We study the gap between the state pension provided by the Italian pension system pre-Dini reform and post-Dini reform. The goal is to fill the gap between the old and the new pension by joining a defined contribution pension scheme and adopting an optimal investment strategy that is...

This paper studies an optimal irreversible extraction problem of an exhaustible commodity in presence of regime shifts. A company extracts a natural resource from a reserve with finite capacity, and sells it in the market at a spot price that evolves according to a Brownian motion with...

This paper solves the dynamic investment problem of a risk averse agent compensated with a performance related bonus plus a salary guaranteed up to a certain level of underperformance. The main contribution is to explicitly take into account the financial fragility of the principal [employer],...

Spanish Abstract: La relación existente entre el riego y la rentabilidad de un activo financiero es una preocupación constante del inversionista a la hora de conformar su portafolio de inversión. La principal meta en la construcción del portafolio consiste en distribuir óptimamente la...

We present a novel measure to declare a magnitude of the difference between fund's prospectus investment styles and the fund's actual investment styles on a long- term basis. Our measure incorporates parameter uncertainty in its measurement and through a sequence of pair-wise comparisons of the...

In this paper, we propose a method for hedge fund replication using a factor-based model supplemented with a series of risk and return constraints that implicitly target all the moments of the hedge fund return distribution. We use the approach to replicate the monthly returns of ten broad hedge...

We combine a dynamic programming approach (stochastic optimal control) with a multi-stage stochastic programming approach (MSP) in order to solve various problems in personal finance and pensions. Stochastic optimal control produces an optimal policy that is easy to understand and implement....

This paper studies the relationship between mutual fund manager investment horizons and managerial risk-taking decisions. I find that in general mutual funds reporting longer maximum evaluation horizons have lower risk levels. The low risk levels helped these funds mitigate their losses in the...

Over the past decade, investors and financial advisors have shown renewed interest in increasing international equity exposure. Investors confront one of two key issues in making decisions on their strategic allocations, depending on the starting point of their portfolios: 1) for a U.S.-only...