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Decisions in Economics and Finance
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2013, Volume 36, Issue 1
- 1-21 Optimal portfolio selection via conditional convex risk measures on L p
by Beatrice Acciaio & Verena Goldammer - 23-37 Performance of investment strategies in the absence of correct beliefs
by Çisem Bektur - 39-46 Investing equally in risk
by Carl Lindberg - 47-70 Option-based risk management of a bond portfolio under regime switching interest rates
by Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti - 71-88 Pricing VIX options with stochastic volatility and random jumps
by Guang-Hua Lian & Song-Ping Zhu - 89-98 Stackelberg problems with followers in the grand coalition of a Tu-game
by C. Pensavalle & G. Pieri
2012, Volume 35, Issue 2
- 91-111 Portfolio optimization in a defaultable market under incomplete information
by Giorgia Callegaro & Monique Jeanblanc & Wolfgang Runggaldier - 113-149 How should a convertible bond be decomposed?
by Song-Ping Zhu & Jing Zhang - 151-170 Optimal investment for executive stockholders with exponential utility
by Sascha Desmettre - 171-202 Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations
by Werner Hürlimann
2012, Volume 35, Issue 1
- 1-28 Risk aversion and risk vulnerability in the continuous and discrete case
by Martin Bohner & Gregory Gelles - 29-58 Exchange rate bifurcation in a stochastic evolutionary finance model
by Gregory Gagnon - 59-73 On the linearity of the wage–profit relation in a Sraffa’s model: a mathematical summing-up
by G. Giorgi & C. Zuccotti - 75-89 Privatization of businesses and flexible investment: a real option approach
by Walailuck Chavanasporn & Christian-Oliver Ewald
2011, Volume 34, Issue 2
- 85-120 Utility indifference valuation for jump risky assets
by Claudia Ceci & Anna Gerardi - 121-139 Allocation of public funds to R&D: a portfolio choice-styled decision model and a biotechnology case study
by Dmitriy Volinskiy & Michele Veeman & Wiktor Adamowicz - 141-168 Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets
by Marcel Prokopczuk
2011, Volume 34, Issue 1
- 1-20 A customer’s utility measure based on the reliability of multi-state systems
by Guglielmo D’Amico & Giuseppe Di Biase & Raimondo Manca - 21-40 Continuous-time mean-variance portfolio optimization in a jump-diffusion market
by Özge Alp & Ralf Korn - 41-65 Real options game analysis of sleeping patents
by Chi Leung & Yue Kwok - 67-84 On robust asymmetric equilibria in asymmetric R&D-driven growth economies
by Paolo Giordani & Luca Zamparelli
2010, Volume 33, Issue 2
- 81-95 Adaptive algorithms for maximizing overall stock return
by Charles Lee & Kristy Tran - 97-116 Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model
by Wen-Kai Wang & Christian-Oliver Ewald - 117-138 Sensitivities for Bermudan options by regression methods
by Denis Belomestny & G. Milstein & John Schoenmakers - 139-147 Mixture sets on finite domains
by Matthew Ryan - 149-167 A closed-form solution for the continuous-time consumption model with endogenous labor income
by Aihua Zhang
2010, Volume 33, Issue 1
- 1-5 Eugenio Levi and his scientific production: a note on the occasion of the 40th anniversary of his death
by Paola Modesti - 7-21 Some new characterization of rational expectation equilibria in economies with asymmetric information
by Anna De Simone & Ciro Tarantino - 23-47 Optimal prepayment and default rules for mortgage-backed securities
by Giulia De Rossi & Tiziano Vargiolu - 49-61 An improved combinatorial approach for pricing Parisian options
by Yuh-Dauh Lyuu & Cheng-Wei Wu - 63-79 Explicit formulas for the minimal variance hedging strategy in a martingale case
by Flavio Angelini & Stefano Herzel
2009, Volume 32, Issue 2
- 79-81 Memory of Jean-Yves Jaffray
by M. Cohen - 83-128 An equilibrium model of insider trading in continuous time
by Roberto Monte & Barbara Trivellato - 129-148 Pricing American barrier options with discrete dividends by binomial trees
by Marcellino Gaudenzi & Antonino Zanette - 149-160 The predictive power of fund ratings with a novel approach using uncertainty measures to analyzing risk
by Virginie Terraza & Carole Toque - 161-181 Computationally simple lattice methods for option and bond pricing
by Massimo Costabile & Arturo Leccadito & Ivar Massabó
2009, Volume 32, Issue 1
- 1-4 Obituary
by Achille Basile - 5-12 Arbitrage in stationary markets
by Igor Evstigneev & Dhruv Kapoor - 13-33 Knightian uncertainty and insurance regulation decision
by An Chen & Xia Su - 35-48 A scenario-based integrated approach for modeling carbon price risk
by Zili Zhu & Paul Graham & Luke Reedman & Thomas Lo - 49-65 Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options
by Piergiacomo Sabino - 67-78 On the computability of quasi-transitive binary social choice rules in an infinite society and the halting problem
by Yasuhito Tanaka
2008, Volume 31, Issue 2
- 81-94 Unawareness, priors and posteriors
by Salvatore Modica - 95-115 Axiomatic approach to approximate solutions in multiobjective optimization
by E. Miglierina & E. Molho & F. Patrone & S. Tijs - 117-136 Approximate equilibrium in pure strategies for a two-stage game of asset creation
by Marta Faias - 137-170 Optimal consumption and investment under partial information
by Wolfgang Putschögl & Jörn Sass
2008, Volume 31, Issue 1
- 1-11 The competitive firm under price uncertainty: the role of information and hedging
by Udo Broll & Bernhard Eckwert - 13-32 Path dependent volatility
by Paolo Foschi & Andrea Pascucci - 33-49 A moments and strike matching binomial algorithm for pricing American Put options
by Benjamin Jourdain & Antonino Zanette - 51-72 The optimal capital structure of the firm with stable Lévy assets returns
by Olivier Le Courtois & François Quittard-Pinon - 73-79 A note on arbitrage in term structure
by Miklós Rásonyi
2007, Volume 30, Issue 2
- 109-136 Default-risky bond prices with jumps, liquidity risk and incomplete information
by Monique Jeanblanc & Stoyan Valchev - 137-150 On the smoothness of optimal paths II: some local turnpike results
by Joël Blot & Bertrand Crettez
2007, Volume 30, Issue 1
- 1-18 Linear cumulative prospect theory with applications to portfolio selection and insurance demand
by Ulrich Schmidt & Horst Zank - 19-49 The origins of the mean-variance approach in finance: revisiting de Finetti 65 years later
by Flavio Pressacco & Paolo Serafini - 51-70 Core equivalence theorem: countably many types of agents and commodities in $\vec{L}^{1}(\mu)$
by Anna Martellotti - 71-78 Shortfall risk minimization in a discrete regime switching model
by Gerard Awanou
2006, Volume 29, Issue 2
- 139-153 On pricing lookback options under the CEV process
by Massimo Costabile - 155-160 On the relationship between absolute prudence and absolute risk aversion
by Mario Maggi & Umberto Magnani & Mario Menegatti
2006, Volume 29, Issue 1
- 1-21 The completion of security markets
by Christos Kountzakis & Ioannis Polyrakis - 23-54 Taxes and money in incomplete financial markets
by Elena Mercato & Antonio Villanacci - 55-69 Notes and Comments: Stochastic demand correspondences and their aggregation properties
by José Alcantud
2006, Volume 28, Issue 2
- 79-93 Homogeneous semi-Markov reliability models for credit risk management
by Guglielmo D’Amico & Jacques Janssen & Raimondo Manca - 95-112 An overlapping generations model with non-ordered preferences and numeraire-incomplete markets
by Abdelkrim Seghir - 113-127 Notes and Comments: An approximation of caplet implied volatilities in Gaussian models
by Flavio Angelini & Stefano Herzel
2005, Volume 28, Issue 1
- 53-65 Notes and Comments: Measures of risk attitude: correspondences between mean-variance and expected-utility approaches
by Thomas Eichner & Andreas Wagener - 67-78 Notes and Comments: Sup-convolutions of HARA utilities in the affine term structure
by Martino Grasselli
2004, Volume 27, Issue 2
- 87-107 Weak convergence of tree methods, to price options on defaultable assets
by J.W. Nieuwenhuis & M.H. Vellekoop - 109-123 Arbitrage pricing theory and risk-neutral measures
by Miklós Rásonyi - 125-151 Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff
by Simona Sanfelici - 153-166 Conditional comonotonicity
by Elyès Jouini & Clotilde Napp
2004, Volume 27, Issue 1
- 1-34 On the smoothness of optimal paths
by Joël Blot & Bertrand Crettez - 35-56 A two-step simulation procedure to analyze the exercise features of American options
by Antonella Basso & Martina Nardon & Paolo Pianca - 57-80 Arbitrage and completeness in financial markets with given N-dimensional distributions
by Luciano Campi - 81-85 Notes and Comments: On the uniqueness of convex-ranged probabilities
by Massimiliano Amarante
2003, Volume 26, Issue 2
- 81-96 Insuring against the shortfall risk associated with real options
by Heinz Weisshaupt - 97-128 Income taxation when markets are incomplete
by Mario Tirelli - 129-144 Representing complete and incomplete subjective linear preferences on random numbers
by Bruno Girotto & Silvano Holzer - 145-152 Notes and Comments: Profitability in a multiple strategy market
by Giacomo Aletti & Vincenzo Capasso - 153-166 Notes and Comments: The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
by Ralf Korn & Frank Oertel & Manfred Schäl
2001, Volume 24, Issue 1
- 1-19 Optimality in a financial economy with outside money and restricted participation
by Laura Carosi - 21-39 Asset pricing with endogenous aspirations
by Fabio Antonelli & Emilio Barucci & Maria Elvira Mancino - 41-47 Homothetic preferences on star-shaped sets
by Fabio Maccheroni - 49-59 notes and comments: A discrete-time algorithmfor pricing double barrier options
by Massimo Costabile - 59-69 notes and comments: A note on mixture sets in decision theory
by Philippe Mongin - 71-77 notes and comments: On the use of capacities in representing premium calculation principles
by Marta Cardin & Paola Ferretti
2000, Volume 23, Issue 2
- 75-99 Option pricing with stochastic volatility models
by Stefano Herzel - 101-120 Measuring the set of blocking coalitions in infinite dimensional economies
by Maria Gabriella Graziano - 121-132 A uniqueness theorem for convex-ranged probabilities
by Massimo Marinacci - 133-150 Linearity properties of a three-moments portfolio model
by Flavio Pressacco & Patrizia Stucchi
2000, Volume 23, Issue 1
- 1-13 Testable consequences of economic theory
by Ivar Ekeland - 15-29 Normal approximations by Stein's method
by Yosef Rinott & Vladimir Rotar - 31-52 Volatility estimation from observed option prices
by Phelim P. Boyle & Draviam Thangaraj - 53-74 Decision analysis using targets instead of utility functions
by Robert Bordley & Marco LiCalzi
1999, Volume 22, Issue 1
- 5-11 Existence of a convex extension of a preference relation
by Paolo Scapparone - 13-30 On local relative stability of large sistems with small parameters. The example of a classical model of competition
by Luciano Boggio - 31-39 η-Pseudolinearity
by Qamrul Ansari & Siegfried Schaible & Jen-Chih Yao - 41-75 Qualitative parametric optimization for applications
by Piera Mazzoleni - 77-99 Stress testing techniques and value-at-risk measures: A unified approach
by Umberto Cherubini & Giovanni Lunga - 101-108 A note on direct term structure estimation using monotonic splines
by Luca Barzanti & Corrado Corradi - 111-112 Ricordo del Prof. Mario Volpato
by Giovanni Castellani
1998, Volume 21, Issue 1
- 3-23 Two stage rationality under risk: Experimental results and perspectives
by Bertrand Munier - 25-48 A three-moment based portfolio selection model
by Andrea Gamba & Francesco Rossi - 49-71 Optimal auctions under collusion of buyers with discrete valuations
by Domenico Menicucci - 73-95 Swap pricing and hedging of general DCFs
by Elisa Luciano - 97-123 Directed hypergraphs as a modelling paradigm
by Giorgio Gallo & Maria Scutellà - 125-146 Pricing dynamic solvency insurance and investment fund protection
by Hans Gerber & Gérard Pafumi - 147-164 Convergence problems in stochastic programming models with probabilistic constraints
by Giovanna Redaelli
1997, Volume 20, Issue 2
- 125-131 Monotonicity preserving regression techniques for interest rate term structure estimation: A note
by Luca Barzanti & Corrado Corradi - 133-151 On optimal investiment strategies
by Hans Gerber & Elias Shiu - 153-158 Vitali’s early contribution to non-additive integration
by Massimo Marinacci - 159-168 On the definition of integral of functions of one variable
by Giuseppe Vitali - 169-185 Su Una Estensione Bidimensionale del Teorema di Scomposizione di Peccati
by Flavio Pressacco & Patrizia Stucchi
1997, Volume 20, Issue 1
- 3-21 Futures options with futures-style margining in the Gaussian models setting
by Maria Iovino - 23-43 Some new ideas in the concept of financial law
by Salvador Cruz Rambaud - 45-66 Twenty years of fuzzy preference structures (1978–1997)
by Bernard Baets & János Fodor - 67-82 The interbanking liquidity market: Short-time prediction and the central bank reserve management
by Michele Bonollo & Francesco Lisi - 83-98 Retrospective reserves for the insurances of the person in the framework of multistate models
by Annamaria Olivieri - 99-109 Ranking and weak consistency in the A.H.P. context
by Luciano Basile & Livia D’Apuzzo - 111-116 Semicontinuous utility functions in topological spaces
by Romano Isler
1996, Volume 19, Issue 1
- 3-14 Alcune nuove nozioni di semicontinuità per multifunzioni
by Roberto Raucci - 15-32 Trasformata inversa di laplace per funzioni positive e problema dei momenti
by Marco Frontini & Aldo Tagliani - 33-38 A geometric property of indifference curves in the (mean-standard deviation) plane
by Fabrizio Cacciafesta - 39-52 Modelli multistato per le assicurazioni di persone: approccio stocastico all'analisi dell'utile con procedimenti simulativi
by Maria Gota - 53-79 Equilibrium with endogenous technological changes: Theory and applications
by Lorenzo Garlappi - 81-94 Una applicazione dell'approccio multistato ai fondi pensione
by Renato Pelessoni & Marco Zecchin - 95-102 A note on principal components and morse theorem
by Cinzia Carota & Ernesto Salinelli - 103-112 Solutions to linear equations depending on a parameter
by Christian Bidard & Neri Salvadori - 113-185 Market economies with many commodities
by Charalambos Aliprantis & Kim Border & Owen Burkinshaw - 187-203 On the aubin-like characterization of competitive equilibria in infinite dimensional economies
by Achille Basile & Anna Simone & Maria Graziano
1995, Volume 18, Issue 2
- 105-117 Linear operators, time dominance and IRR
by Francesca Beccacece - 119-129 Test di coerenza per indici statistici di proiezione
by Fernando Bignami - 131-142 Some properties of pseudo P-convex functions
by Monica Bianchi - 143-151 Stock market dynamics with institutional trading
by Angelo Antoci - 153-163 Funzioni scalari affini generalizzate
by Riccardo Cambini - 165-180 A characterization for solutions of stochastic discrete time optimization models
by Fabio Privileggi - 181-198 Some applications of stochastic analysis in financial economics: An outline
by Pio Zanzotto - 199-227 Funzioni di Green per equazioni differenziali ordinarie e applicazioni in finanza
by Elisa Luciano - 229-243 Un approccio unificato alla dominanza temporale
by Andrea Gamba - 245-260 Stratified realization of comparative probabilities
by Paolo Vicig
1995, Volume 18, Issue 1
- 3-14 Notes on pareto improvement in incomplete financial markets
by David Cass - 15-31 Learning non-rational expectations equilibria
by Emilio Barucci & Leonardo Landi - 33-45 Un modello matriciale per la dominanza stocastica e stocastico-temporale
by Laura Levi - 47-63 Dini derivatives in optimization — Part III
by Giorgio Giorgi & Sándor Komlósi - 65-74 Approccio di tipo max-min per la determinazione del prezzo psicologico in caso di incertezza
by Roberto Raucci - 75-81 Continuous representations of interval orders based on induced preorders
by Gianni Bosi - 83-89 Monotone generalized differentiability in nonsmooth optimization
by Carla Sutti
1994, Volume 17, Issue 2
- 3-20 Continuous and discrete models in finance, in particular for stochastic interest rates
by Hans Bühlmann - 21-32 Recent progresses in Multicriteria Decision-Aid
by Philippe Vincke - 33-39 La teoria HSSB e il concetto di certo equivalente
by Franco Molinari - 41-48 Proprietà analitiche delle soluzioni di un'equazione intergrale della teoria collettiva del rischio
by Antonio Carbone - 49-60 Sulla vitalità di un mercato finanziario
by Giancarlo Costa & Marco Calzi - 61-77 Un metodo di valutazione di un portafoglio assicurativo vita
by Renato Camillo & Marina Marena - 79-92 Ricordo di Giuseppe Ottaviani
by Luciano Daboni
1994, Volume 17, Issue 1
- 3-10 Studio delle eliminazioni da una collettività per più case con il metodo simulativo
by Paola Verico - 11-18 On the flexible functional forms
by Francesca Beccacece - 19-33 Una funzione ordinale di benessere sociale
by Alfonso D'errico - 35-52 Nuove classi di funzioni scalari concave generalizzate
by Riccardo Cambini - 53-67 Optimal advertising for selling a product with a nondifferentiable demand function
by Bruno Viscolani - 69-84 A non-parametric statistical model for the control of Italian insurance companies
by Paolo Angelis & Fulvio Gismondi & Riccardo Ottaviani
1993, Volume 16, Issue 2
- 3-14 Problemi reciproci ed ottimi paretiani
by Piera Mazzoleni - 15-19 A numerical representation of semiorders on a countable set
by Gianni Bosi - 21-37 Risk aversion in the small and Jensen inequalities
by Luigi Montrucchio & Luisa Tibiletti - 39-58 Multiple patterns in the dynamics of a stock market model
by Marcello Galeotti & Franco Gori - 59-76 Disequilibrium models due to a “learning by doing” process
by Cristiana Mammana & Mauro Galleati - 77-88 A parametric simplex-like algorithm for a fractional programming problem
by Andrea Ellero & Elena Tomasin
1993, Volume 16, Issue 1
- 3-15 On local relative stability. With special reference to economic applications
by Luciano Boggio - 17-32 Una classe di funzioni monotone generalizzate
by Monica Bianchi - 33-39 Alcune considerazioni sulle relazioni di indifferenza non transitive
by Eraldo Giuli - 41-71 Insiemi invarianti globalmente attrattivi nell'interazione fra il “mercato dei beni” ed il “mercato della moneta”
by Laura Gardini - 73-86 Project analysis using a linear approach (P.A.U.L.A.)
by Emanuele Carezzano & Maria Giuli & Umberto Magnani - 87-97 Aspetti dinamici di leggi finanziarie scindibili
by Michele Mulazzani - 99-106 Ricordo di Guido Lisei
by Cristina Gosio & Maria Marina
1992, Volume 15, Issue 2
- 3-24 Dini derivatives in optimization — Part II
by G. Giorgi & S. Komlósi - 25-45 Optimal control theory and the reelection problem: The rise of a political business cycle
by E. Barucci & P. Zezza - 47-53 Alcune considerazioni a proposito di giudizi di vantaggiosita' che coinvolgono valutazioni finanziarie di flussi monetari certi
by A. Nigro - 55-62 Una disuguaglianza riguardante la funzione gamma incompleta
by L. Cupello - 63-72 The internal financial law set
by B. Viscolani - 73-86 Soluzione ottima esplicita di un particolare problema di programmazione quadratica
by R. Cambini
1992, Volume 15, Issue 1
- 3-30 Dini derivatives in optimization — Part I
by G. Giorgi & S. Komlósi - 31-38 On certainty equivalent
by Margherita Cigola - 39-51 On the solutions in rational expectations models
by Marcello Braglia - 53-63 Un modello di controllo ottimo per i margini finanziari
by Rita Pini - 65-78 A generalization of the indiscernibility relation for rough set analysis of quantitative information
by R. Slowinski - 79-92 Un modello non lineare sul funzionamento dei mercati azionari
by Luca Ghezzi
1991, Volume 14, Issue 2
- 3-13 The internal rate of return of fuzzy cash flow
by L. Biacino & M. Simonelli - 15-30 About an interactive model for sexual populations
by P. Manfredi & E. Salinelli - 31-57 Reputazione e credibilità di una minaccia in un gioco di contrattazione
by C. Magni & G. Ricci - 59-73 On the decomposition of stochastic discounted cash flows
by F. Beccacece & M. Calzi
1991, Volume 14, Issue 1
- 3-7 Approximating the solution of an integral equation arising in the theory of risk: A comment
by C. Corradi - 9-23 Una generalizzazione del modello Inferenziale bayesiano «Poisson-Gamma». Application in assicurazioni malattia
by E. Pitacco - 25-31 Alcune formule valide per lo studio di collettività aperte con rimpiazzo
by F. Cacciafesta - 33-46 Order preserving functions and generalized convexity
by E. Castagnoli & P. Mazzoleni
1990, Volume 13, Issue 1
- 3-21 Sulla valutazione di un contratto di interest rate swap
by E. Salinelli - 23-42 Forecasting quarterly movements of the lira/pound-sterling exchange rate: Random walks, drift, seasonality and variable parameters
by A. Pollock - 43-57 Il modello input-output dei prezzi con capitale fisso: Aspetti economici e numerici
by G. Marangoni & C. Sutti - 59-64 Alcune proprieta′ di monotonia generalizzata
by P. Mazzoleni - 65-72 Una luce nuova su una vecchia storia: La “scindibilitá” di Cantelli-insolera e la struttura a termine dei tassi d'interesse
by F. Cacciafesta - 73-85 La rovina del giocatore con dipendenza markoffiana nel processo di alternativa
by L. Vannucci - 87-98 Alcune osservazioni su indici di durata per operazioni finanziarie di scadenza finale aleatoria
by E. Salinelli