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Financial Performance Analysis & Evaluation
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Asset Liability Management
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We deal with:

  • Static and dynamic portfolio optimization models for strategic and/or tactical allocation
  • Quantitative models and methods for equity and mutual fund screening and the management of Environmental Social and Governance (ESG), Socially Responsible Investing (SRI) and Environmentally Friendly (EF) portfolios, also usable by mutual funds, pension funds, separate managements
  • Development of simulation methods and approaches
  • Design, development and possibly maintenance of models for portfolio management capable of integrating the economic and financial scenarios designed in the strategic investment allocation phase

Financial Performance Analysis & Evaluation

GRETA provides advanced services associable with the assessment and analysis of financial performance achieved by a managed portfolio.

These techniques for measuring, evaluating and analyzing financial performance allow various applications in the financial world


GRETA provides advisory services to Investment Funds and Pension Funds by carrying out customized analyzes and providing scientific advice on the regularly calculated measures.

Every month, GRETA analyzes the negotiated pension funds performance providing an independent evaluation of the produced results.

Advisory activities are accompanied by the ex-ante evaluation of the possible performances that a given investment process, and in particular its associated benchmark, can guarantee over medium-long time horizons.

Asset Liability Management

GRETA carries out activities in areas related to ALM (Asset Liability Management).

The goal is the intertemporal management of the client's financial planning according to his specific investment objective.

The investment objective represents:

  • the achievement of a target investment sum
  • at a specific deadline in the future (time horizon of the goal)
  • based on a certain initial amount invested
  • with the possibility of making or withdrawing sums during the period of validity.

Pension Fund Performances

GRETA - PFP (GRETA - Pension Fund Performances) is a service dedicated to closed pension funds, which constitute a consistent part of retirement investments and are an alternative to the Severance Pay, the so-called TFR in Italy. However, these Funds, operating in evolving financial markets, are subject to high volatility and dynamism.
Therefore, the need to have rigorous, reliable and timely performance measures, built using the quantitative methodologies of finance theory, which allow choosing the Fund, considering its evolution, the ability to generate risk value, and its actual exposure to the market indices considered, arises.

Financial Education & Training

Taking into account the specific operational areas of the client, GRETA organizes training courses for the client's staff and provides support to assess its financial knowledge



Massimiliano Caporin
Massimiliano Caporin
Associate, Sceintific Committee and Area Manager
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Fausto Corradin
Fausto Corradin
Associate and Area Manager
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Recent pubblications in this area

  • Exploration and Exploitation in Optimizing a Basic Financial Trading System: A Comparison Between FA and PSO Algorithms , Progresses in Artificial Intelligence and Neural Systems

    Pizzi C, Bitto I, Corazza M
  • Q-Learning-based financial trading: some results and comparisons in Marco Corazza, Progresses in Artificial Intelligence and Neural Systems

    Corazza M
  • A note on “Portfolio selection under possibilistic mean-variance utility and a SMO algorithm”

    Corazza M
  • Stochastic Volatility Model With Realized Measures for Option Pricing

    Bormetti G, Casarin R, Corsi F, Livieri G. A

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