Via Real Collegio 30
10024 Moncalieri (TO), Italy
Phone:
Offices:
- At the Department of Economics and Statistics (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.
Decisions in Economics and Finance
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!
Some Research Papers
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 most recent completed papers:
NEW!!! Ambiguity in the Small and in the Large (458 KB, June 2012, with Marciano Siniscalchi, forthcoming 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.
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.
Rational Preferences under Ambiguity (280 KB, December 2010, with Simone Cerreia-Vioglio, Fabio Maccheroni, Massimo Marinacci and Marciano Siniscalchi).
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.
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Flexible Contracts (380 KB, April 2010, with Piero Gottardi and Jean-Marc Tallon).
This paper studies the costs and benefits of delegating decisions to superiorly informed agents relative to the use of rigid, non discretionary contracts. Delegation grants some flexibility in the choice of the action by the agent, but also requires the use of an appropriate incentive contract so as to realign his interests with those of the principal. The parties' understanding of the possible circumstances in which actions will have to be chosen and their attitude towards risk and uncertainty play then an important role in determining the costs of delegation. The main focus of the paper lies indeed in the analysis of these costs and the consequences for whether or not delegation is optimal. We determine and characterize the properties of the optimal flexible contract both when the parties have sharp probabilistic beliefs over the possible events in which the agent will have to act and when they only have a set of such beliefs. We show that the higher the agent's degree of risk aversion, the higher the agency costs for delegation and hence the less profitable is a flexible contract versus a rigid one. The agent's imprecision aversion in the case of multiple priors introduces another, additional agency cost; it again implies that the higher the degree of imprecision aversion the less profitable flexible contracts versus rigid ones. Even though, with multiple priors, the contract may be designed in such a way that principal and agent end up using 'different beliefs' and hence engage in speculative trade, this is never optimal, in contrast with the case where the parties have sharp heterogeneous beliefs.
Some (finished!) older papers and research material available for download:
- 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.
- 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.- Econometric Society: information about meetings, the society and access to Econometrica (if you are a member)
- The Probability Web: everything you wanted to know about probability and never took the chance to ask.
- 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.
- Some readings on Neuroeconomics (Alcune letture di neuroeconomia)
- My favorite humanist can be visited by clicking here.
- 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).
- Macintosh TeX/LaTeX Web Site, for the really sophisticated people...
- The web site of the Italian Othello Association (Othello is an exciting game I used to play).
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Collegio Carlo AlbertoSchool of Economics
University of Torino
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Paolo Ghirardato, Created October 10, 2001. Last significant update November 10, 2012.