Publications

• ρ-arbitrage and ρ-consistent pricing for star-shaped risk measures (with Martin Herdegen)
  Mathematics of Operations Research  (2024)  [arXiv | SSRN | DOI]

• Mean-ρ portfolio selection and ρ-arbitrage for coherent risk measures (with Martin Herdegen)
  Mathematical Finance  (2022)  [arXiv | SSRN | DOI]

Preprints

• Chain or channel? Channel optimization with heterogeneous payments  (with Paolo Guasoni)  [SSRN] [Code]

• Risk, utility and sensitivity to large losses  (with Martin Herdegen and Cosimo Munari)  [SSRN]

• How to reduce risk by increasing risk (with Martin Herdegen and Cosimo Munari) [SSRN]

• The interplay between utility and risk in portfolio selection (with Leonardo Baggiani and Martin Herdegen) [arXiv]