Dipartimento di Scienze
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Research Series

Title:Optimal Investment Problems with Marked Point Stock Dynamics
Author(s):Claudia Ceci
Files: [pdf] [bib]
Abstract:Optimal investment problems in an incomplete financial market with pure jump stock dynamics are studied. An investor with Constant Relative Risk Aversion (CRRA) preferences, including the logarithmic utility, wants to maximize her/his expected utility of terminal wealth by investing in a bond and in a risky asset. The risky asset price is modeled as a geometric marked point process, whose dynamics is driven by two independent doubly stochastic Poisson processes, describing upwards and downwards jumps. A stochastic control approach allows us to provide optimal investment strategies and closed formulas for the value functions associated to the utility optimization problems. Moreover, the solution to the dual problems associated to the utility maximization problems are derived.

Title:Camina kernels with very few conjugacy classes
Author(s):Leonardo Cangelmi and Arun S. Muktibodh
Files: [pdf] [bib]
Abstract:Let G be a finite group having a proper normal subgroup K such that the conjugacy classes outside K coincide with the cosets of K. The subgroup K turns out to be the derived subgroup of G, so the group G is either abelian or Camina. Hence, we propose to classify Camina groups according to the number of conjugacy classes contained in their derived subgroup, and we give the complete characterization when the derived subgroup is made up of two or three conjugacy classes.