Sandra Paterlini

Available identifiers

zbMath Open paterlini.sandraMaRDI QIDQ322442

List of research outcomes

Publication	Date of Publication	Type
Penalized enhanced portfolio replication with asymmetric deviation measures	2024-09-03	Paper
A 2-stage elastic net algorithm for estimation of sparse networks with heavy-tailed data	2023-09-19	Paper
Estimating time-varying proximity with a state–space model	2023-09-19	Paper
Market making with inventory control and order book information	2022-05-05	Paper
Constructing banking networks under decreasing costs of link formation	2022-04-20	Paper
Sparse index clones via the sorted \(\ell_1\)-norm	2022-04-05	Paper
Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models	2021-06-02	Paper
Developing new portfolio strategies by aggregation	2021-01-06	Paper
Modeling operational risk: estimation and effects of dependencies	2020-07-14	Paper
Evolutionary computation for modelling and optimization in finance	2020-07-14	Paper
Penalized least squares for optimal sparse portfolio selection	2020-07-08	Paper
A generalized description length approach for sparse and robust index tracking	2020-07-08	Paper
Un-diversifying during crises: is it a good idea?	2019-08-23	Paper
Sparse precision matrices for minimum variance portfolios	2019-08-23	Paper
Risk minimization in multi-factor portfolios: what is the best strategy?	2018-11-12	Paper
Tracking hedge funds returns using sparse clones	2018-11-12	Paper
Asset allocation strategies based on penalized quantile regression	2018-10-10	Paper
Robust and sparse banking network estimation	2018-05-31	Paper
Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization	2016-10-07	Paper
Constructing optimal sparse portfolios using regularization methods	2015-07-24	Paper
Cardinality versus \(q\)-norm constraints for index tracking	2015-04-23	Paper
Adaptive Minimax Estimation over Sparse $\ell_q$-Hulls	2014-12-08	Paper
The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance	2014-08-15	Paper
Optimization heuristics for determining internal rating grading scales	2014-04-14	Paper
Exact and heuristic approaches for the index tracking problem with UCITS constraints	2013-08-07	Paper
Differential evolution and combinatorial search for constrained index-tracking	2010-03-01	Paper
Using differential evolution to improve the accuracy of bank rating systems	2009-06-02	Paper
Differential evolution and particle swarm optimisation in partitional clustering	2008-12-11	Paper
Clustering financial time series: an application to mutual funds style analysis	2008-11-26	Paper
Technological modelling for graphical models: an approach based on genetic algorithms	2008-11-26	Paper

Research outcomes over time

This page was built for person: Sandra Paterlini