This book offers essential information on the life and career of the recently deceased Giorgio P. Szegö, particularly his important contributions in various areas of mathematical programming and applications to financial markets. It highlights the developments in the fields of stability theory...

This paper deals with a mean–variance optimal portfolio selection problem in presence of risky assets characterized by low-frequency trading and, therefore, low liquidity. To model the dynamics of illiquid assets, we introduce pure-jump processes. This leads to the development of a portfolio...

This work deals with the issue of investors’ irrational behavior and financial products’ misperception. The theoretical analysis of the mechanisms driving erroneous assessment of investment performances is explored. The study is supported by the application of Monte Carlo simulations to the...