7 citations · 19 across the 15 of their papers we have counts for
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q-fin.MF2025
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…
q-fin.MF2025
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…