We investigate the performance of socially responsible funds (SRFs) and conventional funds
(CFs) in different market (geographical area and class size) segments during the period …

We study 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. The problem is set in …

We study the problem of a fund manager whose compensation depends on the relative
performance with respect to a benchmark index. In particular, the fund manager’s risk-taking …

We examined the impact of including sustainability-related constraints in optimal portfolio
decision-making. Our analysis covered an investment set containing the components of the …

The procedure is repeated every day. It is usually observed that the parameter estimates
obtained in step 2 are rather unstable. This is contradictory to the hypothesis of constant …

A general class of models for derivative pricing with stochastic volatility is analyzed. We
include the possibility of jumps for the paths of the asset's price and for those of its volatility. We …

This article proposes a calibration algorithm that fits multifactor Gaussian models to the
implied volatilities of caps with the use of the respective minimal consistent family to infer the …

The paper investigates from an empirical perspective aspects related to the occurrence of
the IGARCH effect and to its impact on volatility forecasting. It reports the results of a detailed …

Using the Laplace transform approach, we compute expected value and variance of the
error of a hedging strategy for a contingent claim when trading in discrete time. The method …

We consider the problem of how to establish compensation for a portfolio manager who is
required to restrict the investment set, for example, because of socially responsible screening. …