5 citations · 6 across the 5 of their papers we have counts for
10 papers
Optimal investment and reinsurance under exponential forward preferences
Katia Colaneri, Alessandra Cretarola, Benedetta Salterini
We study the optimal investment and proportional reinsurance problem of an insurance company, whose investment preferences are described via a forward dynamic utility of exponentia…
Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences
Katia Colaneri, Alessandra Cretarola, Benedetta Salterini
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility i…
Optimal Reinsurance and Investment under Common Shock Dependence Between Financial and Actuarial Markets
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
We study optimal proportional reinsurance and investment strategies for an insurance company which experiences both ordinary and catastrophic claims and wishes to maximize the expe…
Implicit Incentives for Fund Managers with Partial Information
Flavio Angelini, Katia Colaneri, Stefano Herzel +1
We study the optimal asset allocation problem for a fund manager whose compensation depends on the performance of her portfolio with respect to a benchmark. The objective of the ma…
Optimal Convergence Trading with Unobservable Pricing Errors
Sühan Altay, Katia Colaneri, Zehra Eksi
We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relati…
The value of knowing the market price of risk
Katia Colaneri, Stefano Herzel, Marco Nicolosi
This paper presents an optimal allocation problem in a financial market with one risk-free and one risky asset, when the market is driven by a stochastic market price of risk. We s…