Sandra Paterlini

University of Trento - Department of Economics and Management

Via Inama 5

Trento, I-38100

Italy

SCHOLARLY PAPERS

33

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4,227

SSRN CITATIONS
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SSRN RANKINGS

Top 18,425

in Total Papers Citations

35

CROSSREF CITATIONS

23

Scholarly Papers (33)

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 484 (72,495)
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 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 393 (92,697)
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 353 (104,828)
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
European Central Bank (ECB), EBS Universität für Wirtschaft und Recht, University of Trento - Department of Economics and Management and Resonanz Capital
Downloads 296 (126,839)

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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 289 (130,159)
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 276 (136,598)
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 247 (152,700)

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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 221 (169,918)

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

9.
Downloads 210 (178,299)
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 210 (178,036)
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 203 (183,978)
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 166 (219,664)
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
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 158 (229,049)

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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 (296,239)

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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
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 105 (311,756)
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 (317,938)
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 91 (342,022)
Citation 1

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Tail Risk, Expectiles, Quantiles, Regularization, Portfolio Optimization

17.

Decomposing and Backtesting a Flexible Specification for CoVaR

Number of pages: 44 Posted: 05 Dec 2017
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 86 (354,157)
Citation 2

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CoVaR, CaViaR, Systemic Risk, Backtest, Decomposition

18.

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 86 (354,157)
Citation 7

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

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 (380,847)
Citation 3

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

20.

ESG, Risk, and (Tail) Dependence

Number of pages: 31 Posted: 18 May 2021
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 74 (386,635)

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

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 27 (598,068)
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 13 (704,543)

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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 (531,599)
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 34 (541,960)

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

24.

Smoothed Semicovariance Estimation

Number of pages: 20 Posted: 23 Mar 2021 Last Revised: 18 May 2021
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 30 (569,452)

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downside risk, semivariance, portfolio optimization

25.

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 22 (614,525)
Citation 1

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

26.

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 18 (642,316)

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banking networks, network models, optimization

27.

ESGM: ESG scores and the Missing pillar

Number of pages: 23 Posted: 24 Jul 2021
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 10 (701,896)

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Dependence, ESG pillar, ESG rating methodology, missing data, risk

28.

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 7 (725,207)

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

29.

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
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 (777,662)
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Loan guarantee network, SMEs financing, Default contagion, Systemic risk, Stress testing

30.

Sparse Index Clones via the Sorted L1-Norm

Quantitative Finance (forthcoming)
Posted: 02 Jul 2019 Last Revised: 29 Jul 2021
EBS 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

31.

Sparse Portfolio Selection via the Sorted L1 - Norm

Posted: 09 Oct 2017 Last Revised: 05 Nov 2019
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

32.

The Components of Private Debt Performance

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 (794,698)

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Private Debt, Liquidity Premium, Diversification, Portfolio Selection

33.

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