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q-fin.PM2025
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.RM2025
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…