17 citations · 86 across the 22 of their papers we have counts for
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q-fin.PM2020
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…
math.PR2020
Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics
Elena Bandini, Alessandro Calvia, Katia Colaneri
The objective of this paper is to study the filtering problem for a system of partially observable processes , where is a non-Markovian pure-jump process representing t…