Working Papers

From Department of Applied Mathematics, Università Ca' Foscari Venezia
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206: The power of diversity over large solution spaces

Marco LiCalzi and Oktay Sürücü

205: Preliminary Studies on a Variant of TSP for Servicing Printers and Copiers

Daniela Favaretto and Paola Pellegrini

204: Identity, reputation and social interaction with an application to sequential voting

Emilio Barucci and Marco Tolotti

203: Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements

Antonella Campana and Paola Ferretti

202: Learning Cancellation Strategies in a Continuous Double Auction Market

Lucia Milone

201: Relative performance of SRI equity funds: An analysis of European funds using Data Envelopment Analysis

Antonella Basso and Stefania Funari

200: An Ordinal Approach to Risk Measurement

Marta Cardin and Miguel Couceiro

199: Lying for the Greater Good: Bounded Rationality in a Team

Oktay Sürücü

198: Extracting Implied Dividends from Options Prices: some Applications to the Italian Derivatives Market

Martina Nardon and Paolo Pianca

197: Airport slot allocation in Europe: economic efficiency and fairness

Lorenzo Castelli, Paola Pellegrini and Raffaele Pesenti

196: Convergence of outcomes and evolution of strategic behavior in double auctions

Shira Fano, Marco Li Calzi and Paolo Pellizzari

195: Implied volatilities of American options with cash dividends: an application to Italian Derivatives Market (IDEM)

Martina Nardon and Paolo Pianca

194: Optimal investment in age-structured goodwill

Silvia Faggian and Luca Grosset

193: Portfolio management with minimum guarantees: some modeling and optimization issues

Diana Barro and Elio Canestrelli

192: Bounds on the speed and on regeneration times for certain processes on regular trees

Andrea Collevecchio and Tom Schmitz

191: Allocating Air Traffic Flow Management Slots

Lorenzo Castelli, Raffaele Pesenti and Andrea Ranieri

190: Some effects of transaction taxes under different microstructures

Paolo Pellizzari and Frank Westerhoff

189: The dynamics of social interaction with agents’ heterogeneity

Emilio Barucci and Marco Tolotti

188: Mutual funds flows and the "Sheriff of Nottingham" effect

Lucia Milone and Paolo Pellizzari

187: Symmetric Equilibria in Double Auctions with Markdown Buyers and Markup Sellers

Roberto Cervone, Stefano Galavotti and Marco LiCalzi

186: Credit contagion in a network of firms with spatial interaction

Diana Barro and Antonella Basso

185: What Sequences obey Benford's Law ?

Marco Corazza, Andrea Ellero and Alberto Zorzi

184: Limit Theorems for Reinforced Jump Processes on Regular Trees

Andrea Collevecchio

183: Multivariate dependence modeling using copulas

Marta Cardin and Maddalena Manzi

182: Equilibrium Points for Optimal Investment with Vintage Capital

Silvia Faggian

181: Maximum Principle for Boundary Control Problems Arising in Optimal Investment with Vintage Capital

Silvia Faggian

180: A Modified Galam's Model

Andrea Ellero, Giovanni Fasano and Annamaria Sorato

179: Notes on a 3-term Conjugacy Recurrence for the Iterative Solution of Symmetric Linear Systems

Giovanni Fasano

178: An efficient binomial approach to the pricing of options on stocks with cash dividends

Martina Nardon and Paolo Pianca

177: An MCDA-based Approach for Creditworthiness Assessment

Marco Corazza, Stefania Funari and Federico Siviero

176: Modelling smoothly the joint effect of several advertising media on sales in a homogeneous market

Annamaria Sorato and Bruno Viscolani

175: What do distortion risk measures tell us on excess of loss reinsurance with reinstatements ?

Antonella Campana and Paola Ferretti

174: Optimal investment models with vintage capital: Dynamic Programming approach

Silvia Faggian and Fausto Gozzi

173: A new algorithm for the 2-period Balanced Traveling Salesman Problem in Euclidean graphs

Tatiana Bassetto and Francesco Mason

172: Tracking error with minimum guarantee constraints

Diana Barro and Elio Canestrelli

171: A network of business relations to model counterparty risk

Diana Barro and Antonella Basso

170: Fuzzy interval net present value

Marco Corazza and Silvio Giove

169: Exploration in stochastic algorithms: An application on MAX-MIN Ant System

Paola Pellegrini, Elena Moretti and Daniela Favaretto

168: Allocative efficiency and traders' protection under zero intelligence behavior

Marco LiCalzi, Lucia Milone and Paolo Pellizzari

167: Leading advertisers efficiency evaluated by data envelopment analysis

Andrea Ellero, Stefania Funari and Elena Moretti

166: Multivariate measures of positive dependence

Marta Cardin

165: Some proposals about multivariate risk measurement

Marta Cardin and Elisa Pagani

164: Zero-Intelligence Trading without Resampling

Marco LiCalzi and Paolo Pellizzari

163: Urn-based models for dependent credit risks and their calibration through EM algorithm

Riccardo Gusso and Uwe Schmock

162: A credit contagion model for the dynamics of the rating transitions in a SME bank loan portfolio

Antonella Basso and Riccardo Gusso

161: On Efficient Trading Mechanisms with Ex-Post Individually Rational Traders

Stefano Galavotti

160: Asset return and wealth dynamics with reference dependent preferences and heterogeneous beliefs

Sergiy Gerasymchuk

159: Aggregation functions: an approach using copulae

Marta Cardin and Maddalena Manzi

158: A fractional optimal control problem for maximizing advertising efficiency

Igor Bykadorov, Andrea Ellero, Stefania Funari and Elena Moretti

157: Cumulative prospect theory and second order stochastic dominance criteria: an application to mutual funds performance

Giuseppe De Nadai and Paolo Pianca

156: On non-monotonic Choquet integrals as aggregation functions

Marta Cardin and Silvio Giove

155: Advertising and production of a seasonal good for a heterogeneous market: from total segment separability to real media

Daniela Favaretto and Bruno Viscolani

154: The 2-period balanced traveling salesman problem

Tatiana Bassetto and Francesco Mason

153: DEA models for ethical and non ethical mutual funds with negative data

Antonella Basso and Stefania Funari

152: Efficient Egalitarian Equivalent Allocations over a Single Good

Marco LiCalzi and Antonio Nicolo'

151: Which market protocols facilitate fair trading?

Marco LiCalzi and Paolo Pellizzari

150: Mean-Variance Portfolio Selection with Reference Dependent Preferences

Sergiy Gerasymchuk

149: Asset price dynamics with small world interactions under hetereogeneous beliefs

Valentyn Panchenko, Sergiy Gerasymchuk and Oleg Pavlov

148: A solving tool for fuzzy quadratic optimal control problems

Silvio Giove and Paolo Bortot

147: On the efficient application of the repeated Richardson extrapolation technique to option pricing

Luca Barzanti, Corrado Corradi and Martina Nardon

146: On Bounds for Concave Distortion Risk Measures for Sums of Risks

Antonella Campana and Paola Ferretti

145: Simulation techniques for generalized Gaussian densities

Martina Nardon and Paolo Pianca

144: Incomplete pairwise comparison and consistency optimization

Michele Fedrizzi and Silvio Giove

143: A credit contagion model for loan portfolios in a network of firms with spatial interaction

Diana Barro and Antonella Basso

142: On the characterization of convex premium principles

Marta Cardin and Graziella Pacelli

141: Financial trading systems: Is recurrent reinforcement the via?

Francesco Bertoluzzo and Marco Corazza

140: A comparison of different trading protocols in an agent-based market

Paolo Pellizzari and Arianna Dal Forno

139: A copula-based approach to aggregation functions

Marta Cardin and Maddalena Manzi

138: Selection matters

Paolo Pin

137: Nonlinear Bivariate Comovements of Asset Prices: Theory and Tests

Marco Corazza, Anastasios Malliaris and Elisa Scalco

136: Simple Market Protocols for Efficient Risk Sharing

Marco LiCalzi and Paolo Pellizzari

135: Learning and equilibrium selection in a coordination game with heterogeneous agents

Alberto Fogale, Paolo Pellizzari and Massimo Warglien

134: The allocative effectiveness of market protocols under intelligent trading

Marco LiCalzi and Paolo Pellizzari