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Multiobjective optimization using differential evolution for real-world portfolio optimization

Krink, Thiemo; Paterlini, Sandra - In: Computational Management Science : CMS 8 (2011) 1/2, pp. 157-179

Persistent link: https://www.econbiz.de/10008992038

Regular(ized) hedge fund clones

Giamouridis, Daniel; Paterlini, Sandra - In: The journal of financial research 33 (2010) 3, pp. 223-247

Persistent link: https://www.econbiz.de/10008939346

Constructing optimal sparse portfolios using regularization methods

Fastrich, Björn; Paterlini, Sandra; Winker, Peter - In: Computational Management Science : CMS 12 (2015) 3, pp. 417-434

Persistent link: https://www.econbiz.de/10011285983

Sparse and robust normal and t- portfolios by penalized Lq-likelihood minimization

Giuzio, Margherita; Ferrari, Davide; Paterlini, Sandra - In: European journal of operational research : EJOR 250 (2016) 1, pp. 251-261

Persistent link: https://www.econbiz.de/10011441400

The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios

Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2019

Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the sovereign bond portfolios of the major European banks....

Persistent link: https://www.econbiz.de/10011992507