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The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios
Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2019
Persistent link: https://www.econbiz.de/10012060359
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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
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Constructing banking networks under decreasing costs of link formation
Maringer, Dietmar G.; Craig, Ben R.; Paterlini, Sandra - In: Computational management science 19 (2022) 1, pp. 41-64
Persistent link: https://www.econbiz.de/10012817292
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Recreating banking networks under decreasing fixed costs
Maringer, Dietmar G.; Craig, Ben R.; Paterlini, Sandra - 2019
Persistent link: https://www.econbiz.de/10012136924
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Essays in portfolio selection
Giuzio, Margherita - 2017
Persistent link: https://www.econbiz.de/10011914236
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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
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Undiversifying during crises : is it a good idea?
Giuzio, Margherita; Paterlini, Sandra - 2016
Persistent link: https://www.econbiz.de/10011593655
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Un-diversifying during crises : is it a good idea?
Giuzio, Margherita; Paterlini, Sandra - In: Computational Management Science : CMS 16 (2019) 3, pp. 401-432
Persistent link: https://www.econbiz.de/10012053146
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The components of private debt performance
Giuzio, Margherita; Gintschel, Andreas; Paterlini, Sandra - In: The journal of alternative investments 20 (2018) 4, pp. 21-35
Persistent link: https://www.econbiz.de/10011876285
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Tracking hedge funds returns using sparse clones
Giuzio, Margherita; Eichhorn-Schott, Kay; Paterlini, Sandra - In: Analytical models for financial modeling and risk management, (pp. 349-371). 2018
Persistent link: https://www.econbiz.de/10011897189