Santiago Moreno-Bromberg

  1. Efficiency and Equilibria in Games of Optimal Derivative Design.

    Authors: Santiago Moreno-Bromberg, Ulrich Horst
    Subjects: Trading and Market Microstructure
    Abstract

    In this paper the problem of optimal derivative design, profit maximization
    and risk minimization under adverse selection when multiple agencies compete
    for the business of a continuum of heterogenous agents is studied. The presence
    of ties in the agents' best-response correspondences yields discontinuous
    payoff functions for the agencies. These discontinuities are dealt with via
    efficient tie--breaking rules.

  2. CRRA Utility Maximization under Risk Constraints.

    Authors: Anthony Réveillac, Santiago Moreno-Bromberg, Traian Pirvu
    Subjects: Portfolio Management
    Abstract

    This paper studies the problem of optimal investment with CRRA (constant,
    relative risk aversion) preferences, subject to dynamic risk constraints on
    trading strategies. The market model considered is continuous in time and
    incomplete; furthermore, financial assets are modeled by It\^{o} processes. The
    dynamic risk constraints (time, state dependent) are generated by risk
    measures.

  3. Pollution permits, Strategic Trading and Dynamic Technology Adoption.

    Authors: Santiago Moreno-Bromberg, Luca Taschini
    Subjects: Trading and Market Microstructure
    Abstract

    This paper analyzes the dynamic incentives for technology adoption under a
    transferable permits system, which allows for strategic trading on the permit
    market. Initially, firms can invest both in low-emitting production
    technologies and trade permits. In the model, technology adoption and allowance
    price are generated endogenously and are inter-dependent.

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