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Article
Optimal vaccination in a SIRS epidemic model
We propose and solve an optimal vaccination problem within a deterministic compartmental model of SIRS type: the immunized population can become susceptible again, e.g. because of a not complete immunization p...
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Article
Open AccessRisk-adjusted geometric diversified portfolios
In this paper, exploiting a geometric argument, a novel and intuitive approach to portfolio diversification is proposed. The risk-adjusted geometric diversified portfolio is obtained as the point that is equal...
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Article
Open AccessOptimal proportional and excess-of-loss reinsurance for multiple classes of insurance business
In this paper we consider a reinsurance strategy which combines a proportional and an excess-of-loss reinsurance in a risk model with multiple dependent classes of insurance business. Under the assumption that...
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Article
A rescaling technique to improve numerical stability of portfolio optimization problems
This paper analyzes the numerical stability of Markowitz portfolio optimization model, by identifying and studying a source of instability, that strictly depends on the mathematical structure of the optimizati...
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Article
Open AccessConnectedness versus diversification: two sides of the same coin
In the financial framework, the concepts of connectedness and diversification have been introduced and developed respectively in the context of systemic risk and portfolio theory. In this paper we propose a th...
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Chapter and Conference Paper
Numerical Stability of Optimal Mean Variance Portfolios
In this paper we study the numerical stability of the closed form solution of the classical portfolio optimization problem. Such explicit solution relies upon a technical symmetric square matrix
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Article
Proper measures of connectedness
The concept of connectedness has been widely used in financial applications, in particular for systemic risk detection. Despite its popularity, at the state of the art, a rigorous definition of connectedness i...
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Chapter
Rational Normal Curves as Set-Theoretic Complete Intersections of Quadrics
In the first part of this paper we present a short survey on the problem of the representation of rational normal curves as set-theoretic complete intersections. In the second part we use a method, introduced by ...
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Article
Thinning Out Redundant Empirical Data
Given a set \({\mathbb{X}}\) of “empirical” points, whose coordinates are perturbed by errors, we analyze whether i...