Fausto Gozzi

Luiss

Full professor

Viale di Villa Massimo, 57

Rome, 00161

Italy

http://www.luiss.it/docenti/curricula/index.php?cod=Z08

SCHOLARLY PAPERS

6

DOWNLOADS

805

SSRN CITATIONS

2

CROSSREF CITATIONS

3

Scholarly Papers (6)

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
University of Cassino - Faculty of Economics, Luiss and Luiss Guido Carli University
Downloads 478 (63,268)
Citation 1

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

2.

Vintage Capital in the AK Growth Model: A Dynamic Programming Approach - Extended version

Number of pages: 49 Posted: 30 Mar 2006 Last Revised: 26 Feb 2008
Giorgio Fabbri and Fausto Gozzi
Parthenope University - Dipartimento di Studi Economici and Luiss
Downloads 174 (184,688)
Citation 1

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Endogenous growth, Vintage capital, AK model, Dynamic programming

3.

Constrained Portfolio Choices in the Decumulation Phase of a Pension Plan

Number of pages: 53 Posted: 08 May 2010
University of Cassino - Faculty of Economics, Luiss Guido Carli University, Luiss and University of Turin - Faculty of Economics
Downloads 113 (260,521)
Citation 2

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

4.

Optimal Portfolio Choice with Path Dependent Labor Income: The Infinite Horizon Case

Number of pages: 32 Posted: 29 May 2019 Last Revised: 02 Feb 2020
Enrico Biffis, Fausto Gozzi and Cecilia Prosdocimi
Imperial College Business School, Luiss and Luiss Guido Carli University
Downloads 33 (483,913)

Abstract:

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optimal portfolio choice, stochastic delay differential equations, labor income, human capital, hedging demand

5.

Optimal Investment with Vintage Capital: Equilibrium Distributions

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 12/WP/2019
Number of pages: 51 Posted: 09 May 2019
Silvia Faggian, Fausto Gozzi and Peter M. Kort
Ca Foscari University of Venice - Dipartimento di Economia, Luiss and Tilburg University - Department of Econometrics & Operations Research
Downloads 6 (649,594)
Citation 2

Abstract:

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Equilibrium Points, Equilibrium Distributions, Vintage Capital Stock, Age-structured systems, Maximum Principle in Hilbert Spaces, Boundary control, Optimal Investment

6.

Impact of Time Illiquidity in a Mixed Market Without Full Observation

Mathematical Finance, Vol. 27, Issue 2, pp. 401-437, 2017
Number of pages: 37 Posted: 28 May 2020
Salvatore Federico, Paul Gassiat and Fausto Gozzi
Luiss Guido Carli University, affiliation not provided to SSRN and Luiss
Downloads 1 (692,914)
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Abstract:

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investment‐consumption problem, liquidity risk, optimal stochastic control, Hamilton–Jacobi–Bellman equation, viscosity solutions, regularity of viscosity solutions