6 citations · 6 across the 2 of their papers we have counts for
3 papers
q-fin.MF2025
On consistency of optimal portfolio choice for state-dependent exponential utilities
Edoardo Berton, Marzia De Donno, Marco Maggis
In an arbitrage-free simple market, we demonstrate that for a class of state-dependent exponential utilities, there exists a unique prediction of the random risk aversion that ensu…
q-fin.MF2024
On conditioning and consistency for nonlinear functionals
Edoardo Berton, Alessandro Doldi, Marco Maggis
We consider a family of conditional nonlinear expectations defined on the space of bounded random variables and indexed by the class of all the sub-sigma-algebras of a given underl…
q-fin.PR2021★ 6 cited
An Efficient Unified Approach for Spread Option Pricing in a Copula Market Model
Edoardo Berton, Lorenzo Mercuri
In this study, we propose a new formula for spread option pricing with the dependence of two assets described by a copula function. The advantage of the proposed method is that it…