Fabio Maccheroni

Bocconi University - Department of Decision Sciences

Via Roentgen 1

Milan, 20136

Italy

SCHOLARLY PAPERS

8

DOWNLOADS

945

CITATIONS

275

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 394 (73,081)
Citation 33

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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

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 168 (175,427)
Citation 1

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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 156 (186,782)
Citation 18

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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 123 (226,830)
Citation 42

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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 (649,546)
Citation 209
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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 81 (299,056)
Citation 6

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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

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 (526,610)
Citation 9
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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 (630,635)
Citation 20
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risk measures, diversification, cash‐subadditivity, quasiconvexity, law‐invariance, mean value premium principle

8.

Expected Utility Without the Completeness Axiom

Journal of Economic Theory, Forthcoming
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