Fabio Maccheroni

Bocconi University - Department of Decision Sciences

Via Roentgen 1

Milan, 20136

Italy

SCHOLARLY PAPERS

8

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SSRN CITATIONS
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Top 2,203

in Total Papers Citations

44

CROSSREF CITATIONS

495

Scholarly Papers (8)

1.

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 405 (78,985)
Citation 24

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

2.

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

Journal of Mathematical Economics 48(6), 386-395, 2012
Number of pages: 11 Posted: 11 Oct 2008 Last Revised: 22 Jun 2020
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 174 (188,275)

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

3.

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 159 (203,374)
Citation 5

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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 136 (231,691)
Citation 40

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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 (717,083)
Citation 6
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5.

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 87 (315,786)
Citation 5

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

6.

Choquet Insurance Pricing: A Caveat

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 (580,307)
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7.

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 (696,141)
Citation 2
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risk measures, diversification, cash‐subadditivity, quasiconvexity, law‐invariance, mean value premium principle

8.

Expected Utility Without the Completeness Axiom

Posted: 29 Jul 2003
Juan Dubra, Fabio Maccheroni and Efe A. Ok
University of Montevideo - Department of Economics, Bocconi University - Department of Decision Sciences and Leonard N. Stern School of Business - Department of Economics

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Expected Utility, Incomplete Preferences