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

38

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Top 18,150

in Total Papers Citations

33

CROSSREF CITATIONS

25

Scholarly Papers (38)

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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 538 (73,265)
Citation 12

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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, 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 418 (98,941)
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 361 (116,983)
Citation 2

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

4.

ESG, Risk, and (Tail) Dependence

Number of pages: 36 Posted: 18 May 2021 Last Revised: 07 Jun 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) and University of Trento - Department of Economics and Management
Downloads 336 (126,543)
Citation 1

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

5.

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 307 (139,206)

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

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 299 (143,023)
Citation 3

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

7.

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 285 (150,334)
Citation 3

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

8.

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 250 (171,356)

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Mutual funds, Expense ratios, Price sensitivity

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 232 (184,054)
Citation 3

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minimum variance, precision matrix, graphical lasso, tlasso

10.

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 222 (191,941)

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

11.

Regular(Ized) Hedge Fund Clones

Downloads 218 (195,378)
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 218 (195,111)
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

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 185 (226,486)

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

13.

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 170 (243,469)
Citation 1

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

14.

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

Number of pages: 30 Posted: 30 Jan 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)
Downloads 154 (264,314)

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CSR, divergence, ESG scores, optimization, Refinitiv, risk

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 120 (320,026)
Citation 4

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Quantile regression, l1-norm penalty, pessimistic asset allocation

16.

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 116 (327,706)

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minimum variance portfolio, sparsity, diversification, regularization methods

17.

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 114 (331,734)
Citation 1

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Tail Risk, Expectiles, Quantiles, Regularization, Portfolio Optimization

18.

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) and University of Trento - Department of Economics and Management
Downloads 111 (338,025)

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

19.

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 108 (344,325)
Citation 2

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Minimum Variance portfolio, Sparsity, Diversification, Regularization Methods

20.

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 93 (379,425)
Citation 7

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

21.

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 90 (387,221)
Citation 2

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CoVaR, CaViaR, Systemic Risk, Backtest, Decomposition

22.

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 77 (424,542)
Citation 3

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

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 61 (479,335)

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

24.

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

Number of pages: 20 Posted: 01 Jul 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 56 (511,302)

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ESG, sustainability, systemic risks, CoVaR, financial stability

25.

Smoothed Semicovariance Estimation for Portfolio Selection

Number of pages: 24 Posted: 23 Mar 2021 Last Revised: 26 May 2022
Davide Ferrari, Sandra Paterlini, Andrea Rigamonti and Alex Weissensteiner
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 55 (502,914)
Citation 1

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semivariance, smoothed semicovariance, portfolio optimization, skewness

26.

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

Number of pages: 38 Posted: 23 Jun 2022
Francesco Pattarin, Elisa Flori, Yi Zhu, Sandra Paterlini and Marco Villani
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 53 (524,421)

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

27.

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

Downloads 43 (557,173)
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 29 (653,182)
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 14 (779,104)

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

28.

Sparse Graphical Modelling for Minimum Variance Portfolios

Number of pages: 38 Posted: 06 May 2022
Riccardo Riccobello, Giovanni Bonaccolto, Philipp Kremer, Philipp Kremer, Sandra Paterlini and Malgorzata Bogdan
University of Trento - Department of Economics and Management, Kore University of Enna - School of Economics and Law, affiliation not provided to SSRNEBS Universität für Wirtschaft und Recht, University of Trento - Department of Economics and Management and University of Wroclaw
Downloads 36 (593,908)

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Minimum Variance Portfolios, Precision Matrix Estimation, Graphical Slope, Graphical Lasso, Tslope

29.

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 (593,908)
Citation 1

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

30.

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 32 (617,148)

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COVID-19; Supply chains; Literature review

31.

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 27 (649,417)
Citation 1

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

32.

A generalized precision matrix for t-Student distributions in portfolio optimization

Number of pages: 21 Posted: 06 Apr 2022
Karoline Bax, Emanuele Taufer and Sandra Paterlini
University of Trento - Department of Economics and Management, affiliation not provided to SSRN and University of Trento - Department of Economics and Management
Downloads 25 (663,640)

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eneralized Precision Matrix, t-Student distribution, heavy tails, portfolio optimization, minimum-variance portfolio

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 25 (663,640)

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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 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 12 (770,639)

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

35.

Sparse Index Clones via the Sorted L1-Norm

Quantitative Finance (forthcoming)
Posted: 02 Jul 2019 Last Revised: 29 Jul 2021
Philipp Kremer, Philipp Kremer, Damian Brzyski, Malgorzata Bogdan and Sandra Paterlini
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

36.

Sparse Portfolio Selection via the Sorted L1 - Norm

Posted: 09 Oct 2017 Last Revised: 05 Nov 2019
Philipp Kremer, Philipp Kremer, Sangkyun Lee, Malgorzata Bogdan and Sandra Paterlini
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

37.

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 (907,349)

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Private Debt, Liquidity Premium, Diversification, Portfolio Selection

38.

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, Philipp Kremer, Andreea Talmaciu and Sandra Paterlini
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