Concepedia

Matteo Burzoni

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Publications

6

Citations

180

H-Index

6

Active since

2015

Affiliations

University of Milan(Current)

Matteo Burzoni is an author at University of Milan specializing in business, finance, and quantitative finance.

Top concepts

FinanceBusinessAsset PricingQuantitative FinanceMathematical ProgrammingManagementStatisticsEngineeringProbabilityRisk Analysis

Publications per year

2015–2023

6

Publications

6

Universal arbitrage aggregator in discrete-time markets under uncertainty

Matteo Burzoni, Marco Frittelli, Marco Maggis · Finance and Stochastics · 2015 · 52 citations · Full text

Mathematical Programming, Computational Finance, Asset Pricing +6

Model-free superhedging duality

Matteo Burzoni, Marco Frittelli, Marco Maggis · The Annals of Applied Probability · 2017 · 49 citations · Full text

Mathematical Programming, Engineering, Semi-infinite Optimization +17

Risk Measures Based on Benchmark Loss Distributions

Valeria Bignozzi, Matteo Burzoni, Cosimo Munari · Journal of Risk & Insurance · 2019 · 28 citations · Full text

Financial Risk Management, Rare Event Estimation, Risk Metric +21

On the properties of the Lambda value at risk: robustness, elicitability and consistency

Matteo Burzoni, Ilaria Peri, Chiara Maria Ruffo · Quantitative Finance · 2017 · 24 citations

Risk Model Validation, Financial Risk Management, Risk Metric +25

Pointwise Arbitrage Pricing Theory in Discrete Time

Matteo Burzoni, Marco Frittelli, Zhaoxu Hou et al. · Mathematics of Operations Research · 2019 · 14 citations · Full text

Mathematical Programming, Engineering, Discrete Time +16

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