S. Paterlini

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20112025

most citedEnvironmental, Social, Governance scores and the Missing pillar -- Why does missing information matter?

90 citations · 169 across the 8 of their papers we have counts for

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q-fin.PM2025

Selection Confidence Sets for Equally Weighted Portfolios

Davide Ferrari, Alessandro Fulci, Sandra Paterlini

Given a universe of N assets, investors often form equally weighted portfolios (EWPs) by selecting subsets of assets. EWPs are simple, robust, and competitive out-of-sample, yet th…

q-fin.PM2017★ 66 cited

Sparse Portfolio Selection via the sorted $ℓ_{1}$ -Norm

Philipp J. Kremer, Sangkyun Lee, Malgorzata Bogdan +1

We introduce a financial portfolio optimization framework that allows us to automatically select the relevant assets and estimate their weights by relying on a sorted $ℓ_{1}$ -Norm…

Selection Confidence Sets for Equally Weighted Portfolios

Sparse Portfolio Selection via the sorted ℓ1​-Norm

Sparse Portfolio Selection via the sorted $ℓ_{1}$ -Norm