1 citations · 1 across the 2 of their papers we have counts for
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q-fin.MF2021
Risk measures beyond frictionless markets
Maria Arduca, Cosimo Munari
We develop a general theory of risk measures that determines the optimal amount of capital to raise and invest in a portfolio of reference traded securities in order to meet a pre-…
q-fin.MF2020★ 1 cited
Fundamental theorem of asset pricing with acceptable risk in markets with frictions
Maria Arduca, Cosimo Munari
We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given securities market. Trading is subject to nonproportional…
q-fin.MF2019
Dual representations for systemic risk measures based on acceptance sets
Maria Arduca, Pablo Koch-Medina, Cosimo Munari
We establish dual representations for systemic risk measures based on acceptance sets in a general setting. We deal with systemic risk measures of both "first allocate, then aggreg…