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Publications

by members of

Università degli Studi di Trento → Dipartimento di Economia e Management → Laboratory for Social Responsibility, Ethics and Rational Choice (LaSER)

University of Trento → Department of Economics and Management

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2022

  1. Karoline Bax & Emanuele Taufer & Sandra Paterlini, 2022, "A generalized precision matrix for t-Student distributions in portfolio optimization," Papers, arXiv.org, number 2203.13740, Mar.

2021

  1. Ozge Sahin & Karoline Bax & Claudia Czado & Sandra Paterlini, 2021, "Environmental, Social, Governance scores and the Missing pillar -- Why does missing information matter?," Papers, arXiv.org, number 2106.15466, Jun, revised Jun 2022.
  2. Karoline Bax & Ozge Sahin & Claudia Czado & Sandra Paterlini, 2021, "ESG, Risk, and (Tail) Dependence," Papers, arXiv.org, number 2105.07248, May, revised Nov 2021.

2019

  1. Ben R. Craig & Margherita Giuzio & Sandra Paterlini, 2019, "The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios," Working Papers, Federal Reserve Bank of Cleveland, number 19-12, May, DOI: 10.26509/frbc-wp-201912.
  2. Ben R. Craig & Dietmar Maringer & Sandra Paterlini, 2019, "Recreating Banking Networks under Decreasing Fixed Costs," Working Papers, Federal Reserve Bank of Cleveland, number 19-21, Nov, DOI: 10.26509/frbc-wp-201921.
  3. Oliver Kley & Claudia Klüppelberg & Sandra Paterlini, 2019, "Modelling Extremal Dependence for Operational Risk by a Bipartite Graph," DEM Working Papers, Department of Economics and Management, number 2019/2.

2017

  1. Philipp J. Kremer & Sangkyun Lee & Malgorzata Bogdan & Sandra Paterlini, 2017, "Sparse Portfolio Selection via the sorted $\ell_{1}$-Norm," Papers, arXiv.org, number 1710.02435, Oct.

2016

  1. Margherita Giuzio & Sandra Paterlini, 2016, "Undiversifying during Crises: Is It a Good Idea?," Working Papers (Old Series), Federal Reserve Bank of Cleveland, number 1628, Dec.

2015

  1. Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015, "Asset Allocation Strategies Based On Penalized Quantile Regression," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno", number 0199, Jul.

2012

  1. Andrea Scozzari & Fabio Tardella & Sandra Paterlini & Thiemo Krink, 2012, "Exact and heuristic approaches for the index tracking problem with UCITS constraints," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 081, May.
  2. Zhan Wang & Sandra Paterlini & Fuchang Gao & Yuhong Tang, 2012, "Adaptive Minimax Estimation over Sparse l q-Hulls," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 0681, Jan.

2011

  1. Bjoern Fastrich & Sandra Paterlini & Peter Winker, 2011, "Cardinality versus q-Norm Constraints for Index Tracking," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 056, Jan.
  2. Stefan Mittnik & Sandra Paterlini & Tina Yener, 2011, "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", number 070, Aug.

2010

  1. Davide Ferrari & Sandra Paterlini, 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", number 041, Feb.

2009

  1. Thiemo Krink & Stefan Mittnik & Sandra Paterlini, 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", number 0016, Mar.

2008

  1. Thiemo Krink & Sandra Paterlini, 2008, "Differential Evolution for Multiobjective Portfolio Optimization," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 021, Jun.
  2. Marianna Lyra & Johannes Paha & Sandra Paterlini & Peter Winker, 2008, "Optimization Heuristics for Determining Internal Rating Grading Scales," Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi", number 023, Sep.

2007

  1. Davide Ferrari & Sandra Paterlini, 2007, "The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance," Department of Economics, University of Modena and Reggio E., Faculty of Economics "Marco Biagi", number 555, Jun.

Journal articles

2022

  1. E. Donatoni & S. Paterlini & F. Bazzana, 2022, "Market making with inventory control and order book information," Quantitative Finance, Taylor & Francis Journals, volume 22, issue 3, pages 597-610, March, DOI: 10.1080/14697688.2022.2028888.
  2. Özge Sahin & Karoline Bax & Claudia Czado & Sandra Paterlini, 2022, "Environmental, Social, Governance scores and the Missing pillar—Why does missing information matter?," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, volume 29, issue 5, pages 1782-1798, September, DOI: 10.1002/csr.2326.
  3. Philipp J. Kremer & Damian Brzyski & Małgorzata Bogdan & Sandra Paterlini, 2022, "Sparse index clones via the sorted ℓ1-Norm," Quantitative Finance, Taylor & Francis Journals, volume 22, issue 2, pages 349-366, February, DOI: 10.1080/14697688.2021.1962539.
  4. Dietmar Maringer & Ben Craig & Sandra Paterlini, 2022, "Constructing banking networks under decreasing costs of link formation," Computational Management Science, Springer, volume 19, issue 1, pages 41-64, January, DOI: 10.1007/s10287-021-00393-w.

2021

  1. R. Giacometti & G. Torri & S. Paterlini, 2021, "Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models," Quantitative Finance, Taylor & Francis Journals, volume 21, issue 2, pages 243-261, February, DOI: 10.1080/14697688.2020.1820072.
  2. Liu, Shaowen & Caporin, Massimiliano & Paterlini, Sandra, 2021, "Dynamic network analysis of North American financial institutions," Finance Research Letters, Elsevier, volume 42, issue C, DOI: 10.1016/j.frl.2021.101921.

2020

  1. Kley, Oliver & Klüppelberg, Claudia & Paterlini, Sandra, 2020, "Modelling extremal dependence for operational risk by a bipartite graph," Journal of Banking & Finance, Elsevier, volume 117, issue C, DOI: 10.1016/j.jbankfin.2020.105855.
  2. Jie Huang & Marjo-Riitta Diehl & Sandra Paterlini, 2020, "The Influence of Corporate Elites on Women on Supervisory Boards: Female Directors’ Inclusion in Germany," Journal of Business Ethics, Springer, volume 165, issue 2, pages 347-364, August, DOI: 10.1007/s10551-019-04119-6.
  3. Giovanni Bonaccolto & Sandra Paterlini, 2020, "Developing new portfolio strategies by aggregation," Annals of Operations Research, Springer, volume 292, issue 2, pages 933-971, September, DOI: 10.1007/s10479-019-03207-0.
  4. Kremer, Philipp J. & Lee, Sangkyun & Bogdan, Małgorzata & Paterlini, Sandra, 2020, "Sparse portfolio selection via the sorted ℓ1-Norm," Journal of Banking & Finance, Elsevier, volume 110, issue C, DOI: 10.1016/j.jbankfin.2019.105687.

2019

  1. Margherita Giuzio & Sandra Paterlini, 2019, "Un-diversifying during crises: Is it a good idea?," Computational Management Science, Springer, volume 16, issue 3, pages 401-432, July, DOI: 10.1007/s10287-018-0340-y.
  2. Gabriele Torri & Rosella Giacometti & Sandra Paterlini, 2019, "Sparse precision matrices for minimum variance portfolios," Computational Management Science, Springer, volume 16, issue 3, pages 375-400, July, DOI: 10.1007/s10287-019-00344-6.
  3. Bonaccolto, Giovanni & Caporin, Massimiliano & Paterlini, Sandra, 2019, "Decomposing and backtesting a flexible specification for CoVaR," Journal of Banking & Finance, Elsevier, volume 108, issue C, DOI: 10.1016/j.jbankfin.2019.105659.
  4. Wenwei Li & Shenglin Ben & Ulrich Hommel & Sandra Paterlini & Jiefang Yu, 2019, "Default contagion and systemic risk in loan guarantee networks," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 59, issue S2, pages 1923-1946, November, DOI: 10.1111/acfi.12549.

2018

  1. Margherita Giuzio & Kay Eichhorn-Schott & Sandra Paterlini & Vincent Weber, 2018, "Tracking hedge funds returns using sparse clones," Annals of Operations Research, Springer, volume 266, issue 1, pages 349-371, July, DOI: 10.1007/s10479-016-2371-5.
  2. Li, Wenwei & Hommel, Ulrich & Paterlini, Sandra, 2018, "Network topology and systemic risk: Evidence from the Euro Stoxx market," Finance Research Letters, Elsevier, volume 27, issue C, pages 105-112, DOI: 10.1016/j.frl.2018.02.016.
  3. Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018, "Asset allocation strategies based on penalized quantile regression," Computational Management Science, Springer, volume 15, issue 1, pages 1-32, January, DOI: 10.1007/s10287-017-0288-3.
  4. Torri, Gabriele & Giacometti, Rosella & Paterlini, Sandra, 2018, "Robust and sparse banking network estimation," European Journal of Operational Research, Elsevier, volume 270, issue 1, pages 51-65, DOI: 10.1016/j.ejor.2018.03.041.
  5. Philipp J. Kremer & Andreea Talmaciu & Sandra Paterlini, 2018, "Risk minimization in multi-factor portfolios: What is the best strategy?," Annals of Operations Research, Springer, volume 266, issue 1, pages 255-291, July, DOI: 10.1007/s10479-017-2467-6.

2016

  1. Giuzio, Margherita & Ferrari, Davide & Paterlini, Sandra, 2016, "Sparse and robust normal and t- portfolios by penalized Lq-likelihood minimization," European Journal of Operational Research, Elsevier, volume 250, issue 1, pages 251-261, DOI: 10.1016/j.ejor.2015.08.056.

2015

  1. B. Fastrich & S. Paterlini & P. Winker, 2015, "Constructing optimal sparse portfolios using regularization methods," Computational Management Science, Springer, volume 12, issue 3, pages 417-434, July, DOI: 10.1007/s10287-014-0227-5.

2014

  1. Brechmann, Eike & Czado, Claudia & Paterlini, Sandra, 2014, "Flexible dependence modeling of operational risk losses and its impact on total capital requirements," Journal of Banking & Finance, Elsevier, volume 40, issue C, pages 271-285, DOI: 10.1016/j.jbankfin.2013.11.040.
  2. Bj�rn Fastrich & Sandra Paterlini & Peter Winker, 2014, "Cardinality versus q -norm constraints for index tracking," Quantitative Finance, Taylor & Francis Journals, volume 14, issue 11, pages 2019-2032, November, DOI: 10.1080/14697688.2012.691986.

2013

  1. Andrea Scozzari & Fabio Tardella & Sandra Paterlini & Thiemo Krink, 2013, "Exact and heuristic approaches for the index tracking problem with UCITS constraints," Annals of Operations Research, Springer, volume 205, issue 1, pages 235-250, May, DOI: 10.1007/s10479-012-1207-1.

2011

  1. Thiemo Krink & Sandra Paterlini, 2011, "Multiobjective optimization using differential evolution for real-world portfolio optimization," Computational Management Science, Springer, volume 8, issue 1, pages 157-179, April, DOI: 10.1007/s10287-009-0107-6.

2010

  1. Lyra, M. & Paha, J. & Paterlini, S. & Winker, P., 2010, "Optimization heuristics for determining internal rating grading scales," Computational Statistics & Data Analysis, Elsevier, volume 54, issue 11, pages 2693-2706, November.
  2. Daniel Giamouridis & Sandra Paterlini, 2010, "Regular(Ized) Hedge Fund Clones," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, volume 33, issue 3, pages 223-247, September, DOI: 10.1111/j.1475-6803.2010.01269.x.

2009

  1. Davide Ferrari & Sandra Paterlini, 2009, "The Maximum Lq-Likelihood Method: An Application to Extreme Quantile Estimation in Finance," Methodology and Computing in Applied Probability, Springer, volume 11, issue 1, pages 3-19, March, DOI: 10.1007/s11009-007-9063-1.
  2. Thiemo Krink & Stefan Mittnik & Sandra Paterlini, 2009, "Differential evolution and combinatorial search for constrained index-tracking," Annals of Operations Research, Springer, volume 172, issue 1, pages 153-176, November, DOI: 10.1007/s10479-009-0552-1.

2008

  1. Krink, Thiemo & Paterlini, Sandra & Resti, Andrea, 2008, "The optimal structure of PD buckets," Journal of Banking & Finance, Elsevier, volume 32, issue 10, pages 2275-2286, October.

2007

  1. Krink, Thiemo & Paterlini, Sandra & Resti, Andrea, 2007, "Using differential evolution to improve the accuracy of bank rating systems," Computational Statistics & Data Analysis, Elsevier, volume 52, issue 1, pages 68-87, September.

2006

  1. Paterlini, Sandra & Krink, Thiemo, 2006, "Differential evolution and particle swarm optimisation in partitional clustering," Computational Statistics & Data Analysis, Elsevier, volume 50, issue 5, pages 1220-1247, March.

2004

  1. Pattarin, Francesco & Paterlini, Sandra & Minerva, Tommaso, 2004, "Clustering financial time series: an application to mutual funds style analysis," Computational Statistics & Data Analysis, Elsevier, volume 47, issue 2, pages 353-372, September.
  2. Roverato, Alberto & Paterlini, Sandra, 2004, "Technological modelling for graphical models: an approach based on genetic algorithms," Computational Statistics & Data Analysis, Elsevier, volume 47, issue 2, pages 323-337, September.

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