34 citations · 79 across the 11 of their papers we have counts for
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math.OC2021
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…
econ.GN2021
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…
math.OC2021
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…