34 citations · 79 across the 11 of their papers we have counts for
14 papers
Emission impossible: Balancing Environmental Concerns and Inflation
René Aïd, Maria Arduca, Sara Biagini +1
We provide a theoretical framework to examine how carbon pricing policies influence inflation and to estimate the policy-driven impact on goods prices from achieving net-zero emiss…
Representation of Random Variables as Lebesgue Integrals
Sara Biagini, Gordan Zitkovic
We study representations of a random variable as an integral of an adapted process with respect to the Lebesgue measure. The existence of such representations in two different…
Robust portfolio choice with sticky wages
Sara Biagini, Fausto Gozzi, Margherita Zanella
We present a robust version of the life-cycle optimal portfolio choice problem in the presence of labor income, as introduced in Biffis, Gozzi and Prosdocimi ("Optimal portfolio ch…
Optimal dynamic regulation of carbon emissions market: A variational approach
René Aïd, Sara Biagini
We consider the problem of reducing the carbon emissions of a set of firms over a finite horizon. A regulator dynamically allocates emission allowances to each firm. Firms face idi…
Wage Rigidity and Retirement in Optimal Portfolio Choice
Sara Biagini, Enrico Biffis, Fausto Gozzi +1
We study an agent's lifecycle portfolio choice problem with stochastic labor income, borrowing constraints and a finite retirement date. Similarly to arXiv:2002.00201, wages evolve…
Duality and optimality conditions in stochastic optimization and mathematical finance
Sara Biagini, Teemu Pennanen, Ari-Pekka Perkkiö
This article studies convex duality in stochastic optimization over finite discrete-time. The first part of the paper gives general conditions that yield explicit expressions for t…