7 citations · 19 across the 15 of their papers we have counts for
20 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…
The birth of (a robust) Arbitrage Theory in de Finetti's early contributions
Marco Maggis
\textit{Il significato soggettivo della probabilità} (1931) by B. de Finetti \cite{deF} is unanimously considered the rise of `subjectivism', a notion which strongly influenced bot…
On Conditional Chisini Means and Risk Measures
Alessandro Doldi, Marco Maggis
Given a real valued functional T on the space of bounded random variables, we investigate the problem of the existence of a conditional version of nonlinear means. We follow a semi…
Model Uncertainty: A Reverse Approach
Felix-Benedikt Liebrich, Marco Maggis, Gregor Svindland
Robust models in mathematical finance replace the classical single probability measure by a sufficiently rich set of probability measures on the future states of the world to captu…
Arbitrage-free modeling under Knightian Uncertainty
Matteo Burzoni, Marco Maggis
We study the Fundamental Theorem of Asset Pricing for a general financial market under Knightian Uncertainty. We adopt a functional analytic approach which require neither specific…
Stochastic Dynamic Utilities and Inter-Temporal Preferences
Marco Maggis, Andrea Maran
We propose an axiomatic approach which economically underpins the representation of dynamic preferences in terms of a stochastic utility function, sensitive to the information avai…
Disentangling Price, Risk and Model Risk: V&R measures
Marco Frittelli, Marco Maggis
We propose a method to assess the intrinsic risk carried by a financial position when the agent faces uncertainty about the pricing rule assigning its present value. Our approa…
Pointwise Arbitrage Pricing Theory in Discrete Time
Matteo Burzoni, Marco Frittelli, Zhaoxu Hou +2
We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded a…
The Fatou Closedness under Model Uncertainty
Marco Maggis, Thilo Meyer-Brandis, Gregor Svindland
We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of -quasisure bounded random variables, where $\mathcal{…
Model-free Superhedging Duality
Matteo Burzoni, Marco Frittelli, Marco Maggis
In a model free discrete time financial market, we prove the superhedging duality theorem, where trading is allowed with dynamic and semi-static strategies. We also show that the i…
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…
Conditionally Evenly Convex Sets and Evenly Quasi-Convex Maps
Marco Frittelli, Marco Maggis
Evenly convex sets in a topological vector space are defined as the intersection of a family of open half spaces. We introduce a generalization of this concept in the conditional f…
Risk Measures on and Value At Risk with Probability/Loss function
Marco Frittelli, Marco Maggis, Ilaria Peri
We propose a generalization of the classical notion of the that takes into account not only the probability of the losses, but the balance between such probability and the…
Complete duality for quasiconvex dynamic risk measures on modules of the -type
Marco Frittelli, Marco Maggis
In the conditional setting we provide a complete duality between quasiconvex risk measures defined on modules of the type and the appropriate class of dual function…
A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification
Davide La Torre, Marco Maggis
We extend the classical risk minimization model with scalar risk measures to the general case of set-valued risk measures. The problem we obtain is a set-valued optimization model…
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…