Marco Frittelli

According to our database, Marco Frittelli authored at least 11 papers between 2000 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of five.

2024

Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?

Alessandro Doldi, Marco Frittelli, Emanuela Rosazza Gianin

SIAM J. Financial Math., March, 2024

2023

Multivariate Systemic Risk Measures and Deep Learning Algorithms.

Alessandro Doldi, Yichen Feng, Jean-Pierre Fouque, Marco Frittelli

CoRR, 2023

2021

Conditional Systemic Risk Measures.

Alessandro Doldi, Marco Frittelli

SIAM J. Financial Math., 2021

Short Communication: Robust Market-Adjusted Systemic Risk Measures.

Matteo Burzoni, Marco Frittelli, Federico Zorzi

SIAM J. Financial Math., 2021

2019

Pointwise Arbitrage Pricing Theory in Discrete Time.

Matteo Burzoni, Marco Frittelli, Zhaoxu Hou, Marco Maggis, Jan Oblój

Math. Oper. Res., 2019

2016

Scientific research measures.

Marco Frittelli, Loriano Mancini, Ilaria Peri

J. Assoc. Inf. Sci. Technol., 2016

Universal arbitrage aggregator in discrete-time markets under uncertainty.

Matteo Burzoni, Marco Frittelli, Marco Maggis

Finance Stochastics, 2016

2011

Dual Representation of Quasi-convex Conditional Maps.

Marco Frittelli, Marco Maggis

SIAM J. Financial Math., 2011

2007

The supermartingale property of the optimal wealth process for general semimartingales.

Sara Biagini, Marco Frittelli

Finance Stochastics, 2007

2005

Utility maximization in incomplete markets for unbounded processes.

Sara Biagini, Marco Frittelli

Finance Stochastics, 2005

2000

Introduction to a theory of value coherent with the no-arbitrage principle.

Marco Frittelli

Finance Stochastics, 2000