Sandra Paterlini

University of Trento - Department of Economics and Management

Via Inama 5

Trento, I-38100

Italy

  • University of Trento - Department of Economics and Management

SCHOLARLY PAPERS

24

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CITATIONS
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45

Scholarly Papers (24)

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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 405 (70,851)
Citation 9

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Minimum Variance Portfolio, Statistical Regularization, Non-Convex Penalties

2.

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 and Sandra Paterlini
University of St. Thomas, Minnesota - School of Law, University of St. Thomas School of Law and University of Trento - Department of Economics and Management
Downloads 339 (87,072)
Citation 1

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

3.

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 330 (89,729)
Citation 6

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

4.

Tracking Hedge Funds Using Sparse Clones

Number of pages: 26 Posted: 10 Aug 2015 Last Revised: 12 Sep 2016
Margherita Giuzio, Kay Eichhorn-Schott, Sandra Paterlini and Vincent Weber
European Central Bank (ECB), EBS Universität für Wirtschaft und Recht, University of Trento - Department of Economics and Management and Resonanz Capital
Downloads 277 (108,478)

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

5.

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) and University of Trento - Department of Economics and Management
Downloads 260 (115,903)
Citation 14

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

6.

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 255 (118,301)
Citation 6

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

7.

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 243 (124,210)

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Mutual funds, Expense ratios, Price sensitivity

8.

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 and Sandra Paterlini
University of St. Thomas, Minnesota - School of Law, University of St. Thomas School of Law and University of Trento - Department of Economics and Management
Downloads 207 (145,148)

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

9.

Regular(Ized) Hedge Fund Clones

Downloads 196 (152,854)
Citation 5

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 196 (152,718)
Citation 9

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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

10.

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) and University of Trento - Department of Economics and Management
Downloads 154 (188,914)
Citation 4

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

11.

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 144 (199,648)
Citation 2

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minimum variance, precision matrix, graphical lasso, tlasso

12.

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

Number of pages: 18 Posted: 26 May 2012
Andrea Scozzari, Fabio Tardella, Sandra Paterlini and Thiemo Krink
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 129 (218,038)
Citation 2

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

13.

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 100 (261,898)

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minimum variance portfolio, sparsity, diversification, regularization methods

14.

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 99 (263,674)

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Minimum Variance portfolio, Sparsity, Diversification, Regularization Methods

15.

Asset Allocation Strategies Based on Penalized Quantile Regression

Number of pages: 34 Posted: 03 Jul 2015
Giovanni Bonaccolto, Massimiliano Caporin and Sandra Paterlini
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 95 (270,822)

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Quantile regression, l1-norm penalty, pessimistic asset allocation

16.

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 70 (327,799)
Citation 2

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

17.

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 66 (335,703)

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

18.

Sparse Portfolio Selection via the Sorted L1 - Norm

Number of pages: 61 Posted: 09 Oct 2017 Last Revised: 02 Jan 2018
Philipp Kremer, Sangkyun Lee, Malgorzata Bogdan and Sandra Paterlini
EBS Universität für Wirtschaft und Recht, Hanyang University ERICA, University of Wroclaw and University of Trento - Department of Economics and Management
Downloads 58 (358,214)
Citation 1

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

19.

Decomposing and Backtesting a Flexible Specification for CoVaR

Number of pages: 44 Posted: 05 Dec 2017
Giovanni Bonaccolto, Massimiliano Caporin and Sandra Paterlini
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 49 (386,823)

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CoVaR, CaViaR, Systemic Risk, Backtest, Decomposition

20.

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 16 (538,334)
Citation 1

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

21.

Sparse Index Clones via the Sorted L1-Norm

Number of pages: 30 Posted: 02 Jul 2019
Philipp Kremer, Damian Brzyski, Malgorzata Bogdan and Sandra Paterlini
EBS Universität für Wirtschaft und Recht, Wroclaw University of Technology, University of Wroclaw and University of Trento - Department of Economics and Management
Downloads 12 (568,364)

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Index Tracking, Hedge Fund Clones, Regularization, SLOPE

22.

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 12 (562,239)

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

23.

The Components of Private Debt Performance

https://doi.org/10.3905/jai.2018.20.4.021
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 (661,885)

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Private Debt, Liquidity Premium, Diversification, Portfolio Selection

24.

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
Philipp Kremer, Andreea Talmaciu and Sandra Paterlini
EBS 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