Marco Dalai received his degree in Electronic Engineering (cum laude) and the PhD in Information Engineering, in 2003 and 2007 respectively, from the University of Brescia, Italy. Since 2008, he has been an assistant professor with the Department of Information Engineering in this same university. He is a member of the IEEE Information Theory Society. His main research interests include classical and quantum information theory, signal processing, and statistical inference for system identification.
Articles by M. Dalai
From log-optimal portfolio theory to risk measures: logarithmic expected shortfall
In this paper, the authors propose a modification of expected shortfall that does not treat all losses equally. We do this in order to represent the worries surrounding big drops that are typical of multiperiod investors.