Fabio ANGELO Maccheroni

Works

• article

  • Alpha as ambiguity: robust mean-variance portfolio analysis, with Massimo Marinacci and Doriana Ruffino, Econometrica, forthcoming.

  • Social decision theory: choosing within and between groups, with Massimo Marinacci and Aldo Rustichini, The Review of Economic Studies, forthcoming.

  • On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility, with Ales Cerny, Massimo Marinacci, and Aldo Rustichini, Journal of Mathematical Economics, forthcoming.

  • Probabilistic sophistication, second order stochastic dominance, and uncertainty aversion, with Simone Cerreia-Vioglio, Massimo Marinacci, and Luigi Montrucchio, Journal of Mathematical Economics, 48, 271-283, 2012.

  • Signed integral representations of comonotonic additive functionals, with Simone Cerreia-Vioglio, Massimo Marinacci, and Luigi Montrucchio, Journal of Mathematical Analysis and Applications, 385, 895-912, 2012.

  • Uncertainty averse preferences, with Simone Cerreia-Vioglio, Massimo Marinacci, and Luigi Montrucchio, Journal of Economic Theory, 146, 1275-1330, 2011.

  • Complete monotone quasiconcave duality, with Simone Cerreia-Vioglio, Massimo Marinacci, and Luigi Montrucchio, Mathematics of Operations Research, 36, 321-339, 2011.

  • Risk measures: Rationality and diversification, with Simone Cerreia-Vioglio, Massimo Marinacci, and Luigi Montrucchio, Mathematical Finance, 21, 743-774, 2011.

  • Rational preferences under ambiguity, with Simone Cerreia-Vioglio, Paolo Ghirardato, Massimo Marinacci, and Marciano Siniscalchi, Economic Theory, 48, 341-375, 2011.

  • Objective and subjective rationality in a multiple prior model, with Itzhak Gilboa, Massimo Marinacci, and David Schmeidler, Econometrica, 78, 755-770, 2010.

  • Portfolio selection with monotone Mean-Variance preferences, with Massimo Marinacci, Aldo Rustichini, and Marco Taboga, Mathematical Finance, 19, 587-521, 2009.

  • Ambiguity aversion, robustness, and the variational representation of preferences, with Massimo Marinacci and Aldo Rustichini, Econometrica, 74, 1447-1498, 2006.

  • Dynamic variational preferences, with Massimo Marinacci and Aldo Rustichini, Journal of Economic Theory, 128, 4-44, 2006.

  • Cores of non-atomic market games, with Massimiliano Amarante, Massimo Marinacci, and Luigi Montrucchio, International Journal of Game Theory, 34, 399-424, 2006.

  • When an event makes a difference, with Massimiliano Amarante, Theory and Decision, 60, 119-126, 2006.

  • A strong law of large numbers for capacities, with Massimo Marinacci, The Annals of Probability, 33, 1171-1178, 2005.

  • Certainty independence and the separation of utility and beliefs, with Paolo Ghirardato and Massimo Marinacci, Journal of Economic Theory, 120, 129-136, 2005.

  • Fair division without additivity, with Marco Dall’Aglio, The American Mathematical Monthly, 112, 363-365, 2005.

  • Monotone continuous multiple priors, with Alain Chateauneuf, Massimo Marinacci, and Jean-Mark Tallon. Economic Theory, 26, 973-982, 2005.

  • Differentiating ambiguity and ambiguity attitude, with Paolo Ghirardato and Massimo Marinacci, Journal of Economic Theory, 118, 133-173, 2004.

  • Random correspondences as bundles of random variables, with Adriana Castaldo and Massimo Marinacci Sankhy (Series A), 66, 409-427, 2004.

  • Choquet insurance pricing: a caveat, with Erio Castagnoli and Massimo Marinacci, Mathematical Finance, 14, 481-485, 2004.

  • Expected utility theory without the completeness axiom, with Juan Dubra and Efe Ok, Journal of Economic Theory, 115, 118-133, 2004.

  • Yaari’s dual theory without the completeness axiom, Economic Theory, 23, 701-714, 2004.

  • A subjective spin on roulette wheels, with Paolo Ghirardato, Massimo Marinacci, and Marciano Siniscalchi, Econometrica, 71, 1897-1908, 2003.

  • How to cut a pizza fairly: Fair division with decreasing marginal evaluations, with Massimo Marinacci, Social Choice and Welfare, 20, 457-465, 2003.

  • Coherence without additivity, with Enrico Diecidue, Journal of Mathematical Psychology, 47, 166-170, 2003.

  • Insurance premia consistent with the market, with Erio Castagnoli and Massimo Marinacci, Insurance: Mathematics and Economics, 31, 267-284, 2002.

  • BV as a dual space, with William Ruckle, Rendiconti del Seminario Matematico dell’Università di Padova, 107, 101-109, 2002.

  • Maxmin under risk, Economic Theory, 19, 823-831, 2002.

  • Homothetic preferences on star-shaped sets, Decisions in Economics and Finance, 24, 41-47, 2001.

  • Restricting independence to convex cones, with Erio Castagnoli, Journal of Mathematical Economics, 34, 215-223, 2000.