Cover Image

Carbon-Penalised Portfolio Insurance Strategies in a Stochastic Factor Model with Partial Information

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Colaneri, Katia, D'Amario, Federico, Mancinelli, Daniele
Format:	Preprint
Published:	2025
Subjects:	Portfolio Management 49L12, 60J76, 91B16, 91G20
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Exploratory Mean-Variance with Jumps: An Equilibrium Approach
by: Chen, Yuling Max, et al.
Published: (2025)

Portfolio Optimization under Transaction Costs with Recursive Preferences
by: Herdegen, Martin, et al.
Published: (2024)

Portfolio Optimization with Feedback Strategies Based on Artificial Neural Networks
by: Kopeliovich, Yaacov, et al.
Published: (2024)

Optimal Consumption-Investment with Epstein-Zin Utility under Leverage Constraint
by: Tian, Dejian, et al.
Published: (2025)

Goal-based portfolio selection with fixed transaction costs
by: Bayraktar, Erhan, et al.
Published: (2025)

Portfolio Optimization in a Market with Hidden Gaussian Drift and Randomly Arriving Expert Opinions: Modeling and Theoretical Results
by: Gabih, Abdelali, et al.
Published: (2023)

Bayesian optimal investment and reinsurance with dependent financial and insurance risks
by: Bäuerle, Nicole, et al.
Published: (2021)

Robo-Advising in Motion: A Model Predictive Control Approach
by: Bielecki, Tomasz R., et al.
Published: (2026)

Risk-aware Trading Portfolio Optimization
by: Bianchetti, Marco, et al.
Published: (2025)

Pathwise analysis of log-optimal portfolios
by: Allan, Andrew L., et al.
Published: (2025)

Hedging in Jump Diffusion Model with Transaction Costs
by: Almani, Hamidreza Maleki, et al.
Published: (2024)

Optimal Investment and Consumption in a Stochastic Factor Model
by: Gutekunst, Florian, et al.
Published: (2025)

Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning
by: Chen, An, et al.
Published: (2023)

Signature Methods in Stochastic Portfolio Theory
by: Cuchiero, Christa, et al.
Published: (2023)

Representation of forward performance criteria with random endowment via FBSDE and its application to forward optimized certainty equivalent
by: Liang, Gechun, et al.
Published: (2023)

Well Posedness of Utility Maximization Problems Under Partial Information in a Market with Gaussian Drift
by: Gabih, Abdelali, et al.
Published: (2022)

Optimal annuitization with labor income under age-dependent force of mortality
by: Birungi, Criscent, et al.
Published: (2025)

Constrained monotone mean--variance investment-reinsurance under the Cramér--Lundberg model with random coefficients
by: Shi, Xiaomin, et al.
Published: (2024)

The Sherman-Morrison-Markowitz Portfolio
by: Pav, Steven E.
Published: (2026)

On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework
by: Colaneri, Katia, et al.
Published: (2024)

Rank-Dependent Predictable Forward Performance Processes
by: Angoshtari, Bahman, et al.
Published: (2024)

A Clarifying Note on Long-Horizon Investment and Dollar-Cost Averaging: An Effective Investment Exposure Perspective
by: Sato, Zeusu
Published: (2025)

Longitudinal review of portfolios with minimum variance approach before during and after the pandemic
by: Ossa, Genjis A., et al.
Published: (2025)

Periodic portfolio selection with quasi-hyperbolic discounting
by: Hamaguchi, Yushi, et al.
Published: (2024)

On the Expected Maximum Deficit and the Optimal Allocation of Reserves
by: Lefevre, Claude, et al.
Published: (2026)

Portfolio and reinsurance optimization under unknown market price of risk
by: Ceci, Claudia, et al.
Published: (2024)

Deep Hedging to Manage Tail Risk
by: Ma, Yuming
Published: (2025)

On a fundamental statistical edge principle
by: Gastaldi, Tommaso
Published: (2024)

Bifurcation in optimal retirement
by: Ashraf, Bushra Shehnam, et al.
Published: (2025)

Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion
by: Lamert, Kerstin, et al.
Published: (2023)

Utility-Invariant Support Selection and Eventwise Decoupling for Simultaneous Independent Multi-Outcome Bets
by: Long, Christopher D.
Published: (2026)

Time-consistent portfolio selection with monotone mean-variance preferences
by: Wang, Yike, et al.
Published: (2025)

Black-Scholes-Merton Option Pricing Revisited: Did we Find a Fatal Flaw?
by: Mink, Mark, et al.
Published: (2022)

Mean Field Equilibrium Asset Pricing Models With Exponential Utility
by: Sekine, Masashi
Published: (2026)

Robust Portfolio Selection under State-dependent Confidence Set
by: Guan, Guohui, et al.
Published: (2024)

Uncertainty Quantification in Portfolio Temperature Alignment
by: Weichel, Hendrik, et al.
Published: (2024)

Robust forward investment and consumption under drift and volatility uncertainties: A randomization approach
by: Chong, Wing Fung, et al.
Published: (2024)

Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
by: Escobar-Anel, Marcos, et al.
Published: (2022)

Nonconcave Portfolio Choice under Smooth Ambiguity
by: Borgonovo, Emanuele, et al.
Published: (2026)

Mesoscopic Structure of the Stock Market and Portfolio Optimization
by: Zema, Sebastiano Michele, et al.
Published: (2021)