17 citations · 86 across the 22 of their papers we have counts for
11 papers · 1 filter
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)…
Portfolio and reinsurance optimization under unknown market price of risk
Claudia Ceci, Katia Colaneri
We investigate the optimal investment-reinsurance problem for insurance company with partial information on the market price of the risk. Through the use of filtering techniques we…
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…
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…
Pairs Trading under Drift Uncertainty and Risk Penalization
Sühan Altay, Katia Colaneri, Zehra Eksi
In this work, we study a dynamic portfolio optimization problem related to pairs trading, which is an investment strategy that matches a long position in one security with a short…
Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
In this paper we investigate the local risk-minimization approach for a combined financial-insurance model where there are restrictions on the information available to the insuranc…
A Benchmark Approach to Risk-Minimization under Partial Information
Claudia Ceci, Katia Colaneri, Alessandra Cretarola
In this paper we study a risk-minimizing hedging problem for a semimartingale incomplete financial market where d+1 assets are traded continuously and whose price is expressed in u…