Marina Di Giacinto

University of Cassino - Faculty of Economics

Cassino

Italy

SCHOLARLY PAPERS

5

DOWNLOADS

741

CITATIONS

2

Scholarly Papers (5)

1.

Pension Funds with a Minimum Guarantee: A Stochastic Control Approach

Finance and Stochastics, Forthcoming
Number of pages: 44 Posted: 31 Jan 2007 Last Revised: 05 May 2010
Marina Di Giacinto, Fausto Gozzi and Federico Salvatore
University of Cassino - Faculty of Economics, Luiss and LUISS Guido Carli University
Downloads 474 (58,882)

Abstract:

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Defined contribution pension fund, minimum guarantee, stochastic optimal control, dynamic programming, Hamilton-Jacobi-Bellman equation, viscosity solutions

2.

Optimal Execution with Uncertain Order Fills in Almgren-Chriss Framework

Number of pages: 33 Posted: 18 Jul 2015 Last Revised: 17 Dec 2015
Xue Cheng, Marina Di Giacinto and Tai-Ho Wang
Peking University - School of Mathematical Sciences, University of Cassino - Faculty of Economics and Baruch College, CUNY
Downloads 157 (187,181)
Citation 1

Abstract:

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Hamilton-Jacobi-Bellman equation, optimal execution, order fill uncertainty, price impact, stochastic control, utility maximization

3.

Constrained Portfolio Choices in the Decumulation Phase of a Pension Plan

Number of pages: 53 Posted: 08 May 2010
Marina Di Giacinto, Salvatore Federico, Fausto Gozzi and Elena Vigna
University of Cassino - Faculty of Economics, LUISS Guido Carli University, Luiss and University of Turin - Faculty of Economics
Downloads 110 (246,867)
Citation 2

Abstract:

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pension fund, decumulation phase, constrained portfolio, stochastic optimal control, dynamic programming, Hamilton-Jacobi-Bellman equation

4.

Optimal Time of Annuitization in the Decumulation Phase of a Defined Contribution Pension Scheme

CAREFIN Research Paper No. 01/10
Posted: 08 May 2010
Marina Di Giacinto, Bjarne Hojgaard and Elena Vigna
University of Cassino - Faculty of Economics, Aalborg University and University of Turin - Faculty of Economics

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defined contribution pension scheme, decumulation phase, optimal annuitization time, cost of sub-optimality

5.

Idiosyncratic Learning, Creative Consumption and Happiness

Advances in Austrian Economics, Vol. 10, pp. 41-73, 2007
Posted: 09 Mar 2007 Last Revised: 04 May 2010
Marina Di Giacinto and Francesco Ferrante
University of Cassino - Faculty of Economics and University of Cassino and Southern Lazio (UCLAM) - Department of Economics and Law

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Creative consumption, happiness, learning