This talk advances the theory of Collective Finance, as developed in BDFFM26, DFM25 and F25.

Within a general semimartingale framework, we study the relationship between collective market efficiency and individual rationality.

We derive necessary and sufficient condition for the existence of (possibly zero-sum) exchanges among agents that strictly increase their indirect utilities and characterize this condition in terms of the compatibility between agents’ preferences and collective pricing measures.

The framework applies to both continuous- and discrete-time models and clarifies when cooperation leads to a strict improvement in each participating agent’s indirect utility.

Bio: Marco Frittelli is Professor of Mathematical Finance at the University of Milano. He previously held academic positions at the Universities of Florence, Milano-Bicocca, and Urbino, and has been a visiting scholar at several universities in the United States and across Europe.

He serves as a member of the Editorial Board of the SIAM Journal on Financial Mathematics. He was previously a member of the Editorial Board of The Annals of Applied Probability (2003–2008) and of the Scientific Committee of the Bachelier Finance Society (2004–2008). He also served on the Expert Evaluation Panel (GEV) for the Italian National Research Assessment Exercise (VQR–ANVUR).

His research focuses on the application of stochastic analysis and convex analysis to Mathematical Finance. His contributions span a broad range of topics, including the Fundamental Theorem of Asset Pricing; martingale pricing via entropy minimization; utility maximization in incomplete markets; indifference pricing and risk measures in Orlicz spaces; convex, dynamic, and law-invariant risk measures; risk measures on modules; quasiconvex dynamic risk measures; LambdaV@R and acceptability indices; model-free arbitrage and robust pricing–hedging duality; pathwise finance; systemic risk and risk transfer equilibria; conditional systemic risk measures; entropy martingale optimal transport; and, more recently, collective arbitrage, collective completeness and collective risk measures.