A neural network approach for the mortality analysis of multiple populations: a case study on data of the Italian population
European Actuarial Journal
2024
Mean–variance optimization under affine GARCH: A utility-based solution
Finance Research Letters
2024
59
104749
The Power of Derivatives in Portfolio Optimization under Affine GARCH models
Decisions in Economics and Finance
2024
On the estimation of distributional household wealth – Solving under-reporting via optimization problems
European Central Bank Working Paper Series
2023
2865
A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall–Olkin dependence
Frontiers of Mathematical Finance
2023
Mean-Variance Optimization under Affine GARCH: A Utility-Based Solution
Finance Research Letters, accepted for publication
2023
Bayesian learning in an Affine GARCH model with application to portfolio optimization
Working Paper submitted for publication
2023
A Multi-Curve HJM Factor model for pricing and risk management
Quantitative Finance
2023
Vol. 23
No. 11
1659–1675