no code implementations • 17 Jan 2024 • Edoardo Berton, Alessandro Doldi, Marco Maggis
State-dependent preferences for a general Savage's state space were shown in Wakker and Zank (1999) to admit a numerical representation in the form of the integral of a state-dependent utility, as soon as pointwise continuity of the preference ordering is assumed.
no code implementations • 20 Jun 2023 • Francesca Biagini, Alessandro Doldi, Jean-Pierre Fouque, Marco Frittelli, Thilo Meyer-Brandis
We introduce the notions of Collective Arbitrage and of Collective Super-replication in a setting where agents are investing in their markets and are allowed to cooperate through exchanges.
no code implementations • 19 Jun 2023 • Alessandro Doldi, Marco Frittelli, Emanuela Rosazza Gianin
Shortfall systemic (multivariate) risk measures $\rho$ defined through an $N$-dimensional multivariate utility function $U$ and random allocations can be represented as classical (one dimensional) shortfall risk measures associated to an explicitly determined $1$-dimensional function constructed from $U$.
no code implementations • 2 Feb 2023 • Alessandro Doldi, Yichen Feng, Jean-Pierre Fouque, Marco Frittelli
In this work we propose deep learning-based algorithms for the computation of systemic shortfall risk measures defined via multivariate utility functions.
no code implementations • 22 Dec 2022 • Matteo Burzoni, Alessandro Doldi, Enea Monzio Compagnoni
We consider the problem of optimally sharing a financial position among agents with potentially different reference risk measures.
no code implementations • 22 Oct 2020 • Alessandro Doldi, Marco Frittelli
We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting.
no code implementations • 26 May 2020 • Alessandro Doldi, Marco Frittelli
The objective of this paper is to develop a duality between a novel Entropy Martingale Optimal Transport problem (A) and an associated optimization problem (B).
no code implementations • 27 Dec 2019 • Alessandro Doldi, Marco Frittelli
We prove existence, uniqueness, and the Nash Equilibrium property of the newly defined Multivariate Systemic Optimal Risk Transfer Equilibrium.