Marco Frittelli

Publication Activity (10 Years)

Years Active: 2000-2024
Publications (10 Years): 8

Top Topics

Semi Markov Decision Processes

Robust Optimization

Top Venues

SIAM J. Financial Math.

Finance Stochastics

Ann. Oper. Res.

Publications

Alessandro Doldi, Marco Frittelli
Multivariate systemic optimal risk transfer equilibrium. Ann. Oper. Res. 336 (1-2) (2024)
Alessandro Doldi, Marco Frittelli, Emanuela Rosazza Gianin
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional? SIAM J. Financial Math. 15 (1) (2024)
Alessandro Doldi, Yichen Feng, Jean-Pierre Fouque, Marco Frittelli
Multivariate Systemic Risk Measures and Deep Learning Algorithms. CoRR (2023)
Alessandro Doldi, Marco Frittelli
Conditional Systemic Risk Measures. SIAM J. Financial Math. 12 (4) (2021)
Matteo Burzoni, Marco Frittelli, Federico Zorzi
Short Communication: Robust Market-Adjusted Systemic Risk Measures. SIAM J. Financial Math. 12 (3) (2021)
Matteo Burzoni, Marco Frittelli, Zhaoxu Hou, Marco Maggis, Jan Oblój
Pointwise Arbitrage Pricing Theory in Discrete Time. Math. Oper. Res. 44 (3) (2019)
Marco Frittelli, Loriano Mancini, Ilaria Peri
Scientific research measures. J. Assoc. Inf. Sci. Technol. 67 (12) (2016)
Matteo Burzoni, Marco Frittelli, Marco Maggis
Universal arbitrage aggregator in discrete-time markets under uncertainty. Finance Stochastics 20 (1) (2016)
Marco Frittelli, Marco Maggis
Dual Representation of Quasi-convex Conditional Maps. SIAM J. Financial Math. 2 (1) (2011)
Sara Biagini, Marco Frittelli
The supermartingale property of the optimal wealth process for general semimartingales. Finance Stochastics 11 (2) (2007)
Sara Biagini, Marco Frittelli
Utility maximization in incomplete markets for unbounded processes. Finance Stochastics 9 (4) (2005)
Marco Frittelli
Introduction to a theory of value coherent with the no-arbitrage principle. Finance Stochastics 4 (3) (2000)