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

Thu, 02 Apr 2026 00:00:00 +0000

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, Claudia Ceci — Mon, 13 Apr 2026 00:00:00 +0000

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.

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

Adriana Conti Puorger, Marco Brogna — Mon, 18 May 2026 00:00:00 +0000

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.