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

An Empirical Evaluation of Hierarchical Clustering-Based Portfolio Selection Models

Alessandra Carleo — 2026-04-02

This paper investigates the empirical performance of hierarchical clustering-based asset allocation models. These models use clustering techniques to inform portfolio construction without relying on traditional optimization.
We evaluate several variants of these methods and compare their out-of-sample performance with standard portfolio selection strategies. Our results suggest that hierarchical clustering models offer competitive and often superior risk-adjusted returns, demonstrating robustness across different market conditions and asset universes.

A Critical Review of Stochastic Control Approaches in Government Debt Management

Luca Semerari — 2026-04-13

This paper provides a comprehensive and critical review of the literature on stochastic control methods applied to sovereign debt management. In the face of increasing economic uncertainty and fiscal constraints, stochastic control theory has emerged as a powerful framework for modeling the dynamics of the debt-to-GDP ratio and designing optimal fiscal policies. We present an overview of existing models based on their methodological foundations, spanning from deterministic benchmarks to advanced stochastic formulations that account for multiple sources
of randomness and partial information. The review highlights key theoretical contributions, including the use of dynamic programming, Hamilton–Jacobi–Bellman (HJB) equations, HJB-variational equations and filtering techniques which are applied in partial information frameworks. We compare models across different controlled dynamics for the debt-to-GDP ratio, objective functionals, information structures, and policy implications. Moreover, we highlight some areas where further refinement could enhance current approaches, including assumptions, empirical calibration, and interpretability. Finally, we suggest promising avenues for future research, focusing on models that combine endogenous growth, robust fiscal policy design, and advanced mathematical techniques.

Artificial Roughness in Volatility Models: A Critical Review of Hurst Exponent Estimation

Daniele Angelini — 2026-07-20

Over the past decade, rough volatility models have emerged as a dominant paradigm in quantitative finance, supported by extensive empirical evidence suggesting that volatility exhibits paths rougher than Brownian motion. This conclusion is primarily based on the estimation of the Hurst exponent from high-frequency volatility proxies.
In this critical review, we argue that observed roughness does not necessarily imply intrinsic roughness of the underlying volatility process. We show that a non-negligible part of the empirical evidence supporting rough volatility may instead arise from statistical and finite-sample artifacts induced by commonly used Hurst exponent estimators. We critically examine the main classes of estimation methods employed in the literature, highlighting their implicit assumptions, sensitivity to market microstructure effects, proxy construction, scale selection, and finite-sample biases. The original contribution of the review is to organize these mechanisms within an integrated identification framework linking latent volatility, the observation scheme, the volatility proxy, and the estimation method. This framework clarifies the conditions under which a low estimated Hurst exponent may be interpreted as
evidence of structural roughness and provides operational criteria based on robustness across proxies, scales, and estimators. Rather than rejecting rough volatility models, the review separates their statistical interpretation from their possible economic usefulness and outlines research directions involving volatility forecasting, option pricing, hedging, and risk management.

Climate Change and Parametric Insurance: Rethinking Indices and Dependence

Davide Feleppa — 2026-09-29

Parametric insurance is an increasingly important risk transfer instrument for managing weather related risks, particularly in agriculture, where traditional insurance is constrained by information asymmetries and high verification costs. Parametric insurance mitigates moral hazard and adverse selection but introduces basis risk due to imperfect alignment between index realizations and actual losses. This paper reviews the literature along three interconnected dimensions: the theoretical foundations of basis risk, the construction of indices for agricultural insurance, and the modeling of the dependence structure between them and agricultural yields or revenues. By
synthesizing these strands, the review highlights that reducing basis risk requires not only improved index design but also an accurate representation of the joint distribution of climatic variables and agricultural outcomes, particularly in the lower tail where catastrophic losses concentrate. This challenge is further amplified by climate change, which increases the frequency and severity of extreme events and threatens the stability of historically estimated climate–yield relationships.

Tourism Policies and Urban Transformations in Rome: an Exploratory Analysis of Forms of Dispossession

Adriana Conti Puorger — 2026-05-18

This paper offers an exploratory analysis of tourism policies in Rome, linking recent sectoral dynamics to the concept of dispossession, understood as the erosion of the urban commons. Rather than advancing a normative framework, the study draws on selected theoretical insights into neoliberal urban transformations in order to interpret
the Roman context. Focusing on the expansion of short-term rentals, the paper reflects on the tensions between individual adaptive strategies and collective spatial outcomes in the aftermath of the economic and pandemic crises. The analysis suggests that tourism-led transformations may contribute to the reconfiguration of urban space into a widespread hospitality environment, with implications for everyday life and social relations. The findings are intended as preliminary and interpretative.