Giacometti, R.; Torri, G.; Paterlini, S. Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models. (English) Zbl 1466.91285 Quant. Finance 21, No. 2, 243-261 (2021). MSC: 91G10 62P05 62G32 PDFBibTeX XMLCite \textit{R. Giacometti} et al., Quant. Finance 21, No. 2, 243--261 (2021; Zbl 1466.91285) Full Text: DOI
Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra Sparse precision matrices for minimum variance portfolios. (English) Zbl 07097398 Comput. Manag. Sci. 16, No. 3, 375-400 (2019). MSC: 90Bxx PDFBibTeX XMLCite \textit{G. Torri} et al., Comput. Manag. Sci. 16, No. 3, 375--400 (2019; Zbl 07097398) Full Text: DOI Link
Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra Robust and sparse banking network estimation. (English) Zbl 1403.91394 Eur. J. Oper. Res. 270, No. 1, 51-65 (2018). MSC: 91G80 62P05 05C90 PDFBibTeX XMLCite \textit{G. Torri} et al., Eur. J. Oper. Res. 270, No. 1, 51--65 (2018; Zbl 1403.91394) Full Text: DOI