Compliance with Corporate Social Responsibility (CSR) standards may require capacity that varies from one aspect to the other and companies in different industries may encounter different difficulties. Since CSR is a multidimensional concept, latent variable models may be usefully employed to...

We measure, in terms of expectation and variance, the cost of hedging a contingent claim when the hedging portfolio is re-balanced at a discrete set of dates. The basic point of the methodology is to have an integral representation of the payoff of the claim, in other words to be able to write...

We examine the impact of including sustainability related constraints on optimal portfolio selection. Our analysis covers an investment set containing the components of the S&P500 index from 1993 to 2008. The optimizations are performed according to the classical mean-variance approach while...

In the last years there has been a large diffusion of financial contracts within retail costumers and some sectors of the economic and institutional world. CONSOB, the Italian supervisory authority, in a document of 2009 (CONSOB, 2009), asserts that such contracts are often constructed through...