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Salvatore Federico

Personal Details

First Name:Salvatore
Middle Name:
Last Name:Federico
Suffix:
RePEc Short-ID:pfe421
http://sfederico.altervista.org
Terminal Degree:2009 (from RePEc Genealogy)

Affiliation

Dipartimento di Scienze per l'Economia e l'Impresa
Scuola di Economia e Management
Università degli Studi di Firenze

Firenze, Italy
http://www.disei.unifi.it/

: +39-055-2759509
+39-055-2759550
via delle Pandette, 9 50127 Firenze
RePEc:edi:defirit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Federico, Salvatore & Ferrari, Giorgio & Riedel, Frank & Röckner, Michael, 2019. "On a Class of Infinite-Dimensional Singular Stochastic Control Problems," Center for Mathematical Economics Working Papers 614, Center for Mathematical Economics, Bielefeld University.
  2. Boucekkine, R. & Fabbri, G. & Federico, S. & Gozzi, F., 2018. "Geographic environmental Kuznets curves: The optimal growth linear-quadratic case," Working Papers 2018-10, Grenoble Applied Economics Laboratory (GAEL).
  3. Salvatore Federico & Mauro Rosestolato & Elisa Tacconi, 2018. "Irreversible investment with fixed adjustment costs: a stochastic impulse control approach," Papers 1801.04491, arXiv.org, revised Feb 2019.
  4. Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2017. "Growth and Agglomeration in the Heterogeneous Space: A Generalized AK Approach," Working Papers halshs-01399995, HAL.
  5. de Angelis, Tiziano & Federico, Salvatore & Ferrari, Giorgio, 2016. "On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment," Center for Mathematical Economics Working Papers 509, Center for Mathematical Economics, Bielefeld University.
  6. Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico, 2016. "Optimal Economic Growth Through Capital Accumulation in a Spatially Heterogeneous Environment," AMSE Working Papers 1641, Aix-Marseille School of Economics, France.
  7. Mauro Bambi & Cristina Di Girolami & Salvatore Federico & Fausto Gozzi, 2015. "Generically distributed investments on flexible projects and endogenous growth," Working Papers - Mathematical Economics 2015-04, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  8. Tiziano De Angelis & Salvatore Federico & Giorgio Ferrari, 2014. "Optimal Boundary Surface for Irreversible Investment with Stochastic Costs," Papers 1406.4297, arXiv.org, revised Jan 2017.
  9. Mauro Bambi & Cristina Di Girolami & Salvatore Federico & Fausto Gozzi, 2014. "On the Consequences of Generically Distributed Investments on Flexible Projects in an Endogenous Growth Model," Discussion Papers 14/15, Department of Economics, University of York.
  10. Ren'e Aid & Salvatore Federico & Huy^en Pham & Bertrand Villeneuve, 2014. "Explicit investment rules with time-to-build and uncertainty," Papers 1406.0055, arXiv.org.
  11. Giorgio Fabbri & Salvatore Federico, 2014. "On the infinite-dimensional representation of stochastic controlled systems with delayed control in the diffusion term," Documents de recherche 14-06, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  12. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2013. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Papers 1301.0280, arXiv.org, revised Feb 2015.
  13. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2012. "Impact of time illiquidity in a mixed market without full observation," Papers 1211.1285, arXiv.org, revised Mar 2015.
  14. Salvatore Federico & Paul Gassiat, 2012. "Viscosity characterization of the value function of an investment-consumption problem in presence of illiquid assets," Papers 1211.1286, arXiv.org.
  15. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012. "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks 272, Collegio Carlo Alberto.
  16. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2010. "Constrained portfolio choices in the decumulation phase of a pension plan," Carlo Alberto Notebooks 155, Collegio Carlo Alberto.

Articles

  1. Mauro Bambi & Cristina Girolami & Salvatore Federico & Fausto Gozzi, 2017. "Generically distributed investments on flexible projects and endogenous growth," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(2), pages 521-558, February.
  2. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2017. "Impact Of Time Illiquidity In A Mixed Market Without Full Observation," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 401-437, April.
  3. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.
  4. Aïd, René & Federico, Salvatore & Pham, Huyên & Villeneuve, Bertrand, 2015. "Explicit investment rules with time-to-build and uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 240-256.
  5. Salvatore Federico & Paul Gassiat, 2014. "Viscosity Characterization of the Value Function of an Investment-Consumption Problem in Presence of an Illiquid Asset," Journal of Optimization Theory and Applications, Springer, vol. 160(3), pages 966-991, March.
  6. Fabbri Giorgio & Federico Salvatore, 2014. "On the Infinite-Dimensional Representation of Stochastic Controlled Systems with Delayed Control in the Diffusion Term," Mathematical Economics Letters, De Gruyter, vol. 2(3-4), pages 1-11, November.
  7. Di Giacinto, Marina & Federico, Salvatore & Gozzi, Fausto & Vigna, Elena, 2014. "Income drawdown option with minimum guarantee," European Journal of Operational Research, Elsevier, vol. 234(3), pages 610-624.
  8. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi, 2011. "Pension funds with a minimum guarantee: a stochastic control approach," Finance and Stochastics, Springer, vol. 15(2), pages 297-342, June.
  9. Salvatore Federico, 2011. "A stochastic control problem with delay arising in a pension fund model," Finance and Stochastics, Springer, vol. 15(3), pages 421-459, September.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2017. "Growth and Agglomeration in the Heterogeneous Space: A Generalized AK Approach," Working Papers halshs-01399995, HAL.

    Cited by:

    1. Emmanuelle Augeraud-Véron & Raouf Boucekkine & Vladimir Veliov, 2019. "Distributed optimal control models in environmental economics: a review," Post-Print hal-02194184, HAL.
    2. Raouf Boucekkine & Giorgio Fabbri & Salvatore Federico & Fausto Gozzi, 2019. "Geographic environmental Kuznets curves: the optimal growth linear-quadratic case," Post-Print hal-02194227, HAL.
    3. Fabbri, G. & Russo, F., 2017. "HJB equations in infinite dimension and optimal control of stochastic evolution equations via generalized Fukushima decomposition," Working Papers 2017-07, Grenoble Applied Economics Laboratory (GAEL).
    4. Silvia Faggian & Fausto Gozzo & Peter M. Kort, 2019. "Optimal investment with vintage capital: equilibrium distributions," Working Papers 2019: 12, Department of Economics, University of Venice "Ca' Foscari".

  2. de Angelis, Tiziano & Federico, Salvatore & Ferrari, Giorgio, 2016. "On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment," Center for Mathematical Economics Working Papers 509, Center for Mathematical Economics, Bielefeld University.

    Cited by:

    1. Tiziano De Angelis, 2018. "Optimal dividends with partial information and stopping of a degenerate reflecting diffusion," Papers 1805.12035, arXiv.org, revised Mar 2019.

  3. Tiziano De Angelis & Salvatore Federico & Giorgio Ferrari, 2014. "Optimal Boundary Surface for Irreversible Investment with Stochastic Costs," Papers 1406.4297, arXiv.org, revised Jan 2017.

    Cited by:

    1. Giorgia Callegaro & Claudia Ceci & Giorgio Ferrari, 2019. "Optimal Reduction of Public Debt under Partial Observation of the Economic Growth," Papers 1901.08356, arXiv.org, revised Jan 2019.
    2. Ferrari, Giorgio, 2016. "Controlling public debt without forgetting Inflation," Center for Mathematical Economics Working Papers 564, Center for Mathematical Economics, Bielefeld University.
    3. Salvatore Federico & Mauro Rosestolato & Elisa Tacconi, 2018. "Irreversible investment with fixed adjustment costs: a stochastic impulse control approach," Papers 1801.04491, arXiv.org, revised Feb 2019.
    4. Christensen, Sören & Crocce, Fabián & Mordecki, Ernesto & Salminen, Paavo, 2019. "On optimal stopping of multidimensional diffusions," Stochastic Processes and their Applications, Elsevier, vol. 129(7), pages 2561-2581.
    5. Giorgio Ferrari, 2016. "On the Optimal Management of Public Debt: a Singular Stochastic Control Problem," Papers 1607.04153, arXiv.org, revised Dec 2017.
    6. Callegaro, Giorgia & Ceci, Claudia & Ferrari, Giorgio, 2019. "Optimal Reduction of Public Debt under Partial Observation of the Economic Growth," Center for Mathematical Economics Working Papers 608, Center for Mathematical Economics, Bielefeld University.

  4. Mauro Bambi & Cristina Di Girolami & Salvatore Federico & Fausto Gozzi, 2014. "On the Consequences of Generically Distributed Investments on Flexible Projects in an Endogenous Growth Model," Discussion Papers 14/15, Department of Economics, University of York.

    Cited by:

    1. Emmanuelle Augeraud-Veron & Mauro Bambi & Fausto Gozzi, 2017. "Solving Internal Habit Formation Models Through Dynamic Programming in Infinite Dimension," Journal of Optimization Theory and Applications, Springer, vol. 173(2), pages 584-611, May.

  5. Ren'e Aid & Salvatore Federico & Huy^en Pham & Bertrand Villeneuve, 2014. "Explicit investment rules with time-to-build and uncertainty," Papers 1406.0055, arXiv.org.

    Cited by:

    1. Julien Prat & Benjamin Walter, 2018. "An Equilibrium Model of the Market for Bitcoin Mining," CESifo Working Paper Series 6865, CESifo Group Munich.
    2. Genc, Talat S., 2017. "The impact of lead time on capital investments," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 142-164.
    3. Salvatore Federico & Mauro Rosestolato & Elisa Tacconi, 2018. "Irreversible investment with fixed adjustment costs: a stochastic impulse control approach," Papers 1801.04491, arXiv.org, revised Feb 2019.
    4. Aïd, René & Li, Liangchen & Ludkovski, Michael, 2017. "Capacity expansion games with application to competition in power generation investments," Journal of Economic Dynamics and Control, Elsevier, vol. 84(C), pages 1-31.
    5. Magnus Perninge, 2018. "A limited-feedback approximation scheme for optimal switching problems with execution delays," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 87(3), pages 347-382, June.

  6. Giorgio Fabbri & Salvatore Federico, 2014. "On the infinite-dimensional representation of stochastic controlled systems with delayed control in the diffusion term," Documents de recherche 14-06, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.

    Cited by:

    1. Giorgio Fabbri, 2015. "International Borrowing Without Commitment and Informational Lags: Choice under Uncertainty," AMSE Working Papers 1534, Aix-Marseille School of Economics, France.
    2. René Carmona & Jean-Pierre Fouque & Seyyed Mostafa Mousavi & Li-Hsien Sun, 0. "Systemic Risk and Stochastic Games with Delay," Journal of Optimization Theory and Applications, Springer, vol. 0, pages 1-34.
    3. René Carmona & Jean-Pierre Fouque & Seyyed Mostafa Mousavi & Li-Hsien Sun, 2018. "Systemic Risk and Stochastic Games with Delay," Journal of Optimization Theory and Applications, Springer, vol. 179(2), pages 366-399, November.

  7. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2013. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Papers 1301.0280, arXiv.org, revised Feb 2015.

    Cited by:

    1. Agostino Capponi & Lijun Bo, 2016. "Robust Optimization of Credit Portfolios," Papers 1603.08169, arXiv.org.
    2. Salvatore Federico & Paul Gassiat, 2012. "Viscosity characterization of the value function of an investment-consumption problem in presence of illiquid assets," Papers 1211.1286, arXiv.org.
    3. Salvatore Federico & Paul Gassiat, 2014. "Viscosity Characterization of the Value Function of an Investment-Consumption Problem in Presence of an Illiquid Asset," Journal of Optimization Theory and Applications, Springer, vol. 160(3), pages 966-991, March.
    4. Lijun Bo & Agostino Capponi, 2017. "Robust Optimization of Credit Portfolios," Mathematics of Operations Research, INFORMS, vol. 42(1), pages 30-56, January.

  8. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2012. "Impact of time illiquidity in a mixed market without full observation," Papers 1211.1285, arXiv.org, revised Mar 2015.

    Cited by:

    1. Salvatore Federico & Paul Gassiat, 2012. "Viscosity characterization of the value function of an investment-consumption problem in presence of illiquid assets," Papers 1211.1286, arXiv.org.
    2. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.
    3. Salvatore Federico & Paul Gassiat, 2014. "Viscosity Characterization of the Value Function of an Investment-Consumption Problem in Presence of an Illiquid Asset," Journal of Optimization Theory and Applications, Springer, vol. 160(3), pages 966-991, March.

  9. Salvatore Federico & Paul Gassiat, 2012. "Viscosity characterization of the value function of an investment-consumption problem in presence of illiquid assets," Papers 1211.1286, arXiv.org.

    Cited by:

    1. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.

  10. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012. "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks 272, Collegio Carlo Alberto.

    Cited by:

    1. Ayşegül İşcanog̃lu-Çekiç, 2016. "An Optimal Turkish Private Pension Plan with a Guarantee Feature," Risks, MDPI, Open Access Journal, vol. 4(3), pages 1-12, June.
    2. Alessandro Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: a Stochastic Optimal Control Approach," Papers 1804.05354, arXiv.org.
    3. Hassan Dadashi, 2018. "Optimal investment-consumption problem post-retirement with a minimum guarantee," Papers 1803.00611, arXiv.org.
    4. Alessandro Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: A Stochastic Optimal Control Approach," Risks, MDPI, Open Access Journal, vol. 6(2), pages 1-20, April.
    5. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.
    6. Agnieszka Konicz & David Pisinger & Alex Weissensteiner, 2015. "Optimal annuity portfolio under inflation risk," Computational Management Science, Springer, vol. 12(3), pages 461-488, July.
    7. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2016, September.

  11. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2010. "Constrained portfolio choices in the decumulation phase of a pension plan," Carlo Alberto Notebooks 155, Collegio Carlo Alberto.

    Cited by:

    1. Elena Vigna, 2014. "On efficiency of mean--variance based portfolio selection in defined contribution pension schemes," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 237-258, February.
    2. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," Carlo Alberto Notebooks 108, Collegio Carlo Alberto, revised 2009.
    3. Hassan Dadashi, 2018. "Optimal investment-consumption problem post-retirement with a minimum guarantee," Papers 1803.00611, arXiv.org.
    4. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.
    5. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012. "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks 272, Collegio Carlo Alberto.
    6. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," CeRP Working Papers 89, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    7. Elena Vigna, 2010. "On efficiency of mean-variance based portfolio selection in DC pension schemes," Carlo Alberto Notebooks 154, Collegio Carlo Alberto, revised 2011.

Articles

  1. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2017. "Impact Of Time Illiquidity In A Mixed Market Without Full Observation," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 401-437, April.
    See citations under working paper version above.
  2. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.
    See citations under working paper version above.
  3. Aïd, René & Federico, Salvatore & Pham, Huyên & Villeneuve, Bertrand, 2015. "Explicit investment rules with time-to-build and uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 240-256.
    See citations under working paper version above.
  4. Fabbri Giorgio & Federico Salvatore, 2014. "On the Infinite-Dimensional Representation of Stochastic Controlled Systems with Delayed Control in the Diffusion Term," Mathematical Economics Letters, De Gruyter, vol. 2(3-4), pages 1-11, November.
    See citations under working paper version above.
  5. Di Giacinto, Marina & Federico, Salvatore & Gozzi, Fausto & Vigna, Elena, 2014. "Income drawdown option with minimum guarantee," European Journal of Operational Research, Elsevier, vol. 234(3), pages 610-624.
    See citations under working paper version above.
  6. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi, 2011. "Pension funds with a minimum guarantee: a stochastic control approach," Finance and Stochastics, Springer, vol. 15(2), pages 297-342, June.

    Cited by:

    1. Calisto Guambe & Rodwell Kufakunesu & Gusti Van Zyl & Conrad Beyers, 2018. "Optimal asset allocation for a DC plan with partial information under inflation and mortality risks," Papers 1808.06337, arXiv.org, revised Aug 2018.
    2. Paul Gassiat & Fausto Gozzi & Huyen Pham, 2011. "Investment/consumption problem in illiquid markets with regimes switching," Working Papers hal-00610214, HAL.
    3. Li, Danping & Rong, Ximin & Zhao, Hui & Yi, Bo, 2017. "Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 6-20.
    4. Ayşegül İşcanog̃lu-Çekiç, 2016. "An Optimal Turkish Private Pension Plan with a Guarantee Feature," Risks, MDPI, Open Access Journal, vol. 4(3), pages 1-12, June.
    5. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2017. "Impact Of Time Illiquidity In A Mixed Market Without Full Observation," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 401-437, April.
    6. Alessandro Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: a Stochastic Optimal Control Approach," Papers 1804.05354, arXiv.org.
    7. Gabay, Daniel & Grasselli, Martino, 2012. "Fair demographic risk sharing in defined contribution pension systems," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 657-669.
    8. Yao, Haixiang & Yang, Zhou & Chen, Ping, 2013. "Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 851-863.
    9. Wu, Huiling & Zhang, Ling & Chen, Hua, 2015. "Nash equilibrium strategies for a defined contribution pension management," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 202-214.
    10. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," Carlo Alberto Notebooks 108, Collegio Carlo Alberto, revised 2009.
    11. Alessandro Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: A Stochastic Optimal Control Approach," Risks, MDPI, Open Access Journal, vol. 6(2), pages 1-20, April.
    12. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.
    13. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi & Elena Vigna, 2012. "Income drawdown option with minimum guarantee," Carlo Alberto Notebooks 272, Collegio Carlo Alberto.
    14. Menoncin, Francesco & Vergalli, Sergio, 2019. "Optimal Stopping Time, Consumption, Labour, and Portfolio Decision for a Pension Scheme," ET: Economic Theory 288459, Fondazione Eni Enrico Mattei (FEEM).
    15. Yao, Haixiang & Chen, Ping & Li, Xun, 2016. "Multi-period defined contribution pension funds investment management with regime-switching and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 103-113.
    16. Masashi Ieda & Takashi Yamashita & Yumiharu Nakano, 2013. "A liability tracking approach to long term management of pension funds," Papers 1303.3956, arXiv.org.
    17. Wu, Huiling & Zeng, Yan, 2015. "Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 396-408.
    18. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," CeRP Working Papers 89, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    19. Salvatore Federico, 2011. "A stochastic control problem with delay arising in a pension fund model," Finance and Stochastics, Springer, vol. 15(3), pages 421-459, September.
    20. Yao, Haixiang & Lai, Yongzeng & Ma, Qinghua & Jian, Minjie, 2014. "Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 84-92.
    21. He, Lin & Liang, Zongxia, 2013. "Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 643-649.
    22. Zeng, Yan & Li, Danping & Chen, Zheng & Yang, Zhou, 2018. "Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 70-103.
    23. Elena Vigna, 2010. "On efficiency of mean-variance based portfolio selection in DC pension schemes," Carlo Alberto Notebooks 154, Collegio Carlo Alberto, revised 2011.
    24. Xianzhe Chen & Weidong Tian, 2014. "Optimal portfolio choice and consistent performance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 453-474, October.
    25. Chen, Zheng & Li, Zhongfei & Zeng, Yan & Sun, Jingyun, 2017. "Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 137-150.
    26. Francesco Menoncin & Elena Vigna, 2013. "Mean-variance target-based optimisation in DC plan with stochastic interest rate," Carlo Alberto Notebooks 337, Collegio Carlo Alberto.
    27. Charles I. Nkeki, 2017. "Optimal Investment And Optimal Additional Voluntary Contribution Rate Of A Dc Pension Fund In A Jump-Diffusion Environment," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 1-26, December.
    28. Menoncin, Francesco & Vigna, Elena, 2017. "Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 172-184.
    29. Marina Di Giacinto & Elena Vigna, 2012. "On the sub-optimality cost of immediate annuitization in DC pension funds," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 20(3), pages 497-527, September.
    30. Mauro Bambi & Fausto Gozzi, 2019. "Internal Habit Formation and Optimality," Working Papers 2019_01, Durham University Business School.

  7. Salvatore Federico, 2011. "A stochastic control problem with delay arising in a pension fund model," Finance and Stochastics, Springer, vol. 15(3), pages 421-459, September.

    Cited by:

    1. Przyłuski, K. Maciej, 2014. "On Infinite Dimensional Linear-Quadratic Problem with Fixed Endpoints. Continuity Question," MPRA Paper 57430, University Library of Munich, Germany.
    2. Olivier Menoukeu Pamen, 2015. "Optimal Control for Stochastic Delay Systems Under Model Uncertainty: A Stochastic Differential Game Approach," Journal of Optimization Theory and Applications, Springer, vol. 167(3), pages 998-1031, December.
    3. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.
    4. A, Chunxiang & Li, Zhongfei, 2015. "Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 181-196.
    5. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi, 2011. "Pension funds with a minimum guarantee: a stochastic control approach," Finance and Stochastics, Springer, vol. 15(2), pages 297-342, June.
    6. Li Chen & Jianhui Huang, 2015. "Stochastic Maximum Principle for Controlled Backward Delayed System via Advanced Stochastic Differential Equation," Journal of Optimization Theory and Applications, Springer, vol. 167(3), pages 1112-1135, December.
    7. Giorgio Fabbri & Fausto Gozzi & Andrzej Swiech, 2017. "Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations," Post-Print hal-01505767, HAL.

More information

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 17 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-GRO: Economic Growth (7) 2014-09-25 2015-11-07 2016-11-27 2016-12-11 2017-05-28 2018-02-26 2018-04-02. Author is listed
  2. NEP-GEO: Economic Geography (5) 2016-11-27 2016-12-11 2017-05-28 2018-02-26 2018-04-02. Author is listed
  3. NEP-ENV: Environmental Economics (4) 2018-05-28 2018-05-28 2018-06-18 2018-06-18
  4. NEP-ORE: Operations Research (4) 2014-06-28 2014-10-17 2015-11-07 2018-05-28
  5. NEP-DGE: Dynamic General Equilibrium (3) 2014-09-25 2015-11-07 2016-12-11
  6. NEP-MAC: Macroeconomics (3) 2014-09-25 2015-11-07 2015-11-07
  7. NEP-URE: Urban & Real Estate Economics (3) 2017-05-28 2018-02-26 2018-04-02
  8. NEP-AGR: Agricultural Economics (2) 2018-05-28 2018-06-18
  9. NEP-ENE: Energy Economics (2) 2018-05-28 2018-06-18
  10. NEP-PPM: Project, Program & Portfolio Management (2) 2014-09-25 2015-11-07
  11. NEP-RES: Resource Economics (2) 2018-05-28 2018-06-18
  12. NEP-AGE: Economics of Ageing (1) 2010-10-23
  13. NEP-CMP: Computational Economics (1) 2012-11-17
  14. NEP-EFF: Efficiency & Productivity (1) 2018-05-28
  15. NEP-MIC: Microeconomics (1) 2013-01-12
  16. NEP-UPT: Utility Models & Prospect Theory (1) 2013-01-12

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