Annali del Dipartimento di metodi e modelli per l'economia, il territorio e la finanza

The impact of the pandemic on tourism in Italy. Some reflections on employment

2022-07-13T10:47:24+00:00

The impact that the COVID-19 pandemic has produced on tourism has been, and in part still is, dramatic from a quantitative point of view and, in many ways, not entirely predictable from the point of view of qualitative and structural transformations. Much specialist literature has been produced on the subject practically in real time and the debate, especially from the point of view of the tourism development model of the future, is still open. In this note we try to contribute to this discussion through some observations made on the dimension of tourist occupation in Italy. It seems, in fact, that the pandemic has highlighted the many factors of structural weakness in the sector, and that the message to be received is decidedly that of a significant change in the objectives and methods of tourism development.

European migration policies between restrictions and few rights. The case of the Balkan route

2022-10-31T09:14:37+00:00

The rise of new migratory routes in the world has represented a response to the unsuccessful strategies adopted by States in the field of people mobility. The Balkan route, in Eastern Europe, came out from the migration crisis in 2015 and continues until today. The main goal of this note is to provide a detailed literature about the policies adopted by the States to manage migration along Balkan countries. It is also the aim of this paper to demonstrate how policies have produced changes in the route, violating the fundamental human rights and not reducing the number of people trying to cross the borders to reach Europe but rather creating categories of marginalized people in marginalized places.

Inclusive residency and silver cohousing: unity is strenght

2022-10-14T10:48:44+00:00

Long-term demographic dynamics, characterised by increasing life expectancy, low fertility and marital instability, pose major challenges to the Italian welfare, particularly with regard to the care of the elderly and their well-being. Ageing in place and inclusive housing are key elements to foster and promote active ageing. However, in Italy solidarity and silver cohousing projects are still scarce and limited to the sphere of social experimentation. This article presents existing good practices on the territory, which could represent a starting point for rede-signing the Italian housing system in the direction of greater inclusiveness.

Pricing through the Choquet integral

2022-10-03T11:09:28+00:00

The classical no-arbitrage pricing theory allows to price assets through a linear pricing rule, by assuming a frictionless and competitive market. Moreover, completeness of the market assures that the pricing rule is defined as a discounted expected value with respect to a unique equivalent martingale measure. On the other hand, under no-arbitrage assumption, incomplete models, such as the trinomial model, lead to a set of equivalent martingale measures. This suggests to work with non-linear pricing rules that can allow frictions in the market. A generalized pricing rule can be achieved by replacing additive measures with non-additive measures such as convex capacities and belief functions in Dempster-Shafer theory. The paper recaps results on non-additive measures and Choquet expectation as non-linear functional to be used in pricing. In the literature it has been proved that, under suitable conditions, a non-linear pricing rule can be expressed as a Choquet expectation with respect to a convex capacity. In the trinomial market model the lower probability is a belief function, but it cannot be used to reach the lower expectation through the Choquet integral. Nevertheless it can avoid a generalized Dutch book condition in the framework
of partially resolving uncertainty.

An integrated approach to casuality: the role of casual graphs

2022-11-17T11:24:17+00:00

Causal questions are central for most biomedical and social science studies. The main frameworks that allow the analysis of causal relations are Potential Outcomes and Causal Graphs. The approaches have often been compared, contrasting their relative strengths. This paper evaluates the implications of merging the two methodologies in an integrated approach. In particular, we assess how the limits of one can be compensated by the solutions provided by the other. The outlined approach employs causal graphs to discover and formalize a causal model that is then used as a guide to implementing potential outcomes identification strategies. The integrated approach could be beneficial to both frameworks. The assumptions of potential outcome methods can be assessed directly from a causal graph even in high dimensional contexts, thus making the obtained causal estimates more reliable. On the other hand, causal graphs can benefit from the several ad hoc identification strategies that have been developed in the potential outcomes literature.

Managing cash-in risk embedded in Portfolio Insurance strategies: a review

2022-10-31T08:40:24+00:00

A portfolio insurance strategy is a dynamic hedging process aiming to limit downside risk during a market downturn and allow the investor to obtain an equity market participation in the upside market. The biggest potential risk of implementing a portfolio insurance strategy is the so-called cash-in risk, i.e., the risk that the underlying asset registers huge drops before the portfolio can be rebalanced. In such cases, the value of the insured portfolio would fall below the floor (the insured capital), and the consequence is that the portfolio is fully monetized, not allowing the investor to recover the capital initially
invested. First, this paper reviews the main properties of the most important allocation algorithm, the so called Constant Proportion Portfolio Insurance
(CPPI), and how the cash-in risk embedded with this allocation strategy can be modeled and hedged. Secondly, it describes the main extensions of CPPI
proposed in the literature to improve its capability to reduce cash-in risk.

An overview on dynamic optimal portfolio allocation

2022-10-31T08:46:19+00:00

A portfolio allocation problem relies upon the decision process to establish how resources must be allocated among different possible investments. Investors are interested in gaining as much as possible from their investment, but at the same time they are concerned with risks they have to face. The aim of investors is to maximize their returns without exceeding a certain level of risk. Moreover this behaviour has to be mathematically modeled, resorting to the optimal control theory and the maximization of expected utility. This paper reviews the literature on the portoflio allocation, in order to give a complete picture of what has been done, as well as, possible contributions for future research.

Subjects, effects, and urban practices of temporary populations. The case of Rome

2022-10-24T11:04:19+00:00

The object of the research are temporary populations in urban contexts. Various forms of temporary dwelling are analysed in the literature on urban studies, such as those related to tourism, study, work and lifestyle migration, but they are treated mainly separately. Despite the strong differences between these groups, I propose temporariness as a dimension that connects them, in a macro-category that can be defined as temporary populations. Through quantitative and qualitative methods, I present data sources, numerical estimates, socio-economic characteristics, and spatial trends of this category, in the specific case study of Rome. These data and analytical methods are useful to discuss the impact of these groups on housing, economic and social dynamics and, more generally, on the city’s development model.

Sustainability toward recovery. Understanding the natural capital narrative

2022-12-02T11:21:01+00:00

The setting of the Ecological Economy has initiated new reflections on the issues of local development and has underlined the aspects of governance and relations promoted by local actors. The contribution, starting from the mitigation actions initiated in some glacial bodies of the Adamello-Presanella mountain range, reflects on the links between sustainability and recovery as they emerge from the discussions on ecosystem services and their enhancement. The reference framework for the theme of ecological transition and integration between economy and ecology is reconstructed by retracing the dynamics of global governance on the issues of sustainability and, in particular, biodiversity. The dynamics and concretization of all these aspects investigated at the local scale allows a reflection on the creation / appropriation of the value of natural capital and on local thinking about the meaning of sustainability.

Stochastic analysis of a currency issue

2022-11-17T11:27:56+00:00

This study analyses a potential investment by a possible pension investor in government bonds issued in foreign currency under a risk-return perspective. In particular, the government bond under study is the thirty-year Italy Govt ISIN US465410CC03, denominated in US dollars. By means of stochastic processes, the trend in the exchange rate between the two currencies, the dollar, and the euro, is simulated to assess its impact on the yield to maturity of the government bond considered. The analysis involves determining the probabilities of obtaining a negative yield in the different simulation scenarios. In addition, there are also determined the probabilities of obtaining returns to maturity lower than those obtainable with a similar investment instrument denominated in euro.

The role of asymmetry about investor preferences

2022-10-31T10:21:50+00:00

This article is about the role of asymmetry in the distribution of portfolio returns and investors’ preferences. It is well known that the skewness of the distribution can play some roles in preferences, but in economic theory this role is usually conflated with the concept of the utility function and, in particular, with expected utility maximization. This perspective seems to us unsatisfactory in two respects. First, the financial intuition about the possibility of accounting for asymmetries is too abstract and difficult for practitioners to grasp. Second, this strategy works only under some implicit conditions such as the existence of third moment; not such a weak assumption for financial returns. Here we propose a different strategy. It considers the comparison between the mean and the median of the distribution of returns. Thus, we obtain a representation that gives us an idea of the possibility of favouring a positive asymmetry and disfavoring a negative one. The main advantage of this representation is that it contains only probabilistic concepts (no utility theory) and is easily understood and communicated by practitioners. Moreover, in this way the existence of a third moment is not necessary, the first one is sufficient.

Minello Alessandra, Non è un paese per madri, Editori Laterza, 2022, p.150.

2022-07-30T15:58:56+00:00