Doriana Ruffino

Board of Governors of the Federal Reserve System

Economist

20th and C Streets, NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

11

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CITATIONS
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in Total Papers Citations

24

Scholarly Papers (11)

1.
Downloads 1,004 ( 17,245)
Citation 6

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 - Department of Finance & Economics, Board of Governors of the Federal Reserve System and Ziff Brothers Investments - Risk Management
Downloads 658 (31,275)
Citation 6

Abstract:

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 - Department of Finance & Economics, Ziff Brothers Investments - Risk Management and Board of Governors of the Federal Reserve System
Downloads 346 (70,601)
Citation 6

Abstract:

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 Ziff Brothers Investments - Risk Management
Downloads 755 (23,713)
Citation 3

Abstract:

Black-Scholes Formula, Option Pricing, Dynamic Replication

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 351 (65,180)
Citation 8

Abstract:

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

4.
Downloads 285 ( 88,661)

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 239 (106,389)

Abstract:

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 46 (348,903)

Abstract:

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

5.

Optimal Age-Based Portfolios with Stochastic Investment Opportunity Sets

Number of pages: 18 Posted: 14 Jun 2006
Doriana Ruffino and Jonathan Treussard
Board of Governors of the Federal Reserve System and Ziff Brothers Investments - Risk Management
Downloads 197 (124,386)

Abstract:

Life-Cycle Investing, Welfare Analysis, First-Best Portfolios, Age-Based Investment Rules, Numerical Optimization

6.

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 Ziff Brothers Investments - Risk Management
Downloads 141 (162,778)
Citation 1

Abstract:

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

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 Ziff Brothers Investments - Risk Management
Downloads 129 (186,612)

Abstract:

Corporate Debt, Merton Model, No-Arbitrage Pricing

Financial Frictions and Risky Corporate Debt

Economic Notes, Vol. 36, No. 1, pp. 77-87, February 2007
Number of pages: 11 Posted: 01 Jun 2007
Doriana Ruffino and Jonathan Treussard
Board of Governors of the Federal Reserve System and Ziff Brothers Investments - Risk Management
Downloads 12 (511,104)
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Abstract:

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 122 (194,268)
Citation 2

Abstract:

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

9.

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 Ziff Brothers Investments - Risk Management
Downloads 83 (251,313)
Citation 1

Abstract:

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

10.

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 63 (275,350)
Citation 3

Abstract:

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

11.

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, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 0 (244,090)

Abstract:

Policy uncertainty; Credit cycles; Qualified mortgages