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MASSIMO MARINACCI

All Publications

Ambiguity Aversion and Model Misspecification: An Economic Persepctiveve, with Lars Peter Hansen, Statistical Science, 31, 511-515-2016.

Hilbert A-Modules, with Simone Cerreia-Vioglio and Fabio Maccheroni, Journal of Mathematical Analysis and Applications, 446, 970-1017, 2017.

Conditional Lp-spaces and the Duality of Modules over f-algebras, with Simone Cerreia-Vioglio, Michael Kupper, Fabio Maccheroni, and Nicolas Vogelpoth, Journal of Mathematical Analysis and Applications, 444, 1045-1070, 2016.

Mixed Extensions of Decision Problems under Uncertainty, with Pierpaolo Battigalli, Simone Cerreia-Vioglio, and Fabio Maccheroni, Economic Theory, forthcoming

Ergodic Theorems for Lower Probabilities, ,with Simone Cerreia-Vioglio and Fabio Maccheroni, ,Proceedings of the American Mathematical Society, 144, 3381-3396, 2016.

Stochastic Dominance without the Independence Axiom, with Simone Cerreia-Vioglio and Fabio Maccheroni, Management Science, forthcoming.

A Note on Comparative Ambiguity Aversion and Justifiability, with Pierpaolo Battigalli, Simone Cerreia-Vioglio, and Fabio Maccheroni, ,Econometrica, 84, 1903-1916.

Model Uncertainty, ,Journal of the European Economic Association, 13, 998-1076, 2015.

Choquet Integration on Riesz Spaces and Dual Comonotonicity, with Simone Cerreia-Vioglio, Fabio Maccheroni, and Luigi Montrucchio, Transactions of the American Mathematical Society, 367, 8521-8542, 2015.

The Structure of Variational Preferences, with Simone Cerreia-Vioglio, Fabio Maccheroni, and Aldo Rustichini, Journal of Mathematical Economics, 57, 12-19, 2015.

Put-Call Parity and Market Frictions, with Simone Cerreia-Vioglio and Fabio Maccheroni, Journal of Economic Theory, 157, 730-762, 2015.

Selfconfirming Equilibrium and Model Uncertainty, with Pierpaolo Battigalli, Simone Cerreia-Vioglio, and Fabio Maccheroni, American Economic Review, 105, 646-677, 2015.

Pride and Diversity in Social Economics, with Fabio Maccheroni and Aldo Rustichini, American Economic Journal: Microeconomics, 6, 237-271, 2014.

Niveloids and Their Extension: Risk Measures on Small Domains, with Simone Cerreia-Vioglio, Fabio Maccheroni and Aldo Rustichini, Journal of Mathematical Analysis and Applications, 413, 343-360, 2014.

Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis, ,with Fabio Maccheroni and Doriana Ruffino, ,Econometrica, 81, 1075-1113, 2013.

 

Classical Subjective Expected Utility, with Simone Cerreia-Vioglio, Fabio Maccheroni, and Luigi Montrucchio, Proceedings of the National Academy of Sciences, ,110, 6754-6759, 2013.

Ambiguity and Robust Statistics, with Simone Cerreia-Vioglio, Fabio Maccheroni, and Luigi Montrucchio, Journal of Economic Theory, ,148, 974-1049, 2013

Social Decision Theory: Choosing within and between Groups, with Fabio Maccheroni and Aldo Rustichini, Review of Economic Studies, 79, 1591-1636, 2012. ,

On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility, with Ales Cerny, Fabio Maccheroni, and Aldo Rustichini, Journal of Mathematical Economics, ,48, 386-395, 2012.

Probabilistic Sophistication, Second Order Stochastic Dominance, and Uncertainty Aversion
with Simone Cerreia-Vioglio, Fabio Maccheroni, and Luigi Montrucchio, Journal of Mathematical Economics, 48, 271-283, 2012 ,

On the Smooth Ambiguity Model: A Reply, with Peter Klibanoff and Sujoy Mukerji, Econometrica, 80, 1303-1321, 2012.

Signed Integral Representations of Comonotonic Additive Functionals, with Simone Cerreia-Vioglio, Fabio Maccheroni, and Luigi Montrucchio, Journal of Mathematical Analysis and Applications, 385, 895-912, 2012.

Finitely Well-Positioned Sets, with Luigi Montrucchio, ,Journal of Convex Analysis, 19, 249-279, 2012.

Definitions of Ambiguous Events and the Smooth Ambiguity Model, with Peter Klibanoff and Sujoy Mukerji, Economic Theory, 48, 399-424, 2011.

Rational Preferences under Ambiguity, with Simone Cerreia-Vioglio, Paolo Ghirardato, Fabio Maccheroni, and ,Marciano Siniscalchi, Economic Theory, 48, 341-375, 2011.

Risk Measures: Rationality and Diversification, with Simone Cerreia-Vioglio, Fabio Maccheroni, and Luigi Montrucchio, Mathematical Finance, 21, 743-774, 2011.

Uncertainty Averse Preferences, with Simone Cerreia-Vioglio, Fabio Maccheroni, and Luigi Montrucchio, Journal of Economic Theory, 146, 1275-1330, 2011.

Necessary and Sufficient Conditions for Optima in Reflexive Spaces, with Luigi Montrucchio, SIAM Journal on Optimization, 21, 174-192, 2011.

Complete Monotone Quasiconcave Duality, with Simone Cerreia-Vioglio, Fabio Maccheroni, and Luigi Montrucchio, Mathematics of Operations Research, ,36, 321-339, 2011.

Unique Solutions for Stochastic Recursive Utilities, ,with Luigi Montrucchio, Journal of Economic Theory, 145, 1776-1804, 2010.

Objective and Subjective Rationality in a Multiple Prior Model, with Itzhak Gilboa, Fabio Maccheroni, and David Schmeidler, Econometrica, ,78, 755-770, 2010.

Recursive Smooth Ambiguity Preferences, with Peter Klibanoff and Sujoy Mukerji, Journal of Economic Theory, 144, 930-976, 2009.

Portfolio Selection with Monotone Mean-Variance Preferences, with Fabio Maccheroni, Aldo Rustichini, and Marco Taboga, Mathematical Finance, 19, 487-521, 2009.

On Concavity and Supermodularity, with Luigi Montrucchio, Journal of Mathematical Analysis and Applications, 344, 642-654, 2008.

Coarse Contingencies and Ambiguity, with Larry Epstein and Kyoungwon Seo, Theoretical Economics, 2, 355-394, 2007.

Mutual Absolute Continuity of Multiple Priors, with Larry Epstein, Journal of Economic Theory, 137, 716-720, 2007.

Ambiguity Aversion, Robustness, and the Variational Representation of Preferences, with Fabio Maccheroni and Aldo Rustichini, Econometrica 74, 1447-1498, 2006.

Cores of Non-Atomic Market Games, with Max Amarante, Fabio Maccheroni, and Luigi Montrucchio, International Journal of Game Theory 34, 399-424, 2006.

Dynamic Variational Preferences, with Fabio Maccheroni and Aldo Rustichini, Journal of Economic Theory 128, 4-44, 2006.

A Smooth Model of Decision Making under Ambiguity, with Peter Klibanoff and Sujoy Mukerji, Econometrica 73, 1849-1892, 2005.

Ultramodular Functions, with Luigi Montrucchio, Mathematics of Operations Reseach 30, 311-332, 2005.

Stable Cores of Large Games, with Luigi Montrucchio, International Journal of Game Theory 33, 189-213, 2005.

Monotone Continuous Multiple Priors, with Alain Chateauneuf, Fabio Maccheroni, and Jean-Marc Tallon, Economic Theory 26, 973-982, 2005.

A Strong Law of Large Numbers for Capacities, with Fabio Maccheroni, Annals of Probability 33, 1171-1178, 2005.

Certainty Independence and the Separation of Utility and Beliefs, with Paolo Ghirardato and Fabio Maccheroni, Journal of Economic Theory, 120, 129-136, 2005.

Differentiating Ambiguity and Ambiguity Attitude, with Paolo Ghirardato and Fabio Maccheroni, Journal of Economic Theory, 118, 133-173, 2004.

Random Correspondes as Bundles of Random Variables, with Adriana Castaldo and Fabio Maccheroni, Sankhya (Series A), 66, 409-427, 2004.

Choquet Insurance Pricing: a Caveat, with Erio Castagnoli and Fabio Maccheroni, Mathematical Finance 14, 481-485, 2004

A Characterization of the Core of Convex Games through Gateaux Derivatives, with Luigi Montrucchio, Journal of Economic Theory 116, 229-248, 2004.

Subjective Foundations for Objective Randomization: A New Spin on Roulette Wheels, with Paolo Ghirardato, Fabio Maccheroni, and Marciano Siniscalchi, Econometrica 71, 1897-1908, 2003.

How to Cut a Pizza Fairly: Fair Division with Decreasing Marginal Evaluations, with Fabio Maccheroni, Social Choice and Welfare 20, 457-465, 2003.

Subcalculus for Set Functions and Cores of TU Games, with Luigi Montrucchio, Journal of Mathematical Economics 39, 1-25, 2003.

Insurance Premia Compatible with the Market, with Erio Castagnoli and Fabio Maccheroni, Insurance: Mathematics and Economics 31, 267-284, 2002.

Ambiguity Made Precise: A Comparative Foundation, with Paolo Ghirardato, Journal of Economic Theory 102, 251-289, 2002.

Probabilistic Sophistication and Multiple Priors, Econometrica 70, 755-764, 2002.

Risk, Ambiguity, and the Separation of Utility and Beliefs, with Paolo Ghirardato, Mathematics of Operations Research 26, 864-890, 2001.

The Core of Large Differentiable TU Games, with Larry Epstein, Journal of Economic Theory 100, 235-273, 2001.

Range Convexity and Ambiguity Averse Preferences, with Paolo Ghirardato, Economic Theory 17, 599-617, 2001.

Ambiguous Games, Games and Economic Behavior 31, 191-219, 2000.

A Uniqueness Theorem for Convex-Ranged Probabilities, Decisions in Economics and Finance 23, 121-132, 2000.

The Impossibility of Compromise: Some Uniqueness Properties of Expected Utility Preferences, with Paolo Ghirardato, Economic Theory 16, 245-258, 2000.

Upper Probabilities and Additivity, Sankhya (Series A) 61, 358-361, 1999.

Limit Laws for Non-Additive Probabilities, and Their Frequentist Interpretation, Journal of Economic Theory 84, 145-195, 1999.

An Axiomatic Approach to Complete Patience, Journal of Economic Theory 83, 105-144, 1998.

Additivity with Multiple Priors, with Paolo Ghirardato and Peter Klibanoff, Journal of Mathematical Economics 30, 405-420, 1998.

Finitely Additive and Epsilon Nash Equilibria, International Journal of Game Theory 26, 315-333, 1997.

Local Radon-Nikodym Derivatives of Set Functions, with John Harding, Nhu T. Nguyen, and Tonghui Wang, International Journal of Uncertainty, Fuzziness, and Knowledge-Based Systems 5, 379-394, 1997.

Decomposition and Representation of Coalitional Games, ,Mathematics of Operations Research ,21, 1000-1015, 1996.

Other Publications

Ambiguity and the Bayesian Paradigm ,with Itzhak Gilboa (An abridged version will appear in D. Acemoglu, M. Arellano, and E. Dekel ",Advances in Economics and Econometrics: Theory and Applications",, Tenth World Congress of the Econometric Society, Cambridge University Press).

Economia teorica e analisi funzionale, slides in Italian prepared for the XIX Congress of the Unione Matematica Italiana, September 2011.

Revealed Ambiguity and its Consequences: Updating, with Paolo Ghirardato and Fabio Maccheroni, in Advances in Decision Making under Risk and Uncertainty (M. Abdellaoui and J. D. Hey, eds), Springer, 2008.

Contributi Fondamentali di Bruno de Finetti in Economia Teorica, with Simone Cerreia-Voglio, slides in Italian prepared for the conference to honor the birth centennial of Bruno de Finetti, Università, di Trieste, September 2006.

Introduction to the Mathematics of Ambiguity, with Luigi Montrucchio, in Uncertainty in Economic Theory: a collection of essays in honor of David Schmeidler&rsquo,s 65th birthday (I. Gilboa, ed.), 46-107, Routledge, New York, 2004.

Learning from Ambiguous Urns, Statistical Papers (special issue on Choquet integral and applications) 43, 143-151, 2002.

A Heine-Borel Theorem for ba, with Fabio Maccheroni, RISEC (special issue on the SET conference), 48, 353-362, 2001.

Vitali',s early Contribution to Non-Additive Integration, Rivista di Matematica per le Scienze Economiche e Sociali 20, 153-158, 1997.

Last change 07/07/2017