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  1. Article

    Open Access

    Optimal chance-constrained pension fund management through dynamic stochastic control

    We apply a dynamic stochastic control (DSC) approach based on an open-loop linear feedback policy to a classical asset-liability management problem as the one faced by a defined-benefit pension fund (PF) manager....

    Davide Lauria, Giorgio Consigli, Francesca Maggioni in OR Spectrum (2022)

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  2. Article

    Open Access

    A Stackelberg game for the Italian tax evasion problem

    In this paper, we consider the problem of tax evasion, which occurs whenever an individual or business ignores tax laws. Fighting tax evasion is the main task of the Economic and Financial Military Police, whi...

    Gianfranco Gambarelli, Daniele Gervasio… in Computational Management Science (2022)

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  3. Article

    Correction to: Preface: Stochastic optimization: theory and applications

    This erratum is published due to proofing error as author corrections were overlooked.

    Giorgio Consigli, Darinka Dentcheva, Francesca Maggioni in Annals of Operations Research (2020)

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