Rosella Giacometti

University of Bergamo

Prof

via dei Caniana 2

Bergamo, 24127

Italy

SCHOLARLY PAPERS

4

DOWNLOADS

417

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

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 174 (188,275)
Citation 3

Abstract:

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minimum variance, precision matrix, graphical lasso, tlasso

2.

Bayesian Estimation of Truncated Data with Applications to Operational Risk Measurement

Quantitative Finance, November 2012
Number of pages: 39 Posted: 12 May 2014 Last Revised: 13 May 2014
Xiaoping Zhou, Rosella Giacometti, Frank J. Fabozzi and Ann Tucker
Citizens Financial Group, University of Bergamo, EDHEC Business School and State University of New York (SUNY) - Department of Applied Mathematics and Statistics
Downloads 143 (221,980)

Abstract:

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Bayesian estimation, Operational risk, Truncated data, Jeffreys’ prior

3.

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 78 (337,222)
Citation 2

Abstract:

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

4.

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

Number of pages: 33 Posted: 26 May 2020
Rosella Giacometti, Gabriele Torri and Sandra Paterlini
University of Bergamo, University of Bergamo and University of Trento - Department of Economics and Management
Downloads 22 (554,687)

Abstract:

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Tail Risk, Expectiles, Quantiles, Regularization, Portfolio Optimization