Via Festa del Perdono, 7
Università degli studi di Milano - Dipartimento di Matematica
risk measures, loss distributions, tail risk, capital adequacy, portfolio management, catastrophic risk, robustness, backtestability
Convex Risk Measures, Tail Risk, Adjusted Expected Shortfall, Stochastic Dominance, Capital Adequacy, Optimization With Risk Measures
Robust Finance, No Arbitrage, Viability, Knightian Uncertainty
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arbitrage theory, fundamental theorem of asset pricing, illiquidity, markets with frictions, martingale selection problem
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