Details about Sandra Paterlini
Access statistics for papers by Sandra Paterlini.
Last updated 2022-10-28. Update your information in the RePEc Author Service.
Short-id: ppa333
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Working Papers
2022
- A generalized precision matrix for t-Student distributions in portfolio optimization
Papers, arXiv.org 
- Environmental, Social, Governance scores and the Missing pillar -- Why does missing information matter?
Papers, arXiv.org View citations (8)
See also Journal Article Environmental, Social, Governance scores and the Missing pillar—Why does missing information matter?, Corporate Social Responsibility and Environmental Management, John Wiley & Sons (2022) View citations (6) (2022)
2021
- ESG, Risk, and (Tail) Dependence
Papers, arXiv.org
2020
- The effect of possible EU diversification requirements on the risk of banks’ sovereign bond portfolios
Working Paper Series, European Central Bank View citations (2)
Also in ESRB Working Paper Series, European Systemic Risk Board (2019) View citations (2)
Working Papers, Federal Reserve Bank of Cleveland (2019) View citations (3)
2019
- Modelling Extremal Dependence for Operational Risk by a Bipartite Graph
DEM Working Papers, Department of Economics and Management
Also in Papers, arXiv.org (2019)
See also Journal Article Modelling extremal dependence for operational risk by a bipartite graph, Journal of Banking & Finance, Elsevier (2020) View citations (2) (2020)
- Recreating Banking Networks under Decreasing Fixed Costs
Working Papers, Federal Reserve Bank of Cleveland View citations (1)
2017
- Sparse Portfolio Selection via the sorted $\ell_{1}$-Norm
Papers, arXiv.org View citations (1)
2016
- Undiversifying during Crises: Is It a Good Idea?
Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (2)
See also Journal Article Un-diversifying during crises: Is it a good idea?, Computational Management Science, Springer (2019) View citations (4) (2019)
2015
- Asset Allocation Strategies Based On Penalized Quantile Regression
"Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno"
Also in Papers, arXiv.org (2015)
See also Journal Article Asset allocation strategies based on penalized quantile regression, Computational Management Science, Springer (2018) View citations (7) (2018)
2012
- Adaptive Minimax Estimation over Sparse l q-Hulls
Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi"
Also in Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2012)
- Exact and Heuristic Approaches for the Index Tracking Problem with UCITS Constraints
Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" View citations (5)
Also in Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2012) View citations (4)
See also Journal Article Exact and heuristic approaches for the index tracking problem with UCITS constraints, Annals of Operations Research, Springer (2013) View citations (14) (2013)
2011
- Cardinality versus q-Norm Constraints for Index Tracking
Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" View citations (11)
Also in Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2011) View citations (3)
See also Journal Article Cardinality versus q -norm constraints for index tracking, Quantitative Finance, Taylor & Francis Journals (2014) View citations (18) (2014)
- Operational–risk Dependencies and the Determination of Risk Capital
Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" View citations (5)
2010
- Efficient and robust estimation for financial returns: an approach based on q-entropy
Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" View citations (2)
Also in Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" (2010) View citations (2)
2009
- Differential Evolution and Combinatorial Search for Constrained Index Tracking
Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (56)
See also Journal Article Differential evolution and combinatorial search for constrained index-tracking, Annals of Operations Research, Springer (2009) View citations (56) (2009)
- Optimization Heuristics for Determining Internal Rating Grading Scales
Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (20)
Also in Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2008) View citations (24)
Working Papers, COMISEF (2008)
See also Journal Article Optimization heuristics for determining internal rating grading scales, Computational Statistics & Data Analysis, Elsevier (2010) View citations (14) (2010)
2008
- Differential Evolution for Multiobjective Portfolio Optimization
Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (5)
Also in Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2008) View citations (42)
2007
- The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance
Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance), Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi" View citations (7)
Also in Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi" (2007) View citations (46)
Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2007) View citations (22)
See also Journal Article The Maximum Lq-Likelihood Method: An Application to Extreme Quantile Estimation in Finance, Methodology and Computing in Applied Probability, Springer (2009) View citations (4) (2009)
Journal Articles
2022
- Constructing banking networks under decreasing costs of link formation
Computational Management Science, 2022, 19, (1), 41-64
- Environmental, Social, Governance scores and the Missing pillar—Why does missing information matter?
Corporate Social Responsibility and Environmental Management, 2022, 29, (5), 1782-1798 View citations (6)
See also Working Paper Environmental, Social, Governance scores and the Missing pillar -- Why does missing information matter?, Papers (2022) View citations (8) (2022)
- Market making with inventory control and order book information
Quantitative Finance, 2022, 22, (3), 597-610
- Sparse index clones via the sorted ℓ1-Norm
Quantitative Finance, 2022, 22, (2), 349-366
2021
- Dynamic network analysis of North American financial institutions
Finance Research Letters, 2021, 42, (C) View citations (5)
- Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models
Quantitative Finance, 2021, 21, (2), 243-261 View citations (4)
2020
- Developing new portfolio strategies by aggregation
Annals of Operations Research, 2020, 292, (2), 933-971 View citations (5)
- Modelling extremal dependence for operational risk by a bipartite graph
Journal of Banking & Finance, 2020, 117, (C) View citations (2)
See also Working Paper Modelling Extremal Dependence for Operational Risk by a Bipartite Graph, DEM Working Papers (2019) (2019)
- Sparse portfolio selection via the sorted ℓ1-Norm
Journal of Banking & Finance, 2020, 110, (C) View citations (7)
- The Influence of Corporate Elites on Women on Supervisory Boards: Female Directors’ Inclusion in Germany
Journal of Business Ethics, 2020, 165, (2), 347-364 View citations (7)
2019
- Decomposing and backtesting a flexible specification for CoVaR
Journal of Banking & Finance, 2019, 108, (C) View citations (10)
- Default contagion and systemic risk in loan guarantee networks
Accounting and Finance, 2019, 59, (S2), 1923-1946 View citations (5)
- Sparse precision matrices for minimum variance portfolios
Computational Management Science, 2019, 16, (3), 375-400 View citations (8)
- Un-diversifying during crises: Is it a good idea?
Computational Management Science, 2019, 16, (3), 401-432 View citations (4)
See also Working Paper Undiversifying during Crises: Is It a Good Idea?, Working Papers (Old Series) (2016) View citations (2) (2016)
2018
- Asset allocation strategies based on penalized quantile regression
Computational Management Science, 2018, 15, (1), 1-32 View citations (7)
See also Working Paper Asset Allocation Strategies Based On Penalized Quantile Regression, "Marco Fanno" Working Papers (2015) (2015)
- Network topology and systemic risk: Evidence from the Euro Stoxx market
Finance Research Letters, 2018, 27, (C), 105-112 View citations (10)
- Risk minimization in multi-factor portfolios: What is the best strategy?
Annals of Operations Research, 2018, 266, (1), 255-291 View citations (14)
- Robust and sparse banking network estimation
European Journal of Operational Research, 2018, 270, (1), 51-65 View citations (20)
- Tracking hedge funds returns using sparse clones
Annals of Operations Research, 2018, 266, (1), 349-371 View citations (4)
2016
- Sparse and robust normal and t- portfolios by penalized Lq-likelihood minimization
European Journal of Operational Research, 2016, 250, (1), 251-261 View citations (5)
2015
- Constructing optimal sparse portfolios using regularization methods
Computational Management Science, 2015, 12, (3), 417-434 View citations (37)
2014
- Cardinality versus q -norm constraints for index tracking
Quantitative Finance, 2014, 14, (11), 2019-2032 View citations (18)
See also Working Paper Cardinality versus q-Norm Constraints for Index Tracking, Department of Economics (2011) View citations (11) (2011)
- Flexible dependence modeling of operational risk losses and its impact on total capital requirements
Journal of Banking & Finance, 2014, 40, (C), 271-285 View citations (31)
2013
- Exact and heuristic approaches for the index tracking problem with UCITS constraints
Annals of Operations Research, 2013, 205, (1), 235-250 View citations (14)
See also Working Paper Exact and Heuristic Approaches for the Index Tracking Problem with UCITS Constraints, Department of Economics (2012) View citations (5) (2012)
2011
- Multiobjective optimization using differential evolution for real-world portfolio optimization
Computational Management Science, 2011, 8, (1), 157-179 View citations (28)
2010
- Optimization heuristics for determining internal rating grading scales
Computational Statistics & Data Analysis, 2010, 54, (11), 2693-2706 View citations (14)
See also Working Paper Optimization Heuristics for Determining Internal Rating Grading Scales, Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) (2009) View citations (20) (2009)
- REGULAR(IZED) HEDGE FUND CLONES
Journal of Financial Research, 2010, 33, (3), 223-247 View citations (9)
2009
- Differential evolution and combinatorial search for constrained index-tracking
Annals of Operations Research, 2009, 172, (1), 153-176 View citations (56)
See also Working Paper Differential Evolution and Combinatorial Search for Constrained Index Tracking, Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) (2009) View citations (56) (2009)
- The Maximum Lq-Likelihood Method: An Application to Extreme Quantile Estimation in Finance
Methodology and Computing in Applied Probability, 2009, 11, (1), 3-19 View citations (4)
See also Working Paper The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance, Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) (2007) View citations (7) (2007)
2008
- The optimal structure of PD buckets
Journal of Banking & Finance, 2008, 32, (10), 2275-2286 View citations (8)
2007
- Using differential evolution to improve the accuracy of bank rating systems
Computational Statistics & Data Analysis, 2007, 52, (1), 68-87 View citations (17)
2006
- Differential evolution and particle swarm optimisation in partitional clustering
Computational Statistics & Data Analysis, 2006, 50, (5), 1220-1247 View citations (15)
2004
- Clustering financial time series: an application to mutual funds style analysis
Computational Statistics & Data Analysis, 2004, 47, (2), 353-372 View citations (35)
- Technological modelling for graphical models: an approach based on genetic algorithms
Computational Statistics & Data Analysis, 2004, 47, (2), 323-337 View citations (1)
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