5 citations · 12 across the 4 of their papers we have counts for
4 papers
A Unified Approach to Systemic Risk Measures via Acceptance Sets
Francesca Biagini, Jean-Pierre Fouque, Marco Frittelli +1
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the…
Universal Arbitrage Aggregator in Discrete Time Markets under Uncertainty
Matteo Burzoni, Marco Frittelli, Marco Maggis
In a model independent discrete time financial market, we discuss the richness of the family of martingale measures in relation to different notions of Arbitrage, generated by a cl…
From Risk Measures to Research Measures
Marco Frittelli, Ilaria Peri
In order to evaluate the quality of the scientific research, we introduce a new family of scientific performance measures, called Scientific Research Measures (SRM). Our proposal o…
Dual Representation of Quasiconvex Conditional Maps
Marco Frittelli, Marco Maggis
We provide a dual representation of quasiconvex maps between two lattices of random variables in terms of conditional expectations. This generalizes the dual representation of quas…