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Some remarks on arbitrage and preferences in securities markt models
Frittelli, Marco - In: Mathematical finance : an international journal of … 14 (2004) 3, pp. 351-357
Persistent link: https://www.econbiz.de/10002125515
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Risk measures on P(R) and value at risk with probability/loss function
Frittelli, Marco; Maggis, Marco; Peri, Ilaria - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 442-463
Persistent link: https://www.econbiz.de/10010484275
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Law invariant convex risk measures
Frittelli, Marco; Rosazza Gianin, Emanuela - In: Advances in mathematical economics 7 (2005), pp. 33-46
Persistent link: https://www.econbiz.de/10002904244
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Risk measures and capital requirements for processes
Frittelli, Marco; Scandolo, Giacomo - In: Mathematical finance : an international journal of … 16 (2006) 4, pp. 589-612
Persistent link: https://www.econbiz.de/10003394174
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On the extension of the Namioka-Klee theorem and on the Fatou property for risk measures
Biagini, Sara; Frittelli, Marco - In: Optimality and risk - modern trends in mathematical …, (pp. 1-28). 2009
Persistent link: https://www.econbiz.de/10003948442
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Universal arbitrage aggregator in discrete-time markets under uncertainty
Burzoni, Matteo; Frittelli, Marco; Maggis, Marco - In: Finance and stochastics 20 (2016) 1, pp. 1-50
Persistent link: https://www.econbiz.de/10011459932
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On fairness of systemic risk measures
Biagini, Francesca; Fouque, Jean-Pierre; Frittelli, Marco; … - In: Finance and stochastics 24 (2020) 2, pp. 513-564
Persistent link: https://www.econbiz.de/10012253395
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Systemic optimal risk transfer equilibrium
Biagini, Francesca; Doldi, Alessandro; Fouque, Jean-Pierre - In: Mathematics and financial economics 15 (2021) 2, pp. 233-274
Persistent link: https://www.econbiz.de/10012500020
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Disentangling price, risk and model risk : V&R measures
Frittelli, Marco; Maggis, Marco - In: Mathematics and financial economics 12 (2018) 2, pp. 219-247
Persistent link: https://www.econbiz.de/10011963851
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Collective dynamic risk measures
Doldi, Alessandro; Frittelli, Marco; Rosazza Gianin, … - In: Frontiers of mathematical finance : FMF 3 (2024) 3, pp. 376-399
Persistent link: https://www.econbiz.de/10015376040