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

32

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33

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23

Scholarly Papers (32)

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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 475 (72,425)
Citation 11

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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 391 (91,112)
Citation 3

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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 352 (102,759)
Citation 2

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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 293 (125,391)

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

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 285 (129,133)
Citation 3

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

6.

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 274 (134,584)
Citation 3

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

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 246 (150,015)

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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 220 (166,970)

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

9.

Regular(Ized) Hedge Fund Clones

Downloads 207 (176,804)
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 207 (176,568)
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

10.

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 194 (187,654)
Citation 3

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minimum variance, precision matrix, graphical lasso, tlasso

11.

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 162 (219,473)
Citation 1

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

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 152 (231,451)

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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 113 (290,319)

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minimum variance portfolio, sparsity, diversification, regularization methods

14.

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 103 (309,561)
Citation 4

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Quantile regression, l1-norm penalty, pessimistic asset allocation

15.

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 102 (311,595)
Citation 2

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Minimum Variance portfolio, Sparsity, Diversification, Regularization Methods

16.

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 87 (344,859)
Citation 1

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Tail Risk, Expectiles, Quantiles, Regularization, Portfolio Optimization

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 84 (352,133)
Citation 7

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

18.

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 83 (354,619)
Citation 2

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CoVaR, CaViaR, Systemic Risk, Backtest, Decomposition

19.

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 76 (373,350)
Citation 3

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

20.

Sparse Index Clones via the Sorted L1-Norm

Number of pages: 27 Posted: 02 Jul 2019 Last Revised: 17 Dec 2020
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 69 (393,861)

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Index Tracking, Hedge Fund Clones, Regularization, SLOPE

21.

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

Downloads 37 (516,290)
Citation 1

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 26 (593,035)
Citation 1

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

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 11 (706,874)

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

22.

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 36 (521,054)
Citation 1

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

23.

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 30 (552,493)

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

24.

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 19 (622,509)
Citation 1

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

25.

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 15 (650,580)

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banking networks, network models, optimization

26.

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 5 (725,824)

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

27.

ESG, Risk, and (Tail) Dependence

Number of pages: 31
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) and University of Trento - Department of Economics and Management
Downloads 2

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

28.

Default Contagion and Systemic Risk in Loan Guarantee Networks

Accounting & Finance, Vol. 59, pp. 1923-1946, 2019
Number of pages: 24 Posted: 19 Mar 2020
Wenwei Li, Shenglin Ben, Ulrich Hommel, Sandra Paterlini and Jiefang Yu
Zhejiang University, affiliation not provided to SSRN, EBS Business School, University of Trento - Department of Economics and Management and affiliation not provided to SSRN
Downloads 1 (764,317)
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Loan guarantee network, SMEs financing, Default contagion, Systemic risk, Stress testing

29.

Smoothed Semicovariance Estimation

Number of pages: 20 Posted: 23 Mar 2021
Andrea Rigamonti, Davide Ferrari, Alex Weissensteiner and Sandra Paterlini
University of Liechtenstein, Free University of Bozen-Bolzano, Faculty of Economics and Management, Free University of Bolzano Bozen and University of Trento - Department of Economics and Management
Downloads 21

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downside risk, semivariance, portfolio optimization

30.

Sparse Portfolio Selection via the Sorted L1 - Norm

Posted: 09 Oct 2017 Last Revised: 05 Nov 2019
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

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

31.

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 (781,931)

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Private Debt, Liquidity Premium, Diversification, Portfolio Selection

32.

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