Gabriele Torri

Publication Activity (10 Years)

Years Active: 2018-2024
Publications (10 Years): 6

Top Topics

Risk Management

Minimum Variance

Sparsity Constraints

Community Structure

Top Venues

Comput. Manag. Sci.

Ann. Oper. Res.

Commun. Nonlinear Sci. Numer. Simul.

Eur. J. Oper. Res.

Publications

Gabriele Torri, Rosella Giacometti, Sandra Paterlini
Penalized enhanced portfolio replication with asymmetric deviation measures. Ann. Oper. Res. 332 (1) (2024)
Gabriele Torri, Rosella Giacometti
Financial contagion in banking networks with community structure. Commun. Nonlinear Sci. Numer. Simul. 117 (2023)
Rosella Giacometti, Gabriele Torri, Giulia Farina, Maria Elena De Giuli
Risk attribution and interconnectedness in the EU via CDS data. Comput. Manag. Sci. 17 (4) (2020)
Vincenzo Russo, Gabriele Torri
Calibration of one-factor and two-factor Hull-White models using swaptions. Comput. Manag. Sci. 16 (1-2) (2019)
Gabriele Torri, Rosella Giacometti, Sandra Paterlini
Sparse precision matrices for minimum variance portfolios. Comput. Manag. Sci. 16 (3) (2019)
Gabriele Torri, Rosella Giacometti, Sandra Paterlini
Robust and sparse banking network estimation. Eur. J. Oper. Res. 270 (1) (2018)