6 citations · 6 across the 3 of their papers we have counts for
3 papers
q-fin.MF2017
Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
Michele Longo, Alessandra Mainini
We analyze and quantify, in a financial market with parameter uncertainty and for a Constant Relative Risk Aversion investor, the utility effects of two different boundedly rationa…
q-fin.PM2015
Learning and Portfolio Decisions for HARA Investors
Michele Longo, Alessandra Mainini
We maximize the expected utility from terminal wealth for an HARA investor when the market price of risk is an unobservable random variable. We compute the optimal portfolio explic…
q-fin.GN2011★ 6 cited
Statistical ensembles for money and debt
Stefano Viaggiu, Andrea Lionetto, Leonardo Bargigli +1
We build a statistical ensemble representation of two economic models describing respectively, in simplified terms, a payment system and a credit market. To this purpose we adopt t…