Anna Battauz

Bocconi University - Department of Finance

Via Roentgen 1

Milano, MI 20136

Italy

SCHOLARLY PAPERS

8

DOWNLOADS

522

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

Quadratic Hedging for Asset Derivatives with Discrete Stochastic Dividends

Studi Matematici, Istituto di Metodi Quantitativi, Universita Bocconi, N.72, Marzo 2002
Number of pages: 29 Posted: 10 Oct 2002
Anna Battauz
Bocconi University - Department of Finance
Downloads 131 (219,857)
Citation 1

Abstract:

Loading...

Discrete dividends, additional risk, incomplete markets, mean variance hedging, local risk minimizing

2.

Intertemporal asset pricing and the marginal utility of wealth

Journal of Mathematical Economics, Vol. 47, No. 2, 2011
Number of pages: 52 Posted: 01 Apr 2007 Last Revised: 16 Feb 2012
Anna Battauz, Marzia De Donno and Fulvio Ortu
Bocconi University - Department of Finance, Universita Degli Studi Di Parma and Bocconi University - Department of Finance
Downloads 80 (307,524)
Citation 1

Abstract:

Loading...

arbitrage, viability, linear pricing rules, optimal portfolio-consumption problems, marginal utility of wealth, envelope theorem

3.

The Double Continuation Region

Number of pages: 43 Posted: 02 Oct 2007
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics, Bocconi University - Department of Finance and Universita Degli Studi Di Parma
Downloads 79 (309,833)

Abstract:

Loading...

Investment under uncertainty

4.

Effective Vs. Efficient Securities in Arbitrage-Free Markets with Bid-Ask Spreads: A Linear Programming Characterization

Number of pages: 29 Posted: 29 May 2009
Washington University in St. Louis, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 72 (326,830)
Citation 1

Abstract:

Loading...

Transacation Costs, Linear Programming, arbitrage, bid-ask prices, linear programming, effective securities, efficient trading strategies

5.

Closed-Form Optimal Investment when Present Values and Costs are Jump-Diffusions

Number of pages: 26 Posted: 06 Mar 2007
Alessandro Sbuelz and Anna Battauz
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics and Bocconi University - Department of Finance
Downloads 71 (329,412)

Abstract:

Loading...

Investment under uncertainty, optimal stopping, change of numeraire, perpetual American put, double continuation region

6.

Reaching Nirvana with a Defaultable Asset?

CAREFIN Research Paper No. 11/2010
Number of pages: 36 Posted: 31 Mar 2011
Alessandro Sbuelz and Anna Battauz
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics and Bocconi University - Department of Finance
Downloads 55 (375,074)

Abstract:

Loading...

dynamic asset allocation, defaultable asset, Sharpe-ratio uncertainty, levered non-myopic speculation, the Constant Elasticity of Variance (CEV) model

7.

Envelope Theorems in Banach Lattices

Number of pages: 30 Posted: 10 May 2011
Marzia De Donno, Anna Battauz and Fulvio Ortu
Universita Degli Studi Di Parma, Bocconi University - Department of Finance and Bocconi University - Department of Finance
Downloads 34 (452,829)
Citation 1

Abstract:

Loading...

8.

Non‐Myopic Portfolio Choice with Unpredictable Returns: The Jump‐To‐Default Case

European Financial Management, Vol. 24, Issue 2, pp. 192-208, 2018
Number of pages: 17 Posted: 07 Mar 2018
Anna Battauz and Alessandro Sbuelz
Bocconi University - Department of Finance and Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics
Downloads 0 (674,268)
  • Add to Cart

Abstract:

Loading...

dynamic asset allocation, irreversible regime change, jump‐to‐default risk, return predictability, time‐varying hedging portfolio