Emanuela Rosazza Gianin

University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi

Milan

Italy

SCHOLARLY PAPERS

9

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8

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6

Scholarly Papers (9)

1.

Generalized Quantiles as Risk Measures

Number of pages: 23 Posted: 02 Mar 2013 Last Revised: 15 Aug 2013
Fabio Bellini, Bernhard Klar, Alfred Müller and Emanuela Rosazza Gianin
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Karlsruhe Institute of Technology, University of Siegen and University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi
Downloads 474 (64,722)
Citation 9

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expectile, coherence, elicitability, Kusuoka representation, robustness

2.

Portfolio Optimization with Quasiconvex Risk Measures

Number of pages: 25 Posted: 21 Jun 2013
Elisa Mastrogiacomo and Emanuela Rosazza Gianin
University of Insubria and University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi
Downloads 193 (170,063)
Citation 1

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quasiconvex risk measures, portfolio optimization, convex risk measures, efficient frontier

3.

Robust Return Risk Measures

Mathematics and Financial Economics, pp. 1-28, 2017, DOI: 10.1007/s11579-017-0188-x
Number of pages: 32 Posted: 23 Aug 2016 Last Revised: 13 Jun 2017
Fabio Bellini, Roger J. A. Laeven and Emanuela Rosazza Gianin
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Amsterdam - Department of Quantitative Economics (KE) and University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi
Downloads 181 (180,191)
Citation 1

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Orlicz premium, Shortfall risk, Robustness, Ambiguity averse preferences, Orlicz norms and spaces, Convex risk measures, Positive homogeneity

4.

Acceptability Indexes Via 'g-Expectations': An Application to Liquidity Risk

Number of pages: 24 Posted: 23 Mar 2012 Last Revised: 27 Feb 2013
Emanuela Rosazza Gianin and Carlo Sgarra
University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi and Politecnico di Milano- Dipartimento di Matematica
Downloads 152 (209,275)
Citation 5

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Liquidity Risk, Acceptability Indexes, g-expectations, quasi-concave risk measures

5.

Pareto Optimal Allocations and Optimal Risk Sharing for Quasiconvex Risk Measures

Number of pages: 28 Posted: 28 Jan 2014
Elisa Mastrogiacomo and Emanuela Rosazza Gianin
University of Insubria and University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi
Downloads 100 (286,270)
Citation 1

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risk measures; quasiconvex; Pareto optimal; risk sharing; inf-convolution

6.

Capital Allocation à La Aumann-Shapley for Non Differentiable Risk Measures.

Number of pages: 20 Posted: 04 Apr 2017
Francesca Centrone and Emanuela Rosazza Gianin
University of Piemonte Orientale, Department of Economics and Business Studies and University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi
Downloads 70 (355,182)
Citation 2

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Risk management, Capital allocation rules, Convex risk measures, Quasi-convex risk measures, Aumann-Shapley value, Gateaux differential, Greenberg-Pierskalla subdifferential.

7.

Time-Consistency of Risk Measures: How Strong is Such a Property?

Number of pages: 19 Posted: 24 Apr 2018
Elisa Mastrogiacomo and Emanuela Rosazza Gianin
University of Insubria and University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi
Downloads 43 (444,982)

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Dynamic Risk Measures; Time-Consistency, Quasi-Convex Risk Measures, Cash-Subadditive Risk Measures, Cocycle Property, M-Stability

8.

Capital Allocation for Set-Valued Risk Measures

Number of pages: 18 Posted: 17 May 2019
Francesca Centrone and Emanuela Rosazza Gianin
University of Piemonte Orientale, Department of Economics and Business Studies and University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi
Downloads 38 (465,790)

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9.

Capital Allocation Rules and Acceptance Sets

Number of pages: 24 Posted: 18 Mar 2020
Gabriele Canna, Francesca Centrone and Emanuela Rosazza Gianin
University of Milano-Bicocca, Department of Statistics and Quantitative Methods, University of Piemonte Orientale, Department of Economics and Business Studies and University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi
Downloads 12 (614,359)

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Capital allocation, acceptance sets, convex risk measures, quasi-convex risk measures