Asset allocation strategies based on penalized quantile regression. - Giovanni Bonaccolto; Massimiliano Caporin; Sandra Paterlini (Comput. Manag. Sci., 2018)

Developing new portfolio strategies by aggregation. - Giovanni Bonaccolto; Sandra Paterlini (Ann. Oper. Res., 2020)

Quantile- based portfolios: post- model- selection estimation with alternative specifications. - Giovanni Bonaccolto (Comput. Manag. Sci., 2021)

Dynamic large financial networks via conditional expected shortfalls. - Giovanni Bonaccolto; Massimiliano Caporin; Bertrand B. Maillet (Eur. J. Oper. Res., 2022)

Sparse graphical modelling for global minimum variance portfolio. - Riccardo Riccobello; Giovanni Bonaccolto; Philipp J. Kremer; Piotr Sobczyk; Malgorzata Bogdan; Sandra Paterlini (Comput. Manag. Sci., 2025)