1 citations · 1 across the 2 of their papers we have counts for
5 papers
Capital adequacy tests and limited liability of financial institutions
Pablo Koch-Medina, Santiago Moreno-Bromberg, Cosimo Munari
The theory of acceptance sets and their associated risk measures plays a key role in the design of capital adequacy tests. The objective of this paper is to investigate, in the con…
Efficiency and Equilibria in Games of Optimal Derivative Design
Ulrich Horst, Santiago Moreno-Bromberg
In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a conti…
CRRA Utility Maximization under Risk Constraints
Santiago Moreno-Bromberg, Traian Pirvu, Anthony Réveillac
This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies. The market…
Pollution permits, Strategic Trading and Dynamic Technology Adoption
Santiago Moreno-Bromberg, Luca Taschini
This paper analyzes the dynamic incentives for technology adoption under a transferable permits system, which allows for strategic trading on the permit market. Initially, firms ca…
Risk Minimization and Optimal Derivative Design in a Principal Agent Game
U. Horst, S. Moreno
We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal's income is exposed to non-hedgeable risk factors arisi…