Conference on "Integration of ESG and Climate Risk in Risks in Investment Management", Brevan Howard Centre for Financial Analysis, Ping An Technology, Grantham Institute for Climate Change April 22, 2021.
Optimal Portfolio Choice with Path Dependent Labor Income: Finite Retirement Time. Submitted. (with G. Cappa, F. Gozzi, M. Zanella). SSRN working paper here.
Parametric Insurance and Technology Adoption in Developing Countries (with E. Chavez, A. Louaas, P. Picard). To appear in The Geneva Risk and Insurance Review. SSRN working paper here. Related material here and here.
Climate disclosures and financial performance. AI driven indicators, green washing detection, and firm characteristics (with C. Yu, W. Cui, Z. Li, F. Rocciolo). Ping An Digital Economic Research Center and Brevan Howard Centre, November 2020. Some press coverage: warning on ESG ratings, AI and greenwashing detection.
Where We Stand with Climate Disclosures and Why We Need Them - A textual analysis approach to company sustainability reporting (with C. Yu, W. Cui, Z. Li, E. Chavez), Ping An Digital Economic Research Center and Brevan Howard Centre, September 2020.
Optimal Portfolio Choice with Path Dependent Labor Income: The Infinite Horizon Case (with F. Gozzi, C. Prosdocimi). SIAM Journal of Control and Optimization, 2020, vol. 58(4), pp. 1906-1938. SSRN working paper here.
Climate Change Investment Risk: Optimal Portfolio construction ahead of the transition to a lower-carbon economy (with I. Simm, D. Benedetti, F. Chatzimichalakis, L. Fedele), Annals of Operations Research, 2019. SSRN working paper here.
Carbon risk for investors: Building a “smart carbon” portfolio, IMPAX Asset Management and Imperial College Business School (joint work with I. Simm, J. Winter, and F. Chatzimichalakis).
A Pricing Formula for Delayed Contingent Claims: Appreciating the Past to Value the Future (with B. Goldys, C. Prosdocimi, M. Zanella). Under revision. SSRN working paper here.
Health Insurance, Portfolio Choice, and Retirement Incentives (with E. Barucci, D. Marazzina), 2020. Avaliable soon.
Security Posture Assessment in Conflict Areas: The Value of Spatio-Temporal Information (with D. Benedetti, M. Shoukru). Email me for paper.
Large Commercial Exposures and Tail Risk: Evidence from the Asia-Pacific P&C Insurance Market (with D. Benedetti and A. Milidonis). In progress.