Matteo Burzoni

Università degli studi di Milano - Dipartimento di Matematica

Via Festa del Perdono, 7

Milan, 20122

Italy

SCHOLARLY PAPERS

4

DOWNLOADS

410

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Risk Measures Based on Benchmark Loss Distributions

Swiss Finance Institute Research Paper No. 18-48
Number of pages: 34 Posted: 19 Dec 2017 Last Revised: 27 Nov 2018
Valeria Bignozzi, Matteo Burzoni and Cosimo Munari
Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Università degli studi di Milano - Dipartimento di Matematica and University of Zurich - Department of Banking and Finance
Downloads 263 (147,059)
Citation 2

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risk measures, loss distributions, tail risk, capital adequacy, portfolio management, catastrophic risk, robustness, backtestability

2.

Adjusted Expected Shortfall

Swiss Finance Institute Research Paper No. 20-120, Journal of Banking and Finance, Forthcoming
Number of pages: 30 Posted: 14 Aug 2020 Last Revised: 19 Aug 2021
Matteo Burzoni, Cosimo Munari and Ruodu Wang
Università degli studi di Milano - Dipartimento di Matematica, University of Zurich - Department of Banking and Finance and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 106 (317,050)

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Convex Risk Measures, Tail Risk, Adjusted Expected Shortfall, Stochastic Dominance, Capital Adequacy, Optimization With Risk Measures

3.

Viability and Arbitrage Under Knightian Uncertainty

Swiss Finance Institute Research Paper No. 17-48
Number of pages: 35 Posted: 10 Jan 2018
Matteo Burzoni, Frank Riedel and H. Mete Soner
Università degli studi di Milano - Dipartimento di Matematica, Bielefeld University - Center for Mathematical Economics and ETH Zürich - Department of Mathematics
Downloads 41 (519,323)
Citation 2

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Robust Finance, No Arbitrage, Viability, Knightian Uncertainty

4.

Robust Martingale Selection Problem and its Connections to the No‐Arbitrage Theory

Mathematical Finance, Vol. 30, Issue 1, pp. 260-286, 2020
Number of pages: 27 Posted: 29 May 2020
Matteo Burzoni and Mario Sikic
Università degli studi di Milano - Dipartimento di Matematica and University of Zurich
Downloads 0 (810,442)
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Abstract:

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arbitrage theory, fundamental theorem of asset pricing, illiquidity, markets with frictions, martingale selection problem