Sara Biagini

LUISS University

Viale Romania 32

Rome, 00197

Italy

SCHOLARLY PAPERS

11

DOWNLOADS

598

SSRN CITATIONS
Rank 37,857

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Top 37,857

in Total Papers Citations

5

CROSSREF CITATIONS

15

Scholarly Papers (11)

1.

Model-Free Representation of Pricing Rules as Conditional Expectations

Number of pages: 16 Posted: 30 Mar 2009
Sara Biagini and Rama Cont
LUISS University and University of Oxford
Downloads 239 (179,116)

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arbitrage, pricing rule, martingale, fundamental theorem of asset pricing

2.

Admissible Strategies in Semimartingale Portfolio Selection

SIAM Journal on Control and Optimization, 2011, 49(1), 42-72
Number of pages: 30 Posted: 05 Apr 2010 Last Revised: 23 Jun 2020
Sara Biagini and Aleš Černý
LUISS University and Bayes Business School, City, University of London
Downloads 107 (346,773)
Citation 1

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utility maximization, non-locally bounded semimartingale, incomplete market, sigma-localization, sigma-martingale measure, Orlicz space, convex duality

3.

Optimal Dynamic Regulation of Carbon Emissions Market: A Variational Approach

Université Paris-Dauphine Research Paper No. 3792384
Number of pages: 30 Posted: 22 Mar 2021
René Aïd and Sara Biagini
Université Paris-Dauphine and LUISS University
Downloads 105 (351,271)

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Stochastic optimization, environmental economics, cap and trade, linear quadratic problem, variational methods, market equilibrium, social cost minimisation

4.

The Best Gain-Loss Ratio is a Poor Performance Measure

Number of pages: 18 Posted: 08 Jan 2013
Sara Biagini and Mustafa Pinar
LUISS University and Bilkent University - Department of Industrial Engineering
Downloads 52 (515,965)
Citation 3

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Gain-loss ratio, acceptability indexes, incomplete markets, martingales, quasi concave optimization, duality methods, market modified risk measures

5.

Convex Duality and Orlicz Spaces in Expected Utility Maximization

Mathematical Finance 30(1), 85-127, 2020
Number of pages: 42 Posted: 30 Nov 2017 Last Revised: 07 Jul 2022
Sara Biagini and Aleš Černý
LUISS University and Bayes Business School, City, University of London
Downloads 35 (600,061)
Citation 1

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utility maximization, Orlicz space, Fenchel duality, supermartingale deflator, effective market completion

6.

Dynamic Quasi Concave Performance Measures

Number of pages: 29 Posted: 08 Jan 2013
Sara Biagini and Jocelyne Bion-Nadal
LUISS University and Ecole Polytechnique, Paris
Downloads 35 (600,061)

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Conditional performance measure, conditional acceptability index, induced family of risk measures, dynamic performance measure, time consistency, risk to reward ratio

7.

Robust Portfolio Choice With Sticky Wages

Number of pages: 40 Posted: 04 May 2021
Sara Biagini, Fausto Gozzi and Margherita Zanella
LUISS University, Luiss and Luiss Guido Carli University
Downloads 14 (752,941)

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Robust optimization, Merton problem, sticky wages, stochastic delayed equations, uncertainty, infinite dimensional Hamilton-Jacobi-Bellman

8.

Convex Duality and Orlicz Spaces in Expected Utility Maximization

Mathematical Finance, Vol. 30, Issue 1, pp. 85-127, 2020
Number of pages: 43 Posted: 29 May 2020
Sara Biagini, Aleš Černý and Biagini Sara
LUISS University, Bayes Business School, City, University of London and affiliation not provided to SSRN
Downloads 4 (852,743)
Citation 1

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effective market completion, Fenchel duality, Orlicz space, supermartingale deflator, utility maximization

9.

Indifference Price with General Semimartingales

Mathematical Finance, Vol. 21, Issue 3, pp. 423-446, 2011
Number of pages: 24 Posted: 20 May 2011
LUISS University, University of Florence - Dipartimento di Matematica and McMaster University
Downloads 4 (852,743)
Citation 1

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indifference price, utility maximization, non locally bounded semimartingale, random endowment, incomplete market, Orlicz space, convex duality, convex risk measure

10.

Relaxed Utility Maximization in Complete Markets

Mathematical Finance, Vol. 21, Issue 4, pp. 703-722, 2011
Number of pages: 20 Posted: 23 Aug 2011
Sara Biagini, Paolo Guasoni and Paolo Guasoni
LUISS University and Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences
Downloads 3 (864,589)

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utility maximization, asymptotic elasticity, integral representation

11.

Robust Fundamental Theorem for Continuous Processes

Mathematical Finance, Vol. 27, Issue 4, pp. 963-987, 2017
Number of pages: 25 Posted: 19 Sep 2017
Sara Biagini, Bruno Bouchard and Marcel Nutz
LUISS University, Université Paris Dauphine - CEREMADE and Columbia University
Downloads 0 (908,821)

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fundamental theorem of asset pricing, arbitrage of the first kind, superhedging duality, nondominated model