 2022
Özge Sahin, Karoline Bax, Claudia Czado and Sandra Paterlini
Technische Universität München (TUM), University of Trento - Department of Economics and Management, Technische Universität München (TUM) - Department of Mathematics and University of Trento - Department of Economics and Management
Downloads 231 (227,255)

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Disclosure, ESG investment, ESG methodology, missing data, sustainable finance, Value-at-Risk

16.

Modeling Dependence of Operational Loss Frequencies

Number of pages: 16 Posted: 27 Oct 2013
Eike Brechmann, Claudia Czado and Sandra Paterlini
Technische Universität München (TUM), Technische Universität München (TUM) - Department of Mathematics and University of Trento - Department of Economics and Management
Downloads 189 (273,353)
Citation 1

Abstract:

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operational risk, dependence modeling, pair copula construction, loss frequencies

17.

The Importance of Board Diversity and Network Centrality in ESG Scores

Number of pages: 27 Posted: 21 Nov 2022
Nicholas Downing, Sandra Paterlini and Monica Paiella
University of Trento - Department of Economics and Management, University of Trento - Department of Economics and Management and CSEF - University of Naples Federico II
Downloads 154 (325,974)

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ESG, Board Diversity, Network Centrality

18.

Asset Allocation Strategies Based on Penalized Quantile Regression

Number of pages: 34 Posted: 03 Jul 2015
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 151 (331,296)
Citation 4

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Quantile regression, l1-norm penalty, pessimistic asset allocation

19.

Tail Risks in Large Portfolio Selection: Penalized Quantile and Expectile Minimum Deviation Models

Number of pages: 39 Posted: 26 May 2020 Last Revised: 04 Sep 2020
Rosella Giacometti, Gabriele Torri and Sandra Paterlini
University of Bergamo, University of Bergamo and University of Trento - Department of Economics and Management
Downloads 149 (334,977)
Citation 2

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Tail Risk, Expectiles, Quantiles, Regularization, Portfolio Optimization

20.

Evaluation of the Pandemic Impact on Global Automotive Supply Chain through Network Analysis

Number of pages: 38 Posted: 23 Jun 2022
CEFIN Centro Studi di Banca e Finanza - Università di Modena e Reggio Emilia, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Dipartimento di Economia Marco Biagi di Modena, University of Trento - Department of Economics and Management, University of Trento - Department of Economics and Management and Università degli studi di Modena e Reggio Emilia (UNIMORE) - Department of Physics, Informatics, and Mathematics
Downloads 130 (372,580)

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Network analysis; global automotive sector; supply chain; COVID-19

21.

Decomposing and Backtesting a Flexible Specification for CoVaR

Number of pages: 44 Posted: 05 Dec 2017
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 126 (381,484)
Citation 5

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CoVaR, CaViaR, Systemic Risk, Backtest, Decomposition

22.

Undiversifying During Crises: Is It a Good Idea?

FRB of Cleveland Working Paper No. 16-28
Number of pages: 38 Posted: 05 Dec 2016
Margherita Giuzio and Sandra Paterlini
European Central Bank (ECB) and University of Trento - Department of Economics and Management
Downloads 126 (381,484)

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minimum variance portfolio, sparsity, diversification, regularization methods

23.

Un-Diversifying During Crises: Is It a Good Idea?

Number of pages: 36 Posted: 01 Aug 2016 Last Revised: 22 Nov 2016
Margherita Giuzio and Sandra Paterlini
European Central Bank (ECB) and University of Trento - Department of Economics and Management
Downloads 126 (381,484)
Citation 2

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Minimum Variance portfolio, Sparsity, Diversification, Regularization Methods

24.

Robust and Sparse Banking Network Estimation

Number of pages: 35 Posted: 24 Aug 2017
Gabriele Torri, Rosella Giacometti and Sandra Paterlini
University of Bergamo, University of Bergamo and University of Trento - Department of Economics and Management
Downloads 110 (421,518)
Citation 9

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Finance, Financial Networks, Tlasso, Graphical Models, Strength Centrality

25.

Smoothed Semicovariance Estimation for Portfolio Selection

Number of pages: 24 Posted: 23 Mar 2021 Last Revised: 21 Jun 2023
Free University of Bozen-Bolzano, Faculty of Economics and Management, University of Trento - Department of Economics and Management, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 101 (448,010)
Citation 1

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semivariance, smoothed semicovariance, portfolio optimization, skewness

26.

Spillovers in Europe: The Role of ESG

Number of pages: 31 Posted: 01 May 2023
Karoline Bax, Giovanni Bonaccolto and Sandra Paterlini
University of Trento - Department of Economics and Management, University "Kore" of Enna and University of Trento - Department of Economics and Management
Downloads 97 (460,142)

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ESG, sustainability, systemic risks, network analysis, financial stability

The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios

ECB Working Paper No. 2384
Number of pages: 41 Posted: 30 Mar 2020
Ben R. Craig, Margherita Giuzio and Sandra Paterlini
Federal Reserve Bank of Cleveland, European Central Bank (ECB) and University of Trento - Department of Economics and Management
Downloads 49 (678,625)

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bank regulation, diversification, home bias, sovereign-bank nexus, sovereign risk

The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios

FRB of Cleveland Working Paper No. 19-12
Number of pages: 50 Posted: 28 May 2019
Ben R. Craig, Margherita Giuzio and Sandra Paterlini
Federal Reserve Bank of Cleveland, European Central Bank (ECB) and University of Trento - Department of Economics and Management
Downloads 47 (691,371)
Citation 1

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bank regulation, sovereign-bank nexus, sovereign risk, home bias, diversification

28.

The Worldwide Impact of COVID-19 on Supply Chains

Number of pages: 32 Posted: 24 May 2022
Yi Zhu, Elisa Flori, Francesco Pattarin and Sandra Paterlini
University of Trento - Department of Economics and Management, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Dipartimento di Economia Marco Biagi di Modena, CEFIN Centro Studi di Banca e Finanza - Università di Modena e Reggio Emilia and University of Trento - Department of Economics and Management
Downloads 93 (472,925)

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COVID-19; Supply chains; Literature review

29.

Efficient and Robust Estimation for Financial Returns: An Approach Based on q-Entropy

Number of pages: 39 Posted: 10 Aug 2011
Davide Ferrari and Sandra Paterlini
University of Melbourne and University of Trento - Department of Economics and Management
Downloads 92 (476,229)
Citation 3

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q-entropy, robust estimation, power-divergence, financial returns

30.

Estimating Time-Varying Networks With a State-Space Model

Number of pages: 34 Posted: 08 Feb 2021
Shaowen Liu, Massimiliano Caporin and Sandra Paterlini
University of Padova - Department of Statistical Sciences, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 87 (492,965)
Citation 1

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state-space mode, dynamic network, spatial dependence, sequential fiters

31.

A generalized precision matrix for non-Gaussian multivariate distributions with applications to portfolio optimization

Number of pages: 34 Posted: 06 Apr 2022 Last Revised: 25 Oct 2023
Emanuele Taufer, Karoline Bax and Sandra Paterlini
affiliation not provided to SSRN, University of Trento - Department of Economics and Management and University of Trento - Department of Economics and Management
Downloads 65 (581,639)

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Generalized Precision Matrix, heavy tails, multivariate t distribution, multivariate skew-normal and skew-t distributions, minimum-variance portfolio

32.

Sparse Graphical Modelling for Minimum Variance Portfolios

Number of pages: 42 Posted: 13 Mar 2023
University of Trento, Kore University of Enna - School of Economics and Law, cEBS Universität für Wirtschaft und Recht, University of Trento - Department of Economics and Management and University of Wroclaw
Downloads 50 (658,608)

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Finance, Minimum Variance Portfolio, Precision Matrix Estimation, Graphical Slope, Tslope

33.

Recreating Banking Networks under Decreasing Fixed Costs

FRB of Cleveland Working Paper No. 19-21
Number of pages: 30 Posted: 13 Nov 2019
Dietmar G. Maringer, Ben R. Craig and Sandra Paterlini
University of Vienna, Federal Reserve Bank of Cleveland and University of Trento - Department of Economics and Management
Downloads 49 (664,336)

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banking networks, network models, optimization

34.

The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios

ESRB Working Paper No. 89 / March 2019
Number of pages: 48 Posted: 31 May 2017 Last Revised: 29 Jul 2019
Ben R. Craig, Margherita Giuzio and Sandra Paterlini
Federal Reserve Bank of Cleveland, European Central Bank (ECB) and University of Trento - Department of Economics and Management
Downloads 46 (682,345)
Citation 1

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Bank regulation; sovereign-bank nexus; sovereign risk; home bias; diversification

35.

Sparse and Robust Normal and t-Portfolios by Penalized Lq-Likelihood Minimization

Number of pages: 31 Posted: 22 May 2014 Last Revised: 02 Jun 2017
Davide Ferrari, Margherita Giuzio and Sandra Paterlini
University of Melbourne, European Central Bank (ECB) and University of Trento - Department of Economics and Management
Downloads 44 (701,193)
Citation 1

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q-entropy, penalized least squares, sparsity, index tracking

36.

Vine Copula Based Dependence Modeling in Sustainable Finance

Number of pages: 39 Posted: 08 Nov 2022
Technische Universität München (TUM) - Department of Mathematics, University of Trento - Department of Economics and Management, Technische Universität München (TUM), Ludwig Maximilian University of Munich (LMU) - Department of Statistics, Technische Universität München (TUM) - Department of Mathematics and University of Trento - Department of Economics and Management
Downloads 41 (714,499)

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Copulas, Vine Copulas, cross sectional and temporal dependence, ESG, sustainability PACS: 0000, 1111

37.

The Effect of Possible EU Diversification Requirements on the Risk of Banks' Sovereign Bond Portfolios

ESRB: Working Paper Series No. 2019/89
Number of pages: 48 Posted: 05 Nov 2020
Ben R. Craig, Margherita Giuzio and Sandra Paterlini
Federal Reserve Bank of Cleveland, European Central Bank (ECB) and University of Trento - Department of Economics and Management
Downloads 26 (828,083)

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bank regulation, diversification, home bias, sovereign-bank nexus, sovereign risk

38.

Sustainability Transmission through Focal Nodes in Supply Chain Networks

Finance Research Letters, Forthcoming
Number of pages: 14 Posted: 31 Oct 2023
Karoline Bax, Sebastian Müller and Sandra Paterlini
University of Trento - Department of Economics and Management, Technische Universität München (TUM) - TUM School of Management and University of Trento - Department of Economics and Management
Downloads 19 (891,670)

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Supply Chain, ESG, Sustainability, Customers, Suppliers

39.

Generalized precision matrices to capture financial dependence

Number of pages: 35 Posted: 01 Dec 2023
University of Bergamo, University of Debrecen - Institute of Mathematics and Informatics, affiliation not provided to SSRN, University of Bergamo and University of Trento - Department of Economics and Management
Downloads 9 (1,013,923)

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Generalized Precision Matrix, Interconnectedness, Gram-Charlier, Tail Dependence

40.

Did the Dodd-Frank Act Impact Private Fund Performance ? – Evidence from 2010 – 2015

Number of pages: 38 Posted: 02 Aug 2016
Wulf A. Kaal, Barbara Luppi, Barbara Luppi and Sandra Paterlini
University of St. Thomas, Minnesota - School of Law, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of St. Thomas School of Law and University of Trento - Department of Economics and Management
Downloads 8 (997,492)

Abstract:

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Dodd-Frank Act, Private Funds, Performance, Regression Discontinuity Design

41.

Sparse Index Clones via the Sorted L1-Norm

Quantitative Finance (forthcoming)
Posted: 02 Jul 2019 Last Revised: 29 Jul 2021
affiliation not provided to SSRNEBS Universität für Wirtschaft und Recht, Wroclaw University of Technology, University of Wroclaw and University of Trento - Department of Economics and Management

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Index Tracking, Hedge Fund Clones, Regularization, SLOPE

42.

Sparse Portfolio Selection via the Sorted L1 - Norm

Posted: 09 Oct 2017 Last Revised: 05 Nov 2019
affiliation not provided to SSRNEBS Universität für Wirtschaft und Recht, Hanyang University ERICA, University of Wroclaw and University of Trento - Department of Economics and Management

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Portfolio Management, Markowitz Model, Sorted L1-Norm Regularization; Alternating Direction Method of Multipliers

43.

The Components of Private Debt Performance

Posted: 06 May 2017 Last Revised: 22 May 2019
Margherita Giuzio, Andreas Gintschel and Sandra Paterlini
European Central Bank (ECB), Prime Capital AG and University of Trento - Department of Economics and Management
Downloads 0 (1,058,168)

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Private Debt, Liquidity Premium, Diversification, Portfolio Selection

44.

Risk Minimization in Multi-Factor Portfolios: What is the Best Strategy?

Annals of Operations Research, Forthcoming
Posted: 30 Mar 2017 Last Revised: 10 Apr 2017
affiliation not provided to SSRNEBS Universität für Wirtschaft und Recht, JP Morgan and University of Trento - Department of Economics and Management

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Risk Factors, Minimum Risk Portfolio, Regularization, Portfolio Optimization, Transaction Cost

Other Papers (1)

Total Downloads: 7
1.

Did the Dodd-Frank Act Impact Private Fund Performance ? – Evidence from 2010 – 2015

Number of pages: 38 Posted: 11 Jul 2016
Wulf A. Kaal, Barbara Luppi, Barbara Luppi and Sandra Paterlini
University of St. Thomas, Minnesota - School of Law, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and EconomicsUniversity of St. Thomas School of Law and University of Trento - Department of Economics and Management
Downloads 7

Abstract:

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Dodd-Frank Act, Private Funds, Performance, Regression Discontinuity Design