4 papers
Market Making with Fads, Informed, and Uninformed Traders
Emilio Barucci, Adrien Mathieu, Leandro Sánchez-Betancourt
We characterise the solution to a continuous-time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibi…
Central Bank Digital Currency, Flight-to-Quality, and Bank-Runs in an Agent-Based Model
Emilio Barucci, Andrea Gurgone, Giulia Iori +1
We analyse financial stability and welfare impacts associated with the introduction of a Central Bank Digital Currency (CBDC) in a macroeconomic agent-based model. The model consid…
Shortermism and excessive risk taking in optimal execution with a target performance
Emilio Barucci, Yuheng Lan
We deal with the optimal execution problem when the broker's goal is to reach a performance barrier avoiding a downside barrier. The performance is provided by the wealth accumulat…
Asset management with an ESG mandate
Michele Azzone, Emilio Barucci, Davide Stocco
We investigate the portfolio frontier and risk premia in equilibrium when institutional investors aim to minimize the tracking error variance under an ESG score mandate. If a negat…