Carbon neutrality and net-zero regulation. Submitted, 2024. Preprint at SSRN
Short-lived Gasses, Carbon Markets and Climate Risk Mitigation (with Enrico Biffis and Kaveh S. Nobari). Preprint 2023.
Emission impossible (with René Aid, Maria Arduca and Luca Taschini). Preprint 2023.
Representation of random variables as Lebesgue integrals (with Gordan Zitkovic). Bernoulli, 30:3, 1878-189 , 2024.
Wage rigidity and retirement in portfolio choice (with Enrico Biffis, Fausto Gozzi and Margherita Zanella). Submitted.
Optimal dynamic regulation of carbon emissions market (with René Aid). Mathematical Finance 33(1): 80-115, 2023.
Robust portfolio choice with sticky wages (with Fausto Gozzi and Margherita Zanella). SIAM Journal of Financial Mathematics, 13 (3) 2022. file: arXiv
Convex Duality and Orlicz Spaces in Expected Utility Maximization (with Ales Cerny). Mathematical Finance, 30 (1) pp 85-127, 2020 file: arXiv
Convex duality in stochastic optimization and mathematical finance II (with Teemu Pennanen and Ari-Pekka Perkkiö). Journal of Convex Analysis, 25(2) pp 403-420, 2018 file: arXiv
The robust Merton problem of an ambiguity averse investor (with Mustafa Pinar). Mathematics and Financial Economics, (1), 2017
Robust Fundamental Theorem for Continuous Processes (with B. Bouchard, K. Kardaras, M. Nutz). Mathematical Finance 27(4) pp 963-987, 2017
Dynamic quasi concave performance measures (with Jocelyne Bion-Nadal). Journal of Mathematical Economics, 55, 143-153, 2014
The best Gain-Loss Ratio is a poor performance measure (with Mustafa Pinar), SIAM Journal of Financial Mathematics, 4-1, 228-242, 2013
A note on investment opportunities when the credit line is infinite (with Mihai Sirbu). Stochastics, 84 (2-3) , 157-169, 2012
Admissible strategies in semimartingale portfolio selection (with Ales Cerny). SIAM Journal on Control and Optimization, 49(1), 42-72, 2011 Preprint version published in Collegio Carlo Alberto Notebooks, no. 117
Relaxed Utility Maximization in Complete Markets (with Paolo Guasoni). Mathematical Finance, 21 no. 4, 703-722, 2011
Indifference price with general semimartingales (with Marco Frittelli and Matheus Grasselli). Mathematical Finance, 21(3), pp. 423-446, 2011 Extended version, abridged version
Expected utility maximization: the dual approach. Item, in: Encyclopedia of Quantitative Finance, Rama Cont editor. Wiley 2009
On the extension of the Namioka-Klee theorem and on the Fatou property for Risk Measures (with M. Frittelli). Optimality and risk: modern trends in mathematical finance. The Kabanov Festschrift. Editors: F. Delbaen, M. Rasonyi, Ch. Stricker. Springer 2009
Model-free representation of pricing rules as conditional expectations (with Rama Cont) Stochastic processes and applications to mathematical finance. Proceedings of the 6th Ritsumeikan international symposium, pp 53-66. 2006 World Scientific, Singapore
A Unified Framework for Utility Maximization Problems: An Orlicz Spaces Approach (with Marco Frittelli) The Annals of Applied Probability 18/3, 929-966 (2008)
An Orlicz Spaces Duality for Utility Maximization in Incomplete Markets. Progress in Probability, Birkhauser (2008)
The supermartingale property of the optimal wealth process for general semimartingales (with Marco Frittelli). Finance and Stochastics 11/2 253-266 (2007)
Utility maximization in incomplete markets for unbounded processes (with Marco Frittelli). Finance and Stochastics, 9/4 493-517 ( 2005)
Convex duality in financial theory with general semimartingales. PhD Thesis, Scuola Normale Superiore, March 4th 2005. Winner of the INDAM-SIMAI prize 2006 (best Italian PhD thesis in APPLIED MATHEMATICS, year 2005). Available on request.
A note on the super replication price for unbounded claims (with Marco Frittelli) . Technical Report of DiMaD, University of Florence, (2004)
A new class of strategies and application to utility maximization. Technical Report of the Department of Economics, University of Perugia (March 2004)
On the super replication price of unbounded claims (with Marco Frittelli). The Annals of Applied Probability, 14/4, 1970-1991 (2004)