Massimo Marinacci

University of Turin - Department of Statistics and Applied Mathematics

Piazza Arbarello 8

Turin, I-10122

Italy

http://web.econ.unito.it/gma/massimo.htm

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 19,512

SSRN RANKINGS

Top 19,512

in Total Papers Downloads

2,424

CITATIONS
Rank 1,996

SSRN RANKINGS

Top 1,996

in Total Papers Citations

376

Scholarly Papers (12)

1.

Risk, Ambiguity, and the Separation of Utility and Beliefs

Caltech Social Science, Working Paper No. 1085
Number of pages: 38 Posted: 16 Feb 2001
Paolo Ghirardato and Massimo Marinacci
California Institute of Technology - Division of the Humanities and Social Sciences and University of Turin - Department of Statistics and Applied Mathematics
Downloads 709 (34,823)
Citation 4

Abstract:

Loading...

Risk Aversion, Ambiguity Aversion, Biseparable Preferences, Choquet Ex-pected Utility, Maxmin Expected Utility, Probabilistic Beliefs

2.

A Smooth Model of Decision Making Under Ambiguity

Number of pages: 51 Posted: 12 May 2003
Peter Klibanoff, Massimo Marinacci and Sujoy Mukerji
Northwestern University - Kellogg School of Management, University of Turin - Department of Statistics and Applied Mathematics and Queen Mary University of London
Downloads 682 (36,744)
Citation 23

Abstract:

Loading...

Ambiguity, uncertainty, Knightian uncertainty, ambiguity aversion, uncertainty aversion, Ellsberg's Paradox, portfolio choice

3.

Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 32 Posted: 11 Jan 2012
Fabio Maccheroni, Massimo Marinacci and Doriana Ruffino
Bocconi University - Department of Decision Sciences, University of Turin - Department of Statistics and Applied Mathematics and Board of Governors of the Federal Reserve System
Downloads 395 (73,317)
Citation 11

Abstract:

Loading...

Smooth preferences, Ambiguity aversion, Risk aversion, Mean-variance portfolio choices, Alpha

4.

On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility

Cass Business School Research Paper Series
Number of pages: 11 Posted: 11 Oct 2008 Last Revised: 15 Aug 2012
Cass Business School, City, University of London, Bocconi University - Department of Decision Sciences, University of Turin - Department of Statistics and Applied Mathematics and University of Minnesota - Twin Cities - Department of Economics
Downloads 169 (175,605)

Abstract:

Loading...

optimal portfolio, truncated quadratic utility, monotone mean-variance preferences, divergence preferences, HARA utility

5.

A Subjective Spin on Roulette Wheels

Caltech Social Science Working Paper No. 1127
Number of pages: 29 Posted: 11 Aug 2001
California Institute of Technology - Division of the Humanities and Social Sciences, Bocconi University - Department of Decision Sciences, University of Turin - Department of Statistics and Applied Mathematics and Northwestern University - Department of Economics
Downloads 156 (187,933)
Citation 2

Abstract:

Loading...

Portfolio Selection with Monotone Mean-Variance Preferences

Bank of Italy Temi di Discussione (Working Paper) No. 664
Number of pages: 50 Posted: 20 Jun 2008
Bocconi University - Department of Decision Sciences, University of Turin - Department of Statistics and Applied Mathematics, University of Minnesota - Twin Cities - Department of Economics and Bank of Italy
Downloads 124 (226,833)
Citation 40

Abstract:

Loading...

portfolio selection, decision theory, mean-variance

Portfolio Selection with Monotone Mean-Variance Preferences

Mathematical Finance, Vol. 19, Issue 3, pp. 487-521, July 2009
Number of pages: 35 Posted: 30 Jun 2009
Bocconi University - Department of Decision Sciences, University of Turin - Department of Statistics and Applied Mathematics, University of Minnesota - Twin Cities - Department of Economics and Bank of Italy
Downloads 3 (654,630)
Citation 4
  • Add to Cart

Abstract:

Loading...

7.

On Convexity and Supermodularity

ICER Applied Mathematics Working Paper No. 3 - 2005
Number of pages: 24 Posted: 20 May 2005
Massimo Marinacci and Luigi Montrucchio
University of Turin - Department of Statistics and Applied Mathematics and University of Turin
Downloads 84 (294,438)
Citation 5

Abstract:

Loading...

8.

Does Uncertainty Vanish in the Small? The Smooth Ambiguity Case

Number of pages: 49 Posted: 10 Mar 2011 Last Revised: 28 Jun 2011
Fabio Maccheroni, Massimo Marinacci and Doriana Ruffino
Bocconi University - Department of Decision Sciences, University of Turin - Department of Statistics and Applied Mathematics and Board of Governors of the Federal Reserve System
Downloads 82 (298,839)
Citation 4

Abstract:

Loading...

Small risk, Small uncertainty, Orders of risk aversion, Orders of model uncertainty aversion, Smooth preferences

9.

Choquet Insurance Pricing: A Caveat

Mathematical Finance, Vol. 14, No. 3, pp. 481-485, July 2004
Number of pages: 5 Posted: 12 Jul 2004
Erio Castagnoli, Fabio Maccheroni and Massimo Marinacci
Bocconi University - Department of Decision Sciences, Bocconi University - Department of Decision Sciences and University of Turin - Department of Statistics and Applied Mathematics
Downloads 18 (530,340)
  • Add to Cart

Abstract:

Loading...

10.

Risk Measures: Rationality and Diversification

Mathematical Finance, Vol. 21, Issue 4, pp. 743-774, 2011
Number of pages: 32 Posted: 23 Aug 2011
affiliation not provided to SSRN, Bocconi University - Department of Decision Sciences, University of Turin - Department of Statistics and Applied Mathematics and University of Turin
Downloads 2 (635,457)
  • Add to Cart

Abstract:

Loading...

risk measures, diversification, cash‐subadditivity, quasiconvexity, law‐invariance, mean value premium principle

11.

Probabilistic Sophistication and Multiple Priors

Econometrica, Vol. 70, pp. 755-764, 2002
Posted: 26 Aug 2002
Massimo Marinacci
University of Turin - Department of Statistics and Applied Mathematics

Abstract:

Loading...

12.

The Impossibility of Compromise: Some Uniqueness Properties of Expected Utility Preferences

Economic Theory, Vol. 16, No. 2
Posted: 22 Jan 2001
Paolo Ghirardato and Massimo Marinacci
California Institute of Technology - Division of the Humanities and Social Sciences and University of Turin - Department of Statistics and Applied Mathematics

Abstract:

Loading...