Via Real Collegio 30
10024 Moncalieri (TO), Italy
Phone:
Offices:
- At the Dipartimento di Statistica e Matematica Applicata (Corso Unione Sovietica 218bis, Torino; go left at the main entrance and follow the signs to get to the Department).
- At the Collegio Carlo Alberto (Via Real Collegio 30, Moncalieri; here is how to get there), my office is number 16 in the central "camerata" on the ground floor.
Downloadable Research (PDF Format)
My cv contains links to most of my published and forthcoming papers.
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NEW!!! Finally, here is the revised version of Ambiguity and Asset Markets: Theory and Experiment (548 KB, March 2009, with Peter Bossaerts, Serena Guarnaschelli and Bill Zame, forthcoming on the Review of Financial Studies).
This paper studies the impact of ambiguity and ambiguity aversion on equilibrium asset prices and portfolio holdings in competitive financial markets. It argues that attitudes toward ambiguity are heterogeneous across the population, just as attitudes toward risk are heterogeneous across the population, but that heterogeneity of attitudes toward ambiguity has different implications than heterogeneity of attitudes toward risk. In particular, when some state probabilities are not known, agents who are sufficiently ambiguity averse find open sets of prices for which they refuse to hold an ambiguous portfolio. This suggests a different cross-section of portfolio choices, a wider range of state price/probability ratios and different rankings of state price/probability ratios than would be predicted if state probabilities were known. Experiments confirm all of these suggestions. Our findings contradict the claim that investors who have cognitive biases do not affect prices because they are infra-marginal: ambiguity averse investors have an indirect effect on prices because they change the per-capita amount of risk that is to be shared among the marginal investors. Our experimental data also suggest a positive correlation between risk aversion and ambiguity aversion that might explain the ``value effect'' in historical data.
- NEW!!! Ambiguity (138 KB, March 2009).
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.
If you are wondering what has been preventing me from writing the usual 15 papers a year, it's a major project that you can learn a bit about by clicking here. (This too is work in progress ;-))
Some (finished!) papers and research material available for download:
- Agency Theory with
Uncertainty Aversion (216 KB, July 1994).
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.
- This is a link to the original version of "Subjective Spin on Roulette Wheels" (252 KB, August 2001, with Fabio Maccheroni, Massimo Marinacci and Marciano Siniscalchi), which contains the full axiomatization of the "subjective mixtures" model, that was removed from the Econometrica at the request of the referees.
- This is a link to the 2002 working paper version of Differentiating Ambiguity and Ambiguity Attitude (575 KB, April 2002, with Fabio Maccheroni and Massimo Marinacci), which contains some material that was not included in the published version or in the later "Revealed Ambiguity: Updating" paper.
- This is a link to the brain activation images for A Brain-Imaging Study of the Choice Procedure (with John Dickhaut, Aldo Rustichini, Kip Smith and José Pardo).
Interesting WWW Sites
Here are some interesting sites not already mentioned above.- People
- Al Roth's game theory and experimental economics page
- David Levine's game theory page, from which some of the following links are stolen (and which contains many more).
- John Iron's Economics Guide: an annotated guide to economics resources on the web, plus some general interest material for non-economists.
- Jonathan Katz, a coauthor.
- Kim Border: Everything you wanted to know about LA and never dared to ask...
- My favorite humanist can be visited by clicking here.
- Economics and Academia
- The Collegio Carlo Alberto is the exciting research center I am proud of being affiliated with as a Fellow. Here you find more information on the Fellows of the Collegio Carlo Alberto, as well as links to all of their web pages.
- Econometric Society: information about meetings, the society and access to Econometrica (if you are a member)
- AMASES: the association of Italian teachers of Mathematics for Economists.
- The Probability Web: everything you wanted to know about probability and never took the chance to ask.
- The Imprecise Probabilities Project: A statistical perspective on non-additive probabilities and similar strange objects.
- RepEc (REsearch Papers in EConomics): A huge database of Economics working papers on the Web.
- Social Science Research Network: Another major electronic paper collection in Economics, Finance and related topics.
- JSTOR: images of back issues through 1995 [if your library subscribes] for major economics journals
- Science Direct: full text of Elsevier articles [if your library subscribes] plus abstracts [even if it does not] for their journals.
- The CILEA Electronic Journal Web Site allows access to many journals if you are in Italy and your University subscribes.
- US Economics Departments on the Internet
- Arts, Entertainment, & Travel
- TurismoTorino, if you plan to come visit us in this Baroque jewel.
- Torinosette, if you plan to be more than just a tourist (in Italian).
- The Internet Movie Database, for movie reviews and much more.
- The web site of the Italian Othello Association (Othello is an exciting game I used to play).
- List of Radio Stations on the Net
- L.A. Philharmonic
- Teatro alla Scala: For the opera fans.
- Gambero Rosso: The best gourmet magazine.
- Il Corriere della Sera: Italian news from Italy's best-selling newspaper.
- La Gazzetta dello Sport, sometimes I do check the soccer results, too.
- RAI Sport, ditto.
- Miscellany
- Macintosh TeX/LaTeX Web Site, for the really sophisticated people...
- Yahoo's Map Engine
- NCSA (at UIUC) Beginner's Guide to HTML
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Paolo Ghirardato, Created October 10, 2001. Last significant update April 30, 2009.