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Sara Biagini

Sara Biagini
Associate Professor


Professor of Mathematical Finance at LUISS G. Carli, with  national habilitations for Full Professor in Mathematics for Economics, Sector 13/D4 and Associate Professor in Analysis and Probability, Sector 01/A3 (bibliometric sector).

Areas of research: Analysis and Probability, Financial Mathematics, Mathematical Method for Economics, Mathematics for Economics and Finance, Portfolio Optimization, Risk Management

Main publications (last 10 years)

  • Biagini, Sara; Pennanen, Teemu; Perkio, Ari Pekka (2018). Duality and Optimality Conditions in Stochastic Optimization and Mathematical Finance. JOURNAL OF CONVEX ANALYSIS, p. 403-420. ISSN 0944-6532.
  • Biagini, Sara; Pınar, Mustafa Ç. (2017). The robust Merton problem of an ambiguity averse investor. MATHEMATICS AND FINANCIAL ECONOMICS, p. 1-24. ISSN 1862-9679.
  • Biagini, Sara; Bouchard, Bruno; Kardaras, Constantinos; Nutz, Marcel (2017). Robust fundamental theorem for continuous processes. MATHEMATICAL FINANCE, p. 963-987. ISSN 0960-1627.
  • Biagini, Sara; Jocelyne Bion, Nadal (2014). Dynamic quasi concave performance measures. JOURNAL OF MATHEMATICAL ECONOMICS, p. 143-153. ISSN 0304-4068.
  • Biagini, Sara; Pinar, M. (2013). The best gain-loss ratio is a poor performance measure. SIAM JOURNAL ON FINANCIAL MATHEMATICS, p. 228-242. ISSN 1945-497X.
  • Biagini, Sara; Sirbu, Mihai (2012). A note on investment opportunities when the credit line is infinite. STOCHASTICS, p. 157-169. ISSN 1744-2508.
  • Biagini, Sara; Guasoni, P. (2011). Relaxed Utility Maximization in Complete Markets. MATHEMATICAL FINANCE, p. 703-722. ISSN 0960-1627.
  • Biagini, Sara; Marco, Frittelli; Matheus, Grasselli (2011). Indifference price with general semimartingales. MATHEMATICAL FINANCE, p. 423-446. ISSN 0960-1627.
  • Biagini, Sara; Cerny, Ales (2011). Admissible strategies in semimartingale portfolio selection. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, p. 42-72. ISSN 0363-0129.