Risk, utility and sensitivity to large losses (with Martin Herdegen and Cosimo Munari) Mathematical Finance (2026) [SSRN | DOI]
ρ-arbitrage and ρ-consistent pricing for star-shaped risk measures (with Martin Herdegen) Mathematics of Operations Research (2025) [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]
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) [SSRN]