Starting January 2012, I have been nominated Editor of Decisions in Economics and Finance (DEF), a journal published by Springer-Verlag, which is the official organ of AMASES, the Italian association of Mathematical Economists.
I am very proud to announce that I will have excellent help in this new endeavor. We have substantially strengthened the Board of Associate Editors, as you can see by clicking here. Our current objective, besides obtaining an Impact Factor from the ISI, is to establish DEF as a natural outlet for high-quality research applying interesting and novel analytical tools to Economics and Finance. Please do consider DEF as possible outlet for your work!
First of all, my cv contains links to download most of my published and forthcoming papers. The following are links to and short descriptions of my more recent completed papers:
Risk Sharing in the Small and in the Large (500 KB, December 2014 -- Revised March 2018, with Marciano Siniscalchi; last working paper version of the paper published on Journal of Economic Theory). (This paper also has an Online Appendix).
This paper analyzes risk sharing in economies with no aggregate uncertainty when agents have non-convex preferences. In particular, agents need not be globally risk-averse, or uncertainty-averse in the sense of Schmeidler (1989). We identify a behavioral condition under which betting is inefficient (i.e., every Pareto-efficient allocation provides full insurance, and conversely) if and only if agents' supporting probabilities (defined as in Rigotti, Shannon, and Strzalecki, 2008) have a non-empty intersection. Our condition is consistent with empirical and experimental evidence documenting violations of convexity in either outcomes or utilities. Our results show that the connection between speculative betting and inconsistent beliefs does not depend upon global notions of risk or ambiguity aversion.
Flexible Contracts (380 KB, April 2010 -- Revised December 2015, with Piero Gottardi and Jean-Marc Tallon; last working paper version of the paper published on Games and Economic Behavior).
This paper studies the costs and beneﬁts of delegating decisions to superiorly informed agents, that is of adopting flexible contracts, relative to the use of rigid, non discretionary contracts. The main focus of the paper lies in the analysis of the costs of delegation, primarily agency costs, versus their benefits, primarily the flexibility of the action choice in two different environments, one with risk and one with ambiguity. We first determine and characterize the properties of the optimal flexible contract. We then show that the higher the agent's degree of risk aversion, the higher is the agency costs of delegation and the less profitable a flexible contract relative to a rigid one. When the parties have imprecise probabilistic beliefs, the agent's degree of imprecision aversion introduces another agency cost, which again reduces the relative profitability of flexible contracts.
Ambiguity in the Small and in the Large (458 KB, June 2012, with Marciano Siniscalchi; last working paper version of the paper published on Econometrica). (This Carlo Alberto Notebook version also contains the Online Appendix).
This paper considers local and global multiple-prior representations of ambiguity for preferences that are (i) monotonic, (ii) Bernoullian, i.e. admit an affine utility representation when restricted to constant acts, and (iii) locally Lipschitz continuous. We do not require either Certainty Independence or Uncertainty Aversion. We show that the set of priors identified by Ghirardato, Maccheroni, and Marinacci (2004)'s 'unambiguous preference' relation can be characterized as a union of Clarke differentials. We then introduce a behavioral notion of 'locally better deviation' at an act, and show that it characterizes the Clarke differential of the preference representation at that act. These results suggest that the priors identified by these preference statements are directly related to (local) optimizing behavior.
Rational Preferences under Ambiguity (280 KB, December 2010, with Simone Cerreia-Vioglio, Fabio Maccheroni, Massimo Marinacci and Marciano Siniscalchi; last working paper version of the paper published on Economic Theory).
This paper analyzes preferences in the presence of ambiguity that are rational in the sense of satisfying the classical ordering condition as well as monotonicity. Under technical conditions that are natural in an Anscombe-Aumann environment, we show that even for such general preference model it is possible to identify a set of priors, as first envisioned by Ellsberg (1961). We then discuss ambiguity attitudes, as well as unambiguous acts and events, for the class of rational preferences we consider.
Some (finished!) old papers and research material available for download:
A More Robust Definition of Multiple Priors (480 KB, April 2010, with Marciano Siniscalchi).
Like "Ambiguity in the Small and in the Large," this paper provides a multiple-priors representation of unambiguous preference, but for any preference that is monotonic, Bernoullian and suitably continuous. Again, we do not require either Certainty Independence or Uncertainty Aversion. Focusing on the "global" case, we characterize the set of priors in terms of Clarke-Rockafellar (rather than Clarke) differentials. This allows us to provide an explicit calculation of the set of priors for several recent decision models: multiplier preferences, the smooth ambiguity model, the vector expected utility model, as well as confidence function, variational, general "uncertainty-averse" preferences, and mean-dispersion preferences.
Being an entry on the topic of "Ambiguity" written for the Encyclopaedia of Quantitative Finance edited by Rama Cont, to be published by John Wiley and Sons in 2009.
I study the effects on a simple agency problem of assuming that parties display beliefs which are not necessarily represented by additive measures, as will be the case if they are uncertainty averse or if there are unforeseen contingencies. I present the players' problems, prove existence of solutions, and discuss analogies and differences with the standard case in the characteristics of optimal incentive schemes. It is shown that quality of information, which cannot be captured in the additive case, can be extremely important for both parties' choices. In fact, I discuss improvements in the quality of information, and prove that they are going to be beneficial to the principal in a number of cases. This is not in general true for (the natural generalization of) changes in Blackwell informativeness.