3 papers
q-fin.RM2026
Carbon-Sensitive Fund Construction and Hedging for Green Unit-Linked Life Insurance
Katia Colaneri, Alessandra Cretarola, Edoardo Lombardo +1
We study the problem of hedging unit linked life insurance policies whose benefits depend on an investment fund that incorporates environmental criteria in its selection process. O…
q-fin.PM2026
Carbon-Penalised Portfolio Insurance Strategies in a Stochastic Factor Model with Partial Information
Katia Colaneri, Federico D'Amario, Daniele Mancinelli
Given the increasing importance of environmental, social and governance (ESG) factors, particularly carbon emissions, we investigate optimal proportional portfolio insurance (PPI)…
q-fin.PM2024
On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework
Katia Colaneri, Daniele Mancinelli, Immacolata Oliva
In this paper, we investigate an optimal investment problem associated with proportional portfolio insurance (PPI) strategies in the presence of jumps in the underlying dynamics. P…