International Centre for Economic Research

APPLIED MATHEMATICS WORKING PAPER SERIES

Luigi Montrucchio and Fabio Privileggi, "On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type,"Journal of Economic Theory 101, 158-188, 2001 (ICER WP 2001/5).

Massimo Marinacci, "Probabilistic Sophistication and Multiple Priors," Econometrica 70, 755-764, 2002 (ICER WP 2001/8).

Massimo Marinacci and Luigi Montrucchio, "Subcalculus for Set Functions and Cores of TU Games," Journal of Mathematical Economics 39, 1-25, 2003 (ICER WP 2001/9).

Juan Dubra, Fabio Maccheroni, and Efe Ok, "Expected Utility Theory without the Completeness Axiom," Journal of Economic Theory, fothcoming (ICER WP 2001/11).

Adriana Castaldo and Massimo Marinacci, "Random Correspondences as Bundles of Random Variables," April 2001 (ICER WP 2001/12).

Paolo Ghirardato, Fabio Maccheroni, Massimo Marinacci, and Marciano Siniscalchi, "A Subjective Spin on Roulette Wheels," Econometrica 71, 1897-1908, 2003 (ICER WP 2001/17)

Domenico Menicucci, "Optimal Two-Object Auctions with Synergies," July 2001 (ICER WP 2001/18).

Paolo Ghirardato and Massimo Marinacci, "Risk, Ambiguity, and the Separation of Tastes and Beliefs," Mathematics of Operations Research 26, 864-890, 2001 (ICER WP 2001/21).

Andrea Roncoroni, "Change of Numeraire for Affine Arbitrage Pricing Models Driven by Multifactor Market Point Processes," September 2001 (ICER WP 2001/22).

Maitreesh Ghatak, Massimo Morelli, and Tomas Sjoström, "Credit Rationing, Wealth Inequality, and Allocation of Talent," September 2001 (ICER WP 2001/23).

Fabio Maccheroni and William H. Ruckle, "BV as a Dual Space," Rendiconti del Seminario Matematico dell'Università di Padova, 107, 101-109, 2002 (ICER WP 2001/29).

Fabio Maccheroni, "Yaari Dual Theory without the Completeness Axiom," Economic Theory, forthcoming (ICER WP 2001/30).

Umberto Cherubini and Elisa Luciano, "Multivariate Option Pricing with Copulas", Applied Mathematical Finance 9, 2002, 69-86 (ICER WP 2002/5).

Umberto Cherubini and Elisa Luciano, "Pricing Vulnerable Options with Copulas", a version has appeared on Risk 15, October 2002 (ICER WP 2002/6).

Steven Haberman and Elena Vigna, "Optimal investment strategies and risk measures in defined contribution pension schemes", Insurance: Mathematics and Economics 31, 35-69, 2002 (ICER WP 2002/9).

Enrico Diecidue and Fabio Maccheroni, "Coherence without Additivity", Journal of Mathematical Psychology, forthcoming (ICER WP 2002/10).

Paolo Ghirardato, Fabio Maccheroni, and Massimo Marinacci, "Ambiguity from the Differential Viewpoint", April 2002 (ICER WP 2002/17).

Massimo Marinacci and Luigi Montrucchio, "A Characterization of the Core of Convex Games through Gateaux Derivatives", April 2002 (ICER WP 2002/18).

Fabio Maccheroni and Massimo Marinacci, "How to Cut a Pizza Fairly: Fair Division with Descreasing Marginal Evaluations", Social Choice and Welfare, 20, 457-465, 2003 (ICER WP 2002/23).

Erio Castagnoli, Fabio Maccheroni, and Massimo Marinacci, "Insurance Premia Consistent with the Market" Insurance: Mathematics and Economics 31, 267-284, 2002 (ICER WP 2002/24).

Fabio Privileggi and Guido Cozzi, “Wealth Polarization and Pulverization in Fractal Societies,” September 2002 (ICER WP 2002/39).

Paolo Ghirardato, Fabio Maccheroni, and Massimo Marinacci, “Certainty Independence and the Separation of Utility and Beliefs,” December 2002 (ICER WP 2002/40).

Salvatore Modica and Marco Scarsini, “The Convexity-Cone Approach to Comparative Risk and Downside Risk”, January 2003 (ICER WP 2003/1).

Claudio Mattalia, “Existence of Solutions and Asset Pricing Bubbles in General Equilibrium Models”, January 2003 (ICER WP 2003/2).

Massimo Marinacci and Luigi Montrucchio, “Cores and Stable Sets of Finite Dimensional Games”, March 2003 (ICER WP 2003/7).

Jerome Renault, Sergio Scarlatti, and Marco Scarsini, “A Folk Theorem for minority Games”, April 2003 (ICER WP 2003/10).

Peter Klibanoff, Massimo Marinacci, and Sujoy Mukerji, “A Smooth Model of Decision Making under Ambiguity”, April 2003 (ICER WP 2003/11).

Massimo Marinacci and Luigi Montrucchio, Ultramodular Functions. June 2003 (ICER WP 2003/13).

Erio Castagnoli, Fabio Maccheroni, and Massimo Marinacci "Choquet Insurance Pricing: a Caveat". June 2003 (ICER WP 2003/14).

Thibault Gajdos and Eric Maurin, "Unequal Uncertainties and Uncertain Inequalities: an Axiomatic Approach" June 2003 (ICER WP 2003/15).

Thibault Gajdos and John A. Weymark, "Multidimensional generalized Gini indices" June 2003 (ICER WP 2003/16).

Thibault Gajdos, Jean-Marc Tallon, and Jean-Christophe Vergnaud, "Decision Making with Imprecise Probabilistic Information" June 2003 (ICER WP 2003/18).

Alfred Müller and Marco Scarsini, “Archimedean Copulae and Positive Dependence”, July 2003 (ICER WP 2003/25).

Bruno Bassan, Olivier Gossner, Marco Scarsini, and Shmuel Zamir, “Positive Value of Information in Games”, International Journal of Game Theory, forthcoming (ICER WP 2003/26).

Marco Dall’Aglio and Marco Scarsini, “Zonoids, Linear Dependence, and Size-Biased Distributions on the Simplex”, Advances in Applied Probability forthcoming (ICER WP 2003/27).

Taizhong Hu, Alfred Muller, and Marco Scarsini, "Some Counterexamples in Positive Dependence", Journal of Statistical Planning and Inference forthcoming (ICER WP 2003/28).

Massimo Marinacci, Fabio Maccheroni, Alain Chateauneuf, and Jean-Marc Tallon, “Monotone Continuous Multiple Priors”. Economic Theory forthcoming (ICER WP 2003/30).

Massimo Marinacci and Luigi Montrucchio, Introduction to the Mathematics of Ambiguity, October 2003 (ICER WP 2003/34).

Fabio Maccheroni, Massimo Marinacci and Aldo Rustichini, “Variational representation of preferences under ambiguity”, June 2004 (ICER WP 2004/5).

Antonio Lijoi, Ramsés H. Mena, and Igor Prünster, “Hierarchical mixture modelling with normalized Gaussian priors”, November 2004 (ICER WP 2004/12).

Stephen G. Walker, Antonio Lijoi, and Igor Prünster, “Contributions to the understanding of Bayesian consistency”, November 2004 (ICER WP 2004/13).

Antonio Lijoi, Igor Prünster, and Stephen G. Walker, “On consistency of nonparametric normal mixtures”, October 2004 (ICER WP 2004/23).

Stephen G. Walker, Antonio Lijoi, and Igor Prünster, “On rates of convergence for posterior distributions”, October 2004 (ICER WP 2004/24).

Fabio Maccheroni, Massimo Marinacci, Aldo Rustichini and Marco Taboga, “Portfolio selection with monotone mean-variance preferences”, December 2004 (ICER WP 2004/27).

Fabio Maccheroni and Massimo Marinacci, “A strong law of large numbers for capacities”, Annals of Probability, forthcoming (ICER WP 2004/28).

Elisa Luciano and Elena Vigna, “A note on stochastic survival probabilities and their calibration”, January 2005 (ICER WP 2005/1).

Massimo Marinacci and Luigi Montrucchio, “On concavity and supermodularity”, March 2005 (ICER WP 2005/3).

Elisa Luciano and Elena Vigna, “Non mean reverting affine processes for stochastic mortality”, March 2005 (ICER WP 2005/4).

Lancelot F. James, Antonio Lijoi, and Igor Prünster, “Bayesian inference via classes of normalized random measures” April 2005 (ICER WP 2005/5).

Elisa Luciano and Wim Schoutens, “A multivariate jump-driven financial asset model”, May 2005 (ICER WP 2005/6).

Elisa Luciano, “Calibrating risk-neutral default correlation”, May 2005 (ICER WP 2005/12).