Viale Romania 32
Rome, 00197
Italy
LUISS University
SSRN RANKINGS
in Total Papers Citations
arbitrage, pricing rule, martingale, fundamental theorem of asset pricing
Stochastic optimization, environmental economics, cap and trade, linear quadratic problem, variational methods, market equilibrium, social cost minimisation
GHG emissions, temperature target, carbon markets, emission abatement, stochastic radiative forcing
utility maximization, non-locally bounded semimartingale, incomplete market, sigma-localization, sigma-martingale measure, Orlicz space, convex duality
utility maximization, Orlicz space, Fenchel duality, supermartingale deflator, effective market completion
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
Gain-loss ratio, acceptability indexes, incomplete markets, martingales, quasi concave optimization, duality methods, market modified risk measures
Conditional performance measure, conditional acceptability index, induced family of risk measures, dynamic performance measure, time consistency, risk to reward ratio
Robust optimization, Merton problem, sticky wages, stochastic delayed equations, uncertainty, infinite dimensional Hamilton-Jacobi-Bellman
Allowance dynamic allocation, Cap-and-trade, Carbon pricing, Inflation, stochastic dynamic optimization, Market equilibrium
Allowance dynamic allocation, Cap-and-trade, Carbon pricing, Inflation, Stochastic dynamic Optimization, Market equilibrium
