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A goal programming model with satisfaction function for risk management and optimal portfolio diversification
Maggis, Marco; La Torre, Davide - In: INFOR : information systems and operational research 50 (2012) 3, pp. 117-126
Persistent link: https://www.econbiz.de/10009748817
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Multivariate systemic risk measures and computation by deep learning algorithms
Doldi, A.; Feng, Y.; Fouque, Jean-Pierre; Frittelli, Marco - In: Quantitative finance 23 (2023) 10, pp. 1431-1444
Persistent link: https://www.econbiz.de/10014419169
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On entropy martingale optimal transport theory
Doldi, Alessandro; Frittelli, Marco; Rosazza Gianin, … - In: Decisions in economics and finance : a journal of … 47 (2024) 1, pp. 1-42
Persistent link: https://www.econbiz.de/10015044783
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Entropy martingale optimal transport and nonlinear pricing-hedging duality
Doldi, Alessandro; Frittelli, Marco - In: Finance and stochastics 27 (2023) 2, pp. 255-304
Persistent link: https://www.econbiz.de/10014253636