Doriana Ruffino

Board of Governors of the Federal Reserve System

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

  • Board of Governors of the Federal Reserve System

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 22,883

SSRN RANKINGS

Top 22,883

in Total Papers Downloads

3,917

SSRN CITATIONS
Rank 14,962

SSRN RANKINGS

Top 14,962

in Total Papers Citations

55

CROSSREF CITATIONS

35

Scholarly Papers (11)

Actions:
Email selected abstracts
1.

Contingent Claims Analysis and Life-Cycle Finance

Downloads 1,103 (34,483)
Citation 7

Contingent Claims Analysis and Life-Cycle Finance

MIT Sloan Research Paper No. 4676-08
Number of pages: 12 Posted: 27 Dec 2007 Last Revised: 16 Nov 2008
Zvi Bodie, Doriana Ruffino and Jonathan Treussard
Boston University, Board of Governors of the Federal Reserve System and Treussard Capital Management LLC
Downloads 713 (62,125)

Abstract:

Loading...

contingent claims analysis, life-cycle finance, retirement saving plans

Contingent Claims Analysis and Life Cycle Finance

American Economic Review, Forthcoming
Number of pages: 12 Posted: 21 Jan 2008 Last Revised: 27 Mar 2012
Zvi Bodie, Jonathan Treussard and Doriana Ruffino
Boston University, Treussard Capital Management LLC and Board of Governors of the Federal Reserve System
Downloads 390 (130,456)

Abstract:

Loading...

Contingent claims, job-switching, life-cycle, Arrow-Debreu securities

2.

Derman and Taleb's 'the Illusions of Dynamic Replication': A Comment

Number of pages: 5 Posted: 23 Mar 2006
Doriana Ruffino and Jonathan Treussard
Board of Governors of the Federal Reserve System and Treussard Capital Management LLC
Downloads 1,023 (38,449)
Citation 3

Abstract:

Loading...

Black-Scholes Formula, Option Pricing, Dynamic Replication

3.

A Robust Capital Asset Pricing Model

Downloads 472 (105,338)
Citation 3

A Robust Capital Asset Pricing Model

Number of pages: 16 Posted: 18 Nov 2013 Last Revised: 05 Feb 2014
Doriana Ruffino
Board of Governors of the Federal Reserve System
Downloads 390 (130,456)
Citation 2

Abstract:

Loading...

Model Uncertainty, Mean-Variance Portfolio-Selection Theory, Two-Fund Separation Theorem, Capital Asset Pricing Model

A Robust Capital Asset Pricing Model

FEDS Working Paper No. 2014-01
Number of pages: 15 Posted: 09 Jan 2014
Doriana Ruffino
Board of Governors of the Federal Reserve System
Downloads 82 (515,633)
Citation 3

Abstract:

Loading...

Model uncertainty, Mean-variance portfolio-selection theory, Two-fund separation theorem, Capital asset pricing model

4.

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 461 (108,374)
Citation 35

Abstract:

Loading...

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

5.

Lumps and Clusters in Duopolistic Investment Games: An Early Exercise Premium Approach

Number of pages: 61 Posted: 18 Aug 2006
Doriana Ruffino and Jonathan Treussard
Board of Governors of the Federal Reserve System and Treussard Capital Management LLC
Downloads 177 (289,177)
Citation 1

Abstract:

Loading...

Real Options Games, Strategic Investment, Lumpy Investment, Investment Clusters, Duopolistic Competition, American Options, Early Exercise Premium Representation

6.

Lending on Hold: Regulatory Uncertainty and Bank Lending Standards

Number of pages: 39 Posted: 19 Oct 2015 Last Revised: 31 Mar 2016
Stefan Gissler, Jeremy Oldfather and Doriana Ruffino
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 156 (322,065)
Citation 11

Abstract:

Loading...

Policy uncertainty; Credit cycles; Qualified mortgages

7.

Financial Frictions and Risky Corporate Debt

Number of pages: 9 Posted: 21 Mar 2006
Doriana Ruffino and Jonathan Treussard
Board of Governors of the Federal Reserve System and Treussard Capital Management LLC
Downloads 153 (327,349)

Abstract:

Loading...

Corporate Debt, Merton Model, No-Arbitrage Pricing

8.

Resuscitating Businessman Risk: A Rationale For Familiarity-Based Portfolios

Number of pages: 56 Posted: 14 Sep 2007 Last Revised: 26 Mar 2013
Doriana Ruffino
Board of Governors of the Federal Reserve System
Downloads 150 (332,702)
Citation 2

Abstract:

Loading...

Life-cycle Modeling, Industry-specifi…c Risk, Job-switching Options, Portfolio Choice, Familiarity-based Investments, Businessman Risk

9.

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 111 (418,224)
Citation 5

Abstract:

Loading...

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

10.

A Study of Inaction in Investment Games Via the Early Exercise Premium Representation

Number of pages: 32 Posted: 17 Jul 2006
Doriana Ruffino and Jonathan Treussard
Board of Governors of the Federal Reserve System and Treussard Capital Management LLC
Downloads 111 (418,224)
Citation 1

Abstract:

Loading...

Real Options Games, Strategic Investment, Inaction Equilibria, American Options, Early Exercise Premium Representation

11.

Some Implications of Knightian Uncertainty for Finance and Regulation

FEDS Notes No. 2014-04-10 https://doi.org/10.17016/2380-7172.0013
Posted: 16 Dec 2014
Doriana Ruffino
Board of Governors of the Federal Reserve System

Abstract:

Loading...