Sandra Paterlini : Citation Profile

Università degli Studi di Trento

13

H index

17

i10 index

540

Citations

RESEARCH PRODUCTION:

34

Articles

31

Papers

RESEARCH ACTIVITY:

   18 years (2004 - 2022). See details.
   Cites by year: 30
   Journals where Sandra Paterlini has often published
   Relations with other researchers
   Recent citing documents: 66.    Total self citations: 29 (5.1 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppa333
   Updated: 2025-12-20    RAS profile: 2022-10-28    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Sandra Paterlini.

Is cited by:

Torricelli, Costanza (30)

Caporin, Massimiliano (14)

Winker, Peter (11)

Lyra, Marianna (10)

Magni, Carlo Alberto (10)

Zhang, Xiang (7)

Mba, Jules Clement (6)

Blueschke, Dmitri (6)

Gallo, Giovanni (6)

Giarda, Elena (6)

Rancan, Michela (5)

Cites to:

Winker, Peter (23)

Fan, Jianqing (14)

Wolf, Michael (13)

Ledoit, Olivier (13)

Uppal, Raman (13)

merton, robert (9)

Roncalli, Thierry (9)

Giannone, Domenico (8)

Gilli, Manfred (8)

Beasley, John (7)

Jagannathan, Ravi (7)

Main data

Where Sandra Paterlini has published?

Journals with more than one article published# docs
Computational Management Science6
Annals of Operations Research5
Journal of Banking & Finance5
Computational Statistics & Data Analysis5
Quantitative Finance4
European Journal of Operational Research2
Finance Research Letters2

Working Papers Series with more than one paper published# docs
Center for Economic Research (RECent) / University of Modena and Reggio E., Dept. of Economics "Marco Biagi"8
Papers / arXiv.org6
Department of Economics / University of Modena and Reggio E., Faculty of Economics "Marco Biagi"5
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"4
Working Papers / Federal Reserve Bank of Cleveland2

Recent works citing Sandra Paterlini (2025 and 2024)

YearTitle of citing document
2025A Neural Frequency-Severity Model and Its Application to Insurance Claims. (2025). Lim, Dong-Young. In: Papers. RePEc:arx:papers:2106.10770.

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2024Uniform Pessimistic Risk and its Optimal Portfolio. (2024). Hong, Sungchul ; Jeon, Jong-June. In: Papers. RePEc:arx:papers:2303.07158.

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2024Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns. (2024). Maneesoonthorn, Worapree ; Smith, Michael Stanley ; Deng, Lin. In: Papers. RePEc:arx:papers:2308.05564.

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2025ESG-coherent risk measures for sustainable investing. (2025). Dentcheva, Darinka ; Rachev, Svetlozar T ; Giacometti, Rosella ; Torri, Gabriele ; Lindquist, Brent W. In: Papers. RePEc:arx:papers:2309.05866.

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2024New approximate stochastic dominance approaches for Enhanced Indexation models. (2024). Puerto, Justo ; Cesarone, Francesco. In: Papers. RePEc:arx:papers:2401.12669.

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2024FDR-Controlled Portfolio Optimization for Sparse Financial Index Tracking. (2024). Muma, Michael ; MacHkour, Jasin ; Palomar, Daniel P. In: Papers. RePEc:arx:papers:2401.15139.

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2024Sparse Portfolio Selection via Topological Data Analysis based Clustering. (2024). Pasricha, Puneet ; Filipovi, Damir ; Goel, Anubha. In: Papers. RePEc:arx:papers:2401.16920.

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2024Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2404.18029.

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2025A Cholesky decomposition-based asset selection heuristic for sparse tangent portfolio optimization. (2025). Park, Minsu ; Lee, Yongjae ; Kim, Woo Chang ; Bae, Hyunglip ; Jeon, Haeun. In: Papers. RePEc:arx:papers:2502.11701.

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2025Modeling portfolio loss distribution under infectious defaults and immunization. (2025). Farina, Gianluca ; Torri, Gabriele ; Giacometti, Rosella. In: Papers. RePEc:arx:papers:2503.03306.

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2025A Scalable Gradient-Based Optimization Framework for Sparse Minimum-Variance Portfolio Selection. (2025). Moka, Sarat ; Asimit, Vali ; Quiroz, Matias ; Muller, Samuel. In: Papers. RePEc:arx:papers:2505.10099.

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2025Optimization Method of Multi-factor Investment Model Driven by Deep Learning for Risk Control. (2025). Li, Ruisi ; Gu, Xinhui. In: Papers. RePEc:arx:papers:2507.00332.

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2025Norms Based on Generalized Expected-Shortfalls and Applications. (2025). Zou, Zhenfeng ; Hu, Taizhong ; Gong, Shuyu. In: Papers. RePEc:arx:papers:2507.09444.

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2025EFS: Evolutionary Factor Searching for Sparse Portfolio Optimization Using Large Language Models. (2025). Liu, Chen ; Zhang, Yuan ; Luo, Haochen. In: Papers. RePEc:arx:papers:2507.17211.

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2025How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs. (2025). Guidolin, Massimo ; Andronoudis, Dimos ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp25241.

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2025Change point detection in temporal networks based on graph snapshot similarity measures. (2025). Chen, Liming ; Huang, Xianbin. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:489:y:2025:i:c:s009630032400626x.

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2024Which ESG+F dimension matters most to retail investors? An experimental study on financial decisions and future generations. (2024). Benuzzi, Matteo ; Klaser, Klaudijo ; Bax, Karoline. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635023000965.

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2024Credit risk contagion in complex companies network–Empirical research based on listed agricultural companies. (2024). Zhang, Wanjuan ; Wang, Jing. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:938-953.

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2025Improving minimum-variance portfolio through shrinkage of large covariance matrices. (2025). Shu, Lianjie ; Shi, Fangquan ; Huang, Wenpo ; He, Fangyi. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003389.

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2025Exploiting mixed-frequency characteristics in parametric Mean-Expected Shortfall portfolio selection. (2025). Chen, Yun ; Zhang, Sicheng ; Liu, Shuting. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000677.

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2025Mutual fund style drift measured using higher moments and its cash flow incentive. (2025). Chen, QI ; Yang, Dong ; Wang, Peng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940825000130.

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2024Dynamic portfolio selection with sector-specific regularization. (2024). Wang, Linqi ; Hafner, Christian M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:17-33.

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2025New estimation approaches for graphical models with elastic net penalty. (2025). Paterlini, Sandra ; Bernardini, Davide ; Taufer, Emanuele. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:258-281.

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2024Improved credit risk prediction based on an integrated graph representation learning approach with graph transformation. (2024). Chen, Zhensong ; Wang, Yunong ; Mi, Yunlong ; Shi, Yong ; Qu, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:2:p:786-801.

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2024Sparse portfolio optimization via ℓ1 over ℓ2 regularization. (2024). Wu, Zhongming ; Ge, Zhili ; Allen-Zhao, Zhihua ; Zeng, Tieyong ; Sun, Kexin. In: European Journal of Operational Research. RePEc:eee:ejores:v:319:y:2024:i:3:p:820-833.

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2025Flexible enhanced indexation models through stochastic dominance and ordered weighted average optimization. (2025). Puerto, Justo ; Cesarone, Francesco. In: European Journal of Operational Research. RePEc:eee:ejores:v:323:y:2025:i:2:p:657-670.

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2024Portfolio management of ESG-labeled energy companies based on PTV and ESG factors. (2024). Alonso, Maria-Teresa ; Esparcia, Carlos ; Diaz, Antonio. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002536.

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2025Assessing Firm ESG Performance Through Corporate Survival: The Moderating Role of Firm Size. (2025). Falini, Alberto ; Carini, Cristian ; Postiglione, Massimo. In: International Review of Financial Analysis. RePEc:eee:finana:v:100:y:2025:i:c:s1057521925000602.

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2025Chasing ESG performance: How methodologies shape outcomes. (2025). Taufer, Emanuele ; Paterlini, Sandra ; Bax, Karoline ; Benuzzi, Matteo. In: International Review of Financial Analysis. RePEc:eee:finana:v:104:y:2025:i:pa:s1057521925003266.

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2024Structured factor copulas for modeling the systemic risk of European and United States banks. (2024). Nguyen, Hoang ; Galeano, Pedro ; Ausn, Concepcin M ; Virbickait, Audron. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005532.

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2025A benchmark-asset principal component factorization for index tracking on large investment universes. (2025). Bufalo, M ; di Paolo, A ; Cesarone, F ; Orlando, G. In: Finance Research Letters. RePEc:eee:finlet:v:79:y:2025:i:c:s1544612325005070.

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2024From liquidity risk to systemic risk: A use of knowledge graph. (2024). Zhang, Xiaohu ; Chen, Ren-Raw. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923000955.

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2024Spillovers in Europe: The role of ESG. (2024). Paterlini, Sandra ; Bax, Karoline ; Bonaccolto, Giovanni. In: Journal of Financial Stability. RePEc:eee:finsta:v:72:y:2024:i:c:s1572308924000068.

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2024Tail risk network analysis of Asian banks. (2024). Powell, Robert ; Bannigidadmath, Deepa ; Pham, Thach N. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000899.

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2025ESG ratings: Disagreement across providers and effects on stock returns. (2025). Petrella, Giovanni ; Anselmi, Giulio. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:100:y:2025:i:c:s104244312500023x.

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2025Multi-period mean–variance portfolio optimization with capital injections. (2025). Zhang, Zhimin ; Li, Wenyue ; Wang, Yunyun ; Shi, Longyu. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:233:y:2025:i:c:p:400-412.

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2025Conditional generalized quantiles as systemic risk measures: Properties, estimation, and application. (2025). Syuhada, Khreshna ; Salman, A. N. M., ; Hakim, Arief. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:235:y:2025:i:c:p:60-84.

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2025Regional climate change action and corporate ESG performance - Evidence from China. (2025). Zhou, Zhifang ; Yang, Zhuoxuan ; Li, Huijia ; Liu, Jinhao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:100:y:2025:i:c:s1059056025002448.

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2024A Double Optimum New Solution Method Based on EVA and Knapsack. (2024). Chytis, Evangelos ; Liapis, Konstantinos ; Patsis, Paris ; Petropoulos, Theofanis. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:11:p:498-:d:1515492.

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2024Operational Risk Management in Banks: A Bibliometric Analysis and Opportunities for Future Research. (2024). Parkhi, Shilpa ; Mitra, Pradip Kumar ; Jadwani, Barkha. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:3:p:95-:d:1343751.

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2024An Empirical Study on ESG Evaluation of Chinese Energy Enterprises Based on High-Quality Development Goals—A Case Study of Listed Company Data. (2024). Xu, Xiaoyan ; Zhao, Hong. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:15:p:6602-:d:1448247.

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2024Mean-Variance Efficient Large Portfolios : A Simple Machine Learning Heuristic Technique based on the Two-Fund Separation Theorem. (2024). Zhang, Xiang ; Yuan, Zhining ; Costola, Michele ; Maillet, Bertrand. In: Post-Print. RePEc:hal:journl:hal-04514343.

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2024Empirical Performance of an ESG Assets Portfolio from US Market. (2024). SADEFO KAMDEM, Jules ; Benhmad, Franois ; Pokou, Fredy. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:3:d:10.1007_s10614-023-10491-3.

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2024Can machine learning make technical analysis work?. (2024). Rigamonti, Andrea. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:38:y:2024:i:3:d:10.1007_s11408-024-00451-8.

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2024The gender gap: what about board members’ perspective?. (2024). Maalej, Manel ; Khemakhem, Hanen. In: Journal of Management & Governance. RePEc:kap:jmgtgv:v:28:y:2024:i:2:d:10.1007_s10997-022-09664-3.

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2025Sex-based misconduct, media exposure, and gender diversity: evidence from the US information technology boards of directors. (2025). Petchel, Jordan ; Ramirez, Katerine ; Aslanbeigui, Nahid. In: Journal of Management & Governance. RePEc:kap:jmgtgv:v:29:y:2025:i:3:d:10.1007_s10997-024-09718-8.

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2024ESG Performance and Stock Market Responses to Geopolitical Turmoil: evidence from the Russia-Ukraine War. (2024). Ossola, Elisa ; Morelli, Caterina ; Maranzano, Paolo ; Boccaletti, Simone. In: Working Papers. RePEc:mib:wpaper:544.

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2025Norm Constrained Empirical Portfolio Optimization with Stochastic Dominance: Robust Optimization Non-Asymptotics. (2025). Arvanitis, Stelios. In: Working Paper. RePEc:qed:wpaper:1533.

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2024Nonconvex multi-period mean-variance portfolio optimization. (2024). Wu, Zhongming ; Xie, Guoyu ; Ge, Zhili ; de Simone, Valentina. In: Annals of Operations Research. RePEc:spr:annopr:v:332:y:2024:i:1:d:10.1007_s10479-023-05524-x.

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2024Penalized enhanced portfolio replication with asymmetric deviation measures. (2024). Paterlini, Sandra ; Giacometti, Rosella ; Torri, Gabriele. In: Annals of Operations Research. RePEc:spr:annopr:v:332:y:2024:i:1:d:10.1007_s10479-023-05576-z.

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2024A Bayesian learning model of hedge fund performance. (2024). Mamatzakis, Emmanuel ; Tsionas, Mike G ; Patel, Pankaj C. In: Annals of Operations Research. RePEc:spr:annopr:v:333:y:2024:i:1:d:10.1007_s10479-023-05667-x.

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2024Mean-semivariance portfolio optimization using minimum average partial. (2024). Rigamonti, Andrea ; Luivjansk, Katarna. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04736-x.

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2024Mean–variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem. (2024). Zhang, Xiang ; Costola, Michele ; Yuan, Zhining ; Maillet, Bertrand. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04881-3.

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2024Portfolio optimization for sustainable investments. (2024). Poddig, Thorsten ; Fieberg, Christian ; Varmaz, Armin. In: Annals of Operations Research. RePEc:spr:annopr:v:341:y:2024:i:2:d:10.1007_s10479-024-06189-w.

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2025Mixed frequency data and portfolio selection: A novel approach integrating DEA with mixed frequency data sources. (2025). Wang, Liukai ; Xiong, YU ; Liang, Shuhao. In: Annals of Operations Research. RePEc:spr:annopr:v:347:y:2025:i:3:d:10.1007_s10479-025-06529-4.

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2025Sparse graphical modelling for global minimum variance portfolio. (2025). Sobczyk, Piotr ; Riccobello, Riccardo ; Bonaccolto, Giovanni ; Kremer, Philipp J ; Paterlini, Sandra ; Bogdan, Magorzata. In: Computational Management Science. RePEc:spr:comgts:v:22:y:2025:i:2:d:10.1007_s10287-025-00535-4.

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2025Cardinality constrained mean-variance portfolios: a penalty decomposition algorithm. (2025). Michailidis, George ; Mousavi, Ahmad. In: Computational Optimization and Applications. RePEc:spr:coopap:v:90:y:2025:i:3:d:10.1007_s10589-025-00653-4.

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2025Unraveling Systemic Risk Transmission: An Empirical Exploration of Network Dynamics and Market Liquidity in the Financial Sector. (2025). Liu, Xin. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:16:y:2025:i:2:d:10.1007_s13132-024-01861-9.

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2025Penalized Lq-likelihood estimator and its influence function in generalized linear models. (2025). Liu, Mingqiu ; Hu, Hongchang ; Zeng, Zhen. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:88:y:2025:i:1:d:10.1007_s00184-023-00943-z.

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2024Implementation of machine learning in $$\ell _{\infty }$$ ℓ ∞ -based sparse Sharpe ratio portfolio optimization: a case study on Indian stock market. (2024). Behera, Jyotirmayee ; Kumar, Pankaj. In: Operational Research. RePEc:spr:operea:v:24:y:2024:i:4:d:10.1007_s12351-024-00867-0.

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2024Mean–variance vs trend–risk portfolio selection. (2024). Tich, Toma ; Ortobelli, Sergio ; Nedla, David. In: Review of Managerial Science. RePEc:spr:rvmgts:v:18:y:2024:i:7:d:10.1007_s11846-023-00660-x.

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2025Joint estimation of transfer learning on time series data. (2025). Yang, Yuehan ; Lou, Dan. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:1:d:10.1007_s00362-024-01629-y.

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2024The Impact of the Size of Funds on the Use of Selectivity and Market Timing by Investment Funds. (2024). Dorota, Ebrowska-Suchodolska. In: Folia Oeconomica Stetinensia. RePEc:vrs:foeste:v:24:y:2024:i:2:p:419-437:n:1020.

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2024Green finance: Evidence from large portfolios and networks during financial crises and recessions. (2024). Pedrini, Giulio ; Bonaccolto, Giovanni ; Argentiero, Amedeo. In: Corporate Social Responsibility and Environmental Management. RePEc:wly:corsem:v:31:y:2024:i:3:p:2474-2495.

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2025Risk spillover measurement of carbon trading market considering susceptible factors: A network perspective. (2025). Jiang, Qichuan ; Lian, Lanlan ; Dong, Qingli. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:1:p:493-521.

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2025Measuring the Impact of Transition Risk on Financial Markets: A Joint VaR‐ES Approach. (2025). Garciajorcano, Laura ; Sanchismarco, Lidia. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:6:p:1907-1945.

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Works by Sandra Paterlini:

YearTitleTypeCited
2015Asset Allocation Strategies Based on Penalized Quantile Regression In: Papers.
[Full Text][Citation analysis]		paper9
2015Asset Allocation Strategies Based On Penalized Quantile Regression.(2015) In: Marco Fanno Working Papers.
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This paper has nother version. Agregated cites: 9		paper
2018Asset allocation strategies based on penalized quantile regression.(2018) In: Computational Management Science.
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This paper has nother version. Agregated cites: 9		article
2017Sparse Portfolio Selection via the sorted $\ell_{1}$-Norm In: Papers.
[Full Text][Citation analysis]		paper1
2019Modelling Extremal Dependence for Operational Risk by a Bipartite Graph In: Papers.
[Full Text][Citation analysis]		paper2
2020Modelling extremal dependence for operational risk by a bipartite graph.(2020) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 2		article
2019Modelling Extremal Dependence for Operational Risk by a Bipartite Graph.(2019) In: DEM Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2021ESG, Risk, and (Tail) Dependence In: Papers.
[Full Text][Citation analysis]		paper0
2022Environmental, Social, Governance scores and the Missing pillar -- Why does missing information matter? In: Papers.
[Full Text][Citation analysis]		paper12
2022Environmental, Social, Governance scores and the Missing pillar—Why does missing information matter?.(2022) In: Corporate Social Responsibility and Environmental Management.
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This paper has nother version. Agregated cites: 12		article
2022A generalized precision matrix for t-Student distributions in portfolio optimization In: Papers.
[Full Text][Citation analysis]		paper0
2019Default contagion and systemic risk in loan guarantee networks In: Accounting and Finance.
[Full Text][Citation analysis]		article5
2010REGULAR(IZED) HEDGE FUND CLONES In: Journal of Financial Research.
[Full Text][Citation analysis]		article7
2008Optimization Heuristics for Determining Internal Rating Grading Scales In: Working Papers.
[Full Text][Citation analysis]		paper41
2010Optimization heuristics for determining internal rating grading scales.(2010) In: Computational Statistics & Data Analysis.
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2008Optimization Heuristics for Determining Internal Rating Grading Scales.(2008) In: Center for Economic Research (RECent).
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This paper has nother version. Agregated cites: 41		paper
2009Optimization Heuristics for Determining Internal Rating Grading Scales.(2009) In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance).
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This paper has nother version. Agregated cites: 41		paper
2020The effect of possible EU diversification requirements on the risk of banks’ sovereign bond portfolios In: Working Paper Series.
[Full Text][Citation analysis]		paper4
2019The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios.(2019) In: Working Papers.
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This paper has nother version. Agregated cites: 4		paper
2019The effect of possible EU diversification requirements on the risk of banks sovereign bond portfolios.(2019) In: ESRB Working Paper Series.
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This paper has nother version. Agregated cites: 4		paper
2004Technological modelling for graphical models: an approach based on genetic algorithms In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article1
2004Clustering financial time series: an application to mutual funds style analysis In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article36
2006Differential evolution and particle swarm optimisation in partitional clustering In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article8
2007Using differential evolution to improve the accuracy of bank rating systems In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article10
2016Sparse and robust normal and t- portfolios by penalized Lq-likelihood minimization In: European Journal of Operational Research.
[Full Text][Citation analysis]		article6
2018Robust and sparse banking network estimation In: European Journal of Operational Research.
[Full Text][Citation analysis]		article24
2018Network topology and systemic risk: Evidence from the Euro Stoxx market In: Finance Research Letters.
[Full Text][Citation analysis]		article11
2021Dynamic network analysis of North American financial institutions In: Finance Research Letters.
[Full Text][Citation analysis]		article6
2019Decomposing and backtesting a flexible specification for CoVaR In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article12
2020Sparse portfolio selection via the sorted ℓ1-Norm In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article15
2008The optimal structure of PD buckets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2014Flexible dependence modeling of operational risk losses and its impact on total capital requirements In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article27
2016Undiversifying during Crises: Is It a Good Idea? In: Working Papers (Old Series).
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2019Un-diversifying during crises: Is it a good idea?.(2019) In: Computational Management Science.
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2019Recreating Banking Networks under Decreasing Fixed Costs In: Working Papers.
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2020The Influence of Corporate Elites on Women on Supervisory Boards: Female Directors’ Inclusion in Germany In: Journal of Business Ethics.
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2010Efficient and robust estimation for financial returns: an approach based on q-entropy In: Department of Economics.
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2010Efficient and robust estimation for financial returns: an approach based on q-entropy.(2010) In: Center for Economic Research (RECent).
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2011Cardinality versus q-Norm Constraints for Index Tracking In: Department of Economics.
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2011Cardinality versus q-Norm Constraints for Index Tracking.(2011) In: Center for Economic Research (RECent).
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2014Cardinality versus q -norm constraints for index tracking.(2014) In: Quantitative Finance.
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2012Adaptive Minimax Estimation over Sparse l q-Hulls In: Department of Economics.
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2012Adaptive Minimax Estimation over Sparse lq-Hulls.(2012) In: Center for Economic Research (RECent).
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2012Exact and Heuristic Approaches for the Index Tracking Problem with UCITS Constraints In: Department of Economics.
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2012Exact and heuristic approaches for the index tracking problem with UCITS constraints.(2012) In: Center for Economic Research (RECent).
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2013Exact and heuristic approaches for the index tracking problem with UCITS constraints.(2013) In: Annals of Operations Research.
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2007The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance In: Department of Economics.
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2007The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance.(2007) In: Center for Economic Research (RECent).
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2007The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance.(2007) In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance).
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2009The Maximum Lq-Likelihood Method: An Application to Extreme Quantile Estimation in Finance.(2009) In: Methodology and Computing in Applied Probability.
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2008Differential Evolution for Multiobjective Portfolio Optimization In: Center for Economic Research (RECent).
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2008Differential Evolution for Multiobjective Portfolio Optimization.(2008) In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance).
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2011Operational–risk Dependencies and the Determination of Risk Capital In: Center for Economic Research (RECent).
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2009Differential Evolution and Combinatorial Search for Constrained Index Tracking In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance).
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2009Differential evolution and combinatorial search for constrained index-tracking.(2009) In: Annals of Operations Research.
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2018Tracking hedge funds returns using sparse clones In: Annals of Operations Research.
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2018Risk minimization in multi-factor portfolios: What is the best strategy? In: Annals of Operations Research.
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2020Developing new portfolio strategies by aggregation In: Annals of Operations Research.
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2015Constructing optimal sparse portfolios using regularization methods In: Computational Management Science.
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2019Sparse precision matrices for minimum variance portfolios In: Computational Management Science.
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2022Constructing banking networks under decreasing costs of link formation In: Computational Management Science.
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2011Multiobjective optimization using differential evolution for real-world portfolio optimization In: Computational Management Science.
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2021Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models In: Quantitative Finance.
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2022Sparse index clones via the sorted ℓ1-Norm In: Quantitative Finance.
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