CEBA talks 2020-2022
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Some portfolio choice problems with path-dependence

Authors: Enrico Biffis, Fausto Gozzi, Margherita Zanella, Ben Goldys, Cecilia Prosdocimi

Abstract:
In this talk I will review some work carried out in the context of portfolio choice problems with path-dependent dynamics for relevant state variables. Examples include optimal asset allocation with sticky wages, asset-liability management for pension plans and net zero alignment for financed emissions. 

Links to works:

Presentation slides