Rate My Professor Rafael Perdomo

Serrano Perdomo's research focuses on stochastic optimization in finance, including utility maximization in multi-dimensional semi-martingale settings with non-linear wealth dynamics, optimal portfolio selection under capital gains taxes and differential rates, portfolio optimization with range-dependent utility functions and expected loss restrictions, and asset-liability management for insurers with portfolio constraints. As principal investigator, he has directed projects such as 'Utility maximization in multi-dimensional semi-martingale setting with non-linear wealth dynamics,' 'Finanzas sostenibles en mercados emergentes,' 'Optimal allocation, asset-liability matching and risk control for insurers,' 'Modelos estocásticos de mercados financieros con saltos que dependen de tiempos inter-arribo,' and 'Modelación estocástica y trading algorítmico del spread entre activos financieros.' He has produced 15 scientific outputs, mainly journal articles. Key publications include 'Existence of optimal controls for stochastic Volterra equations' (2025, ESAIM: Control, Optimisation and Calculus of Variations, with A. Cárdenas and S. Pulido), 'Optimal investment with insurable background risk and nonlinear portfolio allocation frictions' (2025, Applied Mathematics and Computation, with H. E. Ramírez), 'ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach' (2024, Computational and Applied Mathematics, with C. Castillo), 'Climbing the income ladder: Search and investment in a regime-switching affine income model' (2023, Finance Research Letters), 'Optimal control of investment, premium and deductible for a non-life insurance company' (2021, Insurance: Mathematics and Economics, with B. J. Christensen and J. C. Parra-Alvarez), 'Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics' (2021), 'Portfolio allocation in a Levy-type jump-diffusion model with nonlife insurance risk' (2021), 'Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models' (2015), and 'A note on space–time Hölder regularity of mild solutions to stochastic Cauchy problems in Lp-spaces' (2015). These works contribute significantly to stochastic finance, risk management, and actuarial mathematics.