9 papers
When cooperation is beneficial to all agents
Alessandro Doldi, Marco Frittelli, Marco Maggis
Within a general semimartingale framework, we study the relationship between collective market efficiency and individual rationality. We derive a necessary and sufficient condition…
Are Shortfall Systemic Risk Measures One Dimensional?
Alessandro Doldi, Marco Frittelli, Emanuela Rosazza Gianin
Shortfall systemic (multivariate) risk measures defined through an -dimensional multivariate utility function and random allocations can be represented as classical (one…
Collective Arbitrage and the Value of Cooperation
Francesca Biagini, Alessandro Doldi, Jean-Pierre Fouque +2
We introduce the notions of Collective Arbitrage and of Collective Super-replication in a discrete-time setting where agents are investing in their markets and are allowed to coope…
Multivariate Systemic Risk Measures and Computation by Deep Learning Algorithms
Alessandro Doldi, Yichen Feng, Jean-Pierre Fouque +1
In this work we propose deep learning-based algorithms for the computation of systemic shortfall risk measures defined via multivariate utility functions. We discuss the key relate…
Risk Sharing with Deep Neural Networks
Matteo Burzoni, Alessandro Doldi, Enea Monzio Compagnoni
We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures. The problem is equivalent to computing the infima…
Conditional Systemic Risk Measures
Alessandro Doldi, Marco Frittelli
We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting. After providing a general dual representation resu…
Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality
Alessandro Doldi, Marco Frittelli
The objective of this paper is to develop a duality between a novel Entropy Martingale Optimal Transport problem (A) and an associated optimization problem (B). In (A) we follow th…
Multivariate Systemic Optimal Risk Transfer Equilibrium
Alessandro Doldi, Marco Frittelli
A Systemic Optimal Risk Transfer Equilibrium (SORTE) was introduced in: "Systemic optimal risk transfer equilibrium", Mathematics and Financial Economics (2021), for the analysis o…
Systemic Optimal Risk Transfer Equilibrium
Francesca Biagini, Alessandro Doldi, Jean-Pierre Fouque +2
We propose a novel concept of a Systemic Optimal Risk Transfer Equilibrium (SORTE), which is inspired by the Bühlmann's classical notion of an Equilibrium Risk Exchange. We provide…