5 papers
Collective completeness and pricing-hedging duality II
Alessandro Doldi, Marco Frittelli, Marco Maggis
This paper complements and extends Doldi, Frittelli and Maggis, Collective completeness and pricing-hedging duality, Math. Finan. Econ. 19, 757-784 (2025), by studying collective p…
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…
Collective completeness and pricing hedging duality
Alessandro Doldi, Marco Frittelli, Marco Maggis
This paper builds on "Collective Arbitrage and the Value of Cooperation" by Biagini et al. (2025, forthcoming in "Finance and Stochastics"), which introduced in discrete time the n…
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…
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…