Fabio Bellini

University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi

Milano, Milan

Italy

SCHOLARLY PAPERS

16

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3,190

SSRN CITATIONS
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50

CROSSREF CITATIONS

31

Scholarly Papers (16)

1.

Elicitable Risk Measures

Quant. Finance, Vol 15(5), 725-733, 2015 (doi 10.1080/14697688.2014.946955)
Number of pages: 19 Posted: 03 Oct 2013 Last Revised: 12 May 2015
Fabio Bellini and Valeria Bignozzi
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi
Downloads 918 (32,603)
Citation 24

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Elicitability, expectiles, shortfall risk measures, VaR, mixture continuity

2.

Risk Management with Expectiles

Number of pages: 22 Posted: 05 Aug 2014 Last Revised: 21 Dec 2014
Fabio Bellini and Elena Di Bernardino
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and Conservatoire National des Arts et Métiers (CNAM)
Downloads 520 (69,005)
Citation 11

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Expectiles, Gain-Loss, Garch, Lambert W, Extreme Value Theory

3.

Generalized Quantiles as Risk Measures

Number of pages: 23 Posted: 02 Mar 2013 Last Revised: 15 Aug 2013
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Karlsruhe Institute of Technology, University of Siegen and University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi
Downloads 504 (71,741)
Citation 14

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expectile, coherence, elicitability, Kusuoka representation, robustness

4.

Robust Return Risk Measures

Mathematics and Financial Economics, pp. 1-28, 2017, DOI: 10.1007/s11579-017-0188-x
Number of pages: 32 Posted: 23 Aug 2016 Last Revised: 13 Jun 2017
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Amsterdam - Department of Quantitative Economics (KE) and University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi
Downloads 189 (203,420)
Citation 3

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Orlicz premium, Shortfall risk, Robustness, Ambiguity averse preferences, Orlicz norms and spaces, Convex risk measures, Positive homogeneity

5.

Risk Parity with Expectiles

Number of pages: 29 Posted: 15 Jul 2019
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Rome Tre University - Department of Business Studies, Department of Statistics and Quantitative Methods University of Milano-Bicocca and Faculty of Economics - Sapienza University of Rome
Downloads 151 (246,215)
Citation 2

Abstract:

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Risk Allocation, Expectiles, Risk Parity, Portfolio Selection, Risk Diversification

6.

Backtesting VaR and Expectiles with Realized Scores

Number of pages: 24 Posted: 05 Aug 2017
Fabio Bellini, Ilia Negri and Mariya Pyatkova
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Universita di Bergamo and Università degli Studi di Milano-Bicocca - Dipartimento di Statistica e Metodi Quantitativi
Downloads 141 (260,112)
Citation 2

Abstract:

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Backtesting, Forecasting, Value at risk, Expectiles

7.

Expectiles, Omega Ratios and Stochastic Ordering

Number of pages: 19 Posted: 08 Jun 2016
Fabio Bellini, Bernhard Klar and Alfred Müller
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Karlsruhe Institute of Technology and University of Siegen
Downloads 121 (292,110)
Citation 4

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Expectile order, Omega ratio, stop-loss transform, third-order stochastic dominance, skew-normal distribution, Lomax distribution

8.

Implicit Expectiles and Measures of Implied Volatility

Number of pages: 19 Posted: 06 Sep 2017 Last Revised: 07 May 2018
Fabio Bellini, Lorenzo Mercuri and Edit Rroji
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 96 (342,003)
Citation 5

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Implied Volatility; VIX Index; Expectiles; Interexpectile difference

9.

Conditional Expectiles, Time Consistency and Mixture Convexity Properties

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 16 Posted: 28 Jul 2017 Last Revised: 21 Jul 2018
Fabio Bellini, Valeria Bignozzi and Giovanni Puccetti
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and University of Milan - Department of Economics, Management and Quantitative Methods (DEMM)
Downloads 88 (361,230)

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Conditional expectiles, dynamic risk measures, mixture concavity, time consistency, sequential consistency, supermartingale property

10.

Implicit Quantiles and Expectiles

Number of pages: 26 Posted: 01 Oct 2019 Last Revised: 01 Jul 2020
Fabio Bellini, Edit Rroji and Carlo Sala
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Polytechnic University of Milan - Department of Mathematics and ESADE Business School
Downloads 85 (369,092)

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11.

Option Pricing in a Dynamic Variance-Gamma Model

Journal of Financial Decision Making, Vol. 7, 2011
Number of pages: 25 Posted: 16 Oct 2010 Last Revised: 29 May 2014
Lorenzo Mercuri and Fabio Bellini
University of Milan and University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi
Downloads 85 (369,092)

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Variance-Gamma Distribution, Garch Processes, Affine Stochastic Volatility Models, Semianalytical Formula, Esscher Transform

12.

On the Dependence Structure Between S&P500, Vix and Implicit Interexpectile Differences

Number of pages: 15 Posted: 08 Jan 2019 Last Revised: 23 Sep 2019
Fabio Bellini, Lorenzo Mercuri and Edit Rroji
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Milan and Polytechnic University of Milan - Department of Mathematics
Downloads 82 (376,999)
Citation 1

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VIX, Implicit Expectiles Interexpectile Differences, ARMA-GARCH, Copulas

13.

Option Pricing in a Conditional Bilateral Gamma Model

Number of pages: 17 Posted: 28 Apr 2012
Fabio Bellini and Lorenzo Mercuri
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and University of Milan
Downloads 64 (432,081)
Citation 1

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bilateral gamma, garch, bilateral esscher transform, semianalytical pricing, SPX options

14.

Convex Comparison of Minimal Divergence Martingale Measures in Discrete Time Models

Number of pages: 17 Posted: 20 Jul 2012
Fabio Bellini
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi
Downloads 63 (435,582)

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convex comparison, relative convexity, Esscher martingale measure, minimal entropy martingale measure, minimal divergence martingale measure

15.

Comparison Results for GARCH Processes

Number of pages: 15 Posted: 17 Apr 2012
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Polytechnic University of Turin, Politecnico di Milano- Dipartimento di Matematica and Ferdowsi University of Mashhad (FUM)
Downloads 58 (453,427)
Citation 1

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Garch, Convex Order, Peakedness, Kurtosis, Supermodularity

16.

On the Existence of Minimax Martingale Measures

Number of pages: 21 Posted: 13 Dec 2002
Fabio Bellini and Marco Frittelli
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and University of Florence - Dipartimento di Matematica
Downloads 25 (613,935)
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Abstract:

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utility maximization, martingale measures, incomplete markets, asset pricing, viability, duality, relative entropy