5 papers
A generalized precision matrix for t-Student distributions in portfolio optimization
Karoline Bax, Emanuele Taufer, Sandra Paterlini
The Markowitz model is still the cornerstone of modern portfolio theory. In particular, when focusing on the minimum-variance portfolio, the covariance matrix or better its inverse…
A 2-stage elastic net algorithm for estimation of sparse networks with heavy tailed data
Davide Bernardini, Sandra Paterlini, Emanuele Taufer
We propose a new 2-stage procedure that relies on the elastic net penalty to estimate a network based on partial correlations when data are heavy-tailed. The new estimator allows t…
ESG, Risk, and (Tail) Dependence
Karoline Bax, Özge Sahin, Claudia Czado +1
While environmental, social, and governance (ESG) trading activity has been a distinctive feature of financial markets, the debate if ESG scores can also convey information regardi…
New estimation approaches for graphical models with elastic net penalty
Davide Bernardini, Sandra Paterlini, Emanuele Taufer
In the context of undirected Gaussian graphical models, we introduce three estimators based on elastic net penalty for the underlying dependence graph. Our goal is to estimate the…
Modelling Extremal Dependence for Operational Risk by a Bipartite Graph
Oliver Kley, Claudia Klüppelberg, Sandra Paterlini
We introduce a statistical model for operational losses based on heavy-tailed distributions and bipartite graphs, which captures the event type and business line structure of opera…