Cosimo Munari

Publication Activity (10 Years)

Years Active: 2014-2024
Publications (10 Years): 7

Top Topics

Multistage Stochastic

Optimal Portfolio

Conditional Distribution

Random Variables

Top Venues

SIAM J. Financial Math.

Finance Stochastics

Ann. Oper. Res.

Math. Oper. Res.

Publications

Cosimo Munari, Justin Plückebaum, Stefan Weber
Robust Portfolio Selection under Recovery Average Value at Risk. SIAM J. Financial Math. 15 (1) (2024)
Maria Arduca, Cosimo Munari
Risk Measures beyond Frictionless Markets. SIAM J. Financial Math. 15 (2) (2024)
Pablo Koch-Medina, Cosimo Munari
Qualitative robustness of utility-based risk measures. Ann. Oper. Res. 336 (1-2) (2024)
Fabio Bellini, Pablo Koch-Medina, Cosimo Munari, Gregor Svindland
Law-Invariant Functionals on General Spaces of Random Variables. SIAM J. Financial Math. 12 (1) (2021)
Niushan Gao, Cosimo Munari
Surplus-Invariant Risk Measures. Math. Oper. Res. 45 (4) (2020)
Michel Baes, Cosimo Munari
A continuous selection for optimal portfolios under convex risk measures does not always exist. Math. Methods Oper. Res. 91 (1) (2020)
Niushan Gao, Denny Leung, Cosimo Munari, Foivos Xanthos
Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces. Finance Stochastics 22 (2) (2018)
Walter Farkas, Pablo Koch-Medina, Cosimo Munari
Beyond cash-additive risk measures: when changing the numéraire fails. Finance Stochastics 18 (1) (2014)