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Stochastic dominance analysis without the independence axiom

Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, … - In: Management science : journal of the Institute for … 63 (2017) 4, pp. 1097-1109

Persistent link: https://www.econbiz.de/10011672840

Stochastic dominance analysis without the independence axiom

Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, … - 2015 - This version: June 23, 2015

Persistent link: https://www.econbiz.de/10011806081

Certainty independence and the separation of utility and beliefs

Ghirardato, Paolo; Maccheroni, Fabio; Marinacci, Massimo - In: Journal of economic theory 120 (2005) 1, pp. 129-136

Persistent link: https://www.econbiz.de/10002572708

On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility

Černý, Aleš; Maccheroni, Fabio; Marinacci, Massimo; … - In: Journal of mathematical economics 48 (2012) 6, pp. 386-395

Persistent link: https://www.econbiz.de/10009689445

Ambiguity aversion, robustness, and the variational representation of preferences

Maccheroni, Fabio; Marinacci, Massimo; Rustichini, Aldo - In: Econometrica : journal of the Econometric Society, an … 74 (2006) 6, pp. 1447-1498

Persistent link: https://www.econbiz.de/10003392300

On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility

Černý, Aleš; Maccheroni, Fabio; Marinacci, Massimo; … - 2020

We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (cf. Maccheroni et al. 2006) and optimal portfolios generated by classical expected utility. As a special case we connect optimization of truncated...

Persistent link: https://www.econbiz.de/10014214161