7 citations · 19 across the 15 of their papers we have counts for
9 papers · 1 filter
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…
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…
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…
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…