Sara Biagini

LUISS University

Viale Romania 32

Rome, 00197

Italy

SCHOLARLY PAPERS

12

DOWNLOADS

655

SSRN CITATIONS
Rank 37,849

SSRN RANKINGS

Top 37,849

in Total Papers Citations

5

CROSSREF CITATIONS

15

Scholarly Papers (12)

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 241 (185,385)

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

2.

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 111 (352,680)

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

3.

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 109 (357,108)
Citation 1

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

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 55 (525,800)
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 40 (598,700)
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 38 (609,847)

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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.

Wage Rigidity and Retirement in Optimal Portfolio Choice

Number of pages: 30 Posted: 05 Mar 2021 Last Revised: 15 Sep 2022
LUISS University, Imperial College Business School, Luiss and Luiss Guido Carli University
Downloads 26 (687,684)

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Stochastic delayed differential equations, infinite dimensional Merton problem with retirement, sticky wages, two-stage optimal control problems in infinite dimension with state constraints, second order parabolic Hamilton-Jacobi-Bellman equations in infinite dimension

8.

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 18 (752,621)

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

9.

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 6 (873,233)

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utility maximization, asymptotic elasticity, integral representation

10.

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 and Aleš Černý
LUISS University and Bayes Business School, City, University of London
Downloads 5 (884,699)
Citation 1

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

11.

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 (896,659)
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

12.

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 2 (922,833)

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