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