Követés
Maggis Marco
Maggis Marco
Professore Associato, Dipartimento di Matematica, Università degli Studi di Milano
E-mail megerősítve itt: unimi.it - Kezdőlap
Cím
Hivatkozott rá
Hivatkozott rá
Év
Pointwise arbitrage pricing theory in discrete time
M Burzoni, M Frittelli, Z Hou, M Maggis, J Obłój
Mathematics of Operations Research 44 (3), 1035-1057, 2019
672019
Dual representation of quasi-convex conditional maps
M Frittelli, M Maggis
SIAM Journal on Financial Mathematics 2 (1), 357-382, 2011
672011
Model-free superhedging duality
M Burzoni, M Frittelli, M Maggis
The Annals of Applied Probability 27 (3), 1452-1477, 2017
662017
Universal arbitrage aggregator in discrete time markets under uncertainty
M Burzoni, M Frittelli, M Maggis
Finance and Stochastics 20 (1), 1-50, 2016
63*2016
Risk measures on P(R) and Value at Risk with Probability/Loss function
M Frittelli, M Maggis, I Peri
Mathematical Finance 24 (3), 442-463, 2014
482014
Conditional certainty equivalent
M Frittelli, M Maggis
International Journal of Theoretical and Applied Finance 14 (01), 41-59, 2011
452011
Complete duality for quasiconvex dynamic risk measures on modules of the -type
M Frittelli, M Maggis
Statistics & Risk Modeling 31 (1), 103-128, 2014
402014
The Fatou Closedness under Model Uncertainty
M Maggis, T Meyer-Brandis, G Svindland
Positivity 22 (5), 1325-1343, 2018
182018
Conditionally evenly convex sets and evenly quasi-convex maps
M Frittelli, M Maggis
Journal of Mathematical Analysis and Applications 413 (1), 169-184, 2014
152014
A goal programming model with satisfaction function for risk management and optimal portfolio diversification
D La Torre, M Maggis
INFOR: Information Systems and Operational Research 50 (3), 117-126, 2012
82012
Model uncertainty: a reverse approach
FB Liebrich, M Maggis, G Svindland
SIAM Journal on Financial Mathematics 13 (3), 1230-1269, 2022
62022
On quasiconvex conditional maps. duality results and applications to finance
M Maggis
Ledizioni, 2011
52011
J. Ob lój (2017):“Pointwise Arbitrage Pricing Theory in Discrete Time,”
M Burzoni, M Frittelli, Z Hou, M Maggis
arXiv preprint ArXiv:1612.07618, 0
5
Disentangling Price, Risk and Model Risk: V&R Measures
M Frittelli, M Maggis
Mathematics and Financial Economics 12 (2), 219-247, 2017
42017
Arbitrage-free modeling under Knightian uncertainty
M Burzoni, M Maggis
Mathematics and Financial Economics 14 (4), 635-659, 2020
32020
Stochastic Dynamic Utilities and Inter-Temporal Preferences
M Maggis, A Maran
Mathematics and Financial Economics 15, 611-638, 2021
22021
Correction to: Fatou closedness under model uncertainty
M Maggis, T Meyer-Brandis, G Svindland
Positivity 23 (1), 247-247, 2019
22019
On conditional Chisini means and risk measures
A Doldi, M Maggis
Journal of Mathematical Analysis and Applications 525 (1), 127124, 2023
12023
On continuity of state-dependent utilities
E Berton, A Doldi, M Maggis
arXiv preprint arXiv:2401.09054, 2024
2024
The Birth of (a Robust) Arbitrage Theory in de Finetti’s Early Contributions
M Maggis
SIAM Journal on Financial Mathematics 14 (4), SC49-SC59, 2023
2023
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