Sandra Paterlini

EBS Universität für Wirtschaft und Recht

Gustav-Stresemann-Ring 3

Wiesbaden, Hessen 65189

Germany

SCHOLARLY PAPERS

22

DOWNLOADS
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3,016

CITATIONS

1

Scholarly Papers (22)

1.

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, EBS Universität für Wirtschaft und Recht and Ludwig Maximilians University of Munich
Downloads 271 (80,773)

Abstract:

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

2.

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, EBS Universität für Wirtschaft und Recht and University of Giessen - Department of Economics
Downloads 234 (75,096)

Abstract:

Minimum Variance Portfolio, Statistical Regularization, Non-Convex Penalties

3.

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
EBS Universität für Wirtschaft und Recht, University of Kiel - Institute of Statistics & Econometrics and Ludwig Maximilians University of Munich
Downloads 226 (109,767)

Abstract:

Mutual funds, Expense ratios, Price sensitivity

4.
Downloads 183 (139,526)

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 EBS Universität für Wirtschaft und Recht
Downloads 183 (139,441)
Citation 1

Abstract:

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 EBS Universität für Wirtschaft und Recht

Abstract:

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

5.

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

Number of pages: 27 Posted: 17 Apr 2013
Eike Christian Brechmann, Claudia Czado and Sandra Paterlini
Technische Universität München (TUM), Technische Universität München (TUM) and EBS Universität für Wirtschaft und Recht
Downloads 180 (109,767)

Abstract:

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, EBS Universität für Wirtschaft und Recht and University of Giessen - Department of Economics
Downloads 175 (117,088)

Abstract:

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

7.

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, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and Economics and EBS Universität für Wirtschaft und Recht
Downloads 166 (94,556)

Abstract:

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

8.

Tracking Hedge Funds Using Sparse Clones

Number of pages: 26 Posted: 10 Aug 2015 Last Revised: 12 Sep 2016
EBS Universität für Wirtschaft und Recht, EBS Universität für Wirtschaft und Recht, EBS Universität für Wirtschaft und Recht and Prime Capital AG
Downloads 105 (104,254)

Abstract:

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

9.

Modeling Dependence of Operational Loss Frequencies

Number of pages: 16 Posted: 27 Oct 2013
Eike Christian Brechmann, Claudia Czado and Sandra Paterlini
Technische Universität München (TUM), Technische Universität München (TUM) and EBS Universität für Wirtschaft und Recht
Downloads 94 (172,685)

Abstract:

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

10.

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, EBS Universität für Wirtschaft und Recht and affiliation not provided to SSRN
Downloads 87 (210,183)

Abstract:

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

11.

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 EBS Universität für Wirtschaft und Recht
Downloads 51 (295,792)

Abstract:

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

12.

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, Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and Economics and EBS Universität für Wirtschaft und Recht
Downloads 37 (140,205)

Abstract:

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

13.

Asset Allocation Strategies Based on Penalized Quantile Regression

Number of pages: 34 Posted: 03 Jul 2015
University of Padova - Department of Statistical Sciences, University of Padua - Department of Statistical Sciences and EBS Universität für Wirtschaft und Recht
Downloads 36 (257,147)

Abstract:

Quantile regression, l1-norm penalty, pessimistic asset allocation

14.

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, EBS Universität für Wirtschaft und Recht and EBS Universität für Wirtschaft und Recht
Downloads 7 (513,967)

Abstract:

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

15.

Sparse Portfolio Selection Via the Sorted L1 - Norm

Number of pages: 41 Posted: 09 Oct 2017
EBS Universität für Wirtschaft und Recht, Hanyang University ERICA, University of Wroclaw and EBS Universität für Wirtschaft und Recht
Downloads 0 (467,805)

Abstract:

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

16.

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 EBS Universität für Wirtschaft und Recht
Downloads 0 (436,498)

Abstract:

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

17.

Effects of Diversification and Capital Buffers on the EU Sovereign-Bank Network

Number of pages: 55 Posted: 31 May 2017 Last Revised: 19 Oct 2017
Margherita Giuzio, Ben R. Craig and Sandra Paterlini
EBS Universität für Wirtschaft und Recht, Federal Reserve Bank of Cleveland and EBS Universität für Wirtschaft und Recht
Downloads 0 (457,401)

Abstract:

Sovereign-Bank Network; Diversification; Systemic Risk

18.

Sparse Precision Matrices for Minimum Variance Portfolios

Number of pages: 25 Posted: 10 May 2017
Gabriele Torri, Rosella Giacometti and Sandra Paterlini
University of Bergamo, University of Bergamo and EBS Universität für Wirtschaft und Recht
Downloads 0 (255,245)

Abstract:

minimum variance, precision matrix, graphical lasso, tlasso

19.

The Components of Private Debt Performance

Number of pages: 26 Posted: 06 May 2017 Last Revised: 06 Sep 2017
Margherita Giuzio, Andreas Gintschel and Sandra Paterlini
EBS Universität für Wirtschaft und Recht, Prime Capital AG and EBS Universität für Wirtschaft und Recht
Downloads 0 (271,225)

Abstract:

Private Debt, Liquidity Premium, Diversification, Portfolio Selection

20.

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 J. Kremer, Andreea Talmaciu and Sandra Paterlini
EBS Universität für Wirtschaft und Recht, JP Morgan and EBS Universität für Wirtschaft und Recht

Abstract:

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

21.

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
EBS Universität für Wirtschaft und Recht and EBS Universität für Wirtschaft und Recht
Downloads 0 (249,667)

Abstract:

minimum variance portfolio, sparsity, diversification, regularization methods

22.

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
EBS Universität für Wirtschaft und Recht and EBS Universität für Wirtschaft und Recht
Downloads 0 (247,783)

Abstract:

Minimum Variance portfolio, Sparsity, Diversification, Regularization Methods