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2020 – today
- 2024
[j11]Alessandro Doldi
, Marco Frittelli:
Multivariate systemic optimal risk transfer equilibrium. Ann. Oper. Res. 336(1-2): 435-480 (2024)- [j10]Alessandro Doldi, Marco Frittelli, Emanuela Rosazza Gianin:
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional? SIAM J. Financial Math. 15(1): 1- (2024) - 2023
- [i1]Alessandro Doldi, Yichen Feng, Jean-Pierre Fouque, Marco Frittelli:
Multivariate Systemic Risk Measures and Deep Learning Algorithms. CoRR abs/2302.10183 (2023) - 2021
- [j9]Matteo Burzoni, Marco Frittelli, Federico Zorzi:
Short Communication: Robust Market-Adjusted Systemic Risk Measures. SIAM J. Financial Math. 12(3) (2021) - [j8]Alessandro Doldi, Marco Frittelli:
Conditional Systemic Risk Measures. SIAM J. Financial Math. 12(4): 1459-1507 (2021)
2010 – 2019
- 2019
- [j7]Matteo Burzoni, Marco Frittelli, Zhaoxu Hou, Marco Maggis, Jan Oblój:
Pointwise Arbitrage Pricing Theory in Discrete Time. Math. Oper. Res. 44(3): 1034-1057 (2019) - 2016
- [j6]Matteo Burzoni, Marco Frittelli, Marco Maggis:
Universal arbitrage aggregator in discrete-time markets under uncertainty. Finance Stochastics 20(1): 1-50 (2016) - [j5]Marco Frittelli, Loriano Mancini, Ilaria Peri:
Scientific research measures. J. Assoc. Inf. Sci. Technol. 67(12): 3051-3063 (2016) - 2011
- [j4]Marco Frittelli, Marco Maggis:
Dual Representation of Quasi-convex Conditional Maps. SIAM J. Financial Math. 2(1): 357-382 (2011)
2000 – 2009
- 2007
- [j3]Sara Biagini, Marco Frittelli:
The supermartingale property of the optimal wealth process for general semimartingales. Finance Stochastics 11(2): 253-266 (2007) - 2005
- [j2]Sara Biagini, Marco Frittelli:
Utility maximization in incomplete markets for unbounded processes. Finance Stochastics 9(4): 493-517 (2005) - 2000
- [j1]Marco Frittelli:
Introduction to a theory of value coherent with the no-arbitrage principle. Finance Stochastics 4(3): 275-297 (2000)
Coauthor Index
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