Ambiguity in asset pricing and portfolio choice: a review of the literature

We survey the literature that has explored the implications of decision-making under ambiguity for financial market outcomes, such as portfolio choice and equilibrium asset prices. This ambiguity literature has led to a number of significant advances in our ability to rationalize empirical features of asset returns and portfolio decisions, such as the failure of the two-fund separation theorem in portfolio decisions, the modest exposure to risky securities observed for a majority of investors, the home equity preference in international portfolio diversification, the excess volatility of asset returns, the equity premium and the risk-free rate puzzles, and the occurrence of trading break-downs.     

Bayes factors for goodness of fit testing

We propose the use of the generalized fractional Bayes factor for testing fit in multinomial models. This is a non-asymptotic method that can be used to quantify the evidence for or against a sub-model. We give expressions for the generalized fractional Bayes factor and we study its properties. In particular, we show that the generalized fractional Bayes factor has better properties than the fractional Bayes factor.     

A ``European Consensus' on the Growth Agenda? A Discussion of the Sapir Report

This paper offers a discussion of An Agenda for a Growing Europe: Making the Economic System Deliver, a report to the President of the European Commission prepared by a group of independent experts. The paper reflects the results of the 3rd Milan European Economy Workshop (May 28–29, 2004) and my personal views. The workshop was organised by the Department of Economics, University of Milan and the Jean Monnet Chair of Economics of European Integration, with the participation of more than twenty distinguished speakers from several institutions across the European Union.     

Spatial effects in dynamic conditional correlations

The recent literature on time series has developed a lot of models for the analysis of the dynamic conditional correlation, involving the same variable observed in different locations; very often, in this framework, the consideration of the spatial interactions is omitted. We propose to extend a time-varying conditional correlation model (following an autoregressive moving average dynamics) to include the spatial effects, with a specification depending on the local spatial interactions. The spatial part is based on a fixed symmetric weight matrix, called Gaussian kernel matrix, but its effect will vary along the time depending on the degree of time correlation in a certain period. We show the theoretical aspects, with the support of simulation experiments, and apply this methodology to two space–time data sets, in a demographic and a financial framework, respectively.     

Spatial Quantification of the Population Exposed to Cryptococcus neoformans and Cryptococcus gattii Species Complexes in Europe: Estimating the Immunocompetent and HIV/AIDS Patients Under Risk

Cryptococcus is an important fungal pathogen worldwide, causing serious clinical manifestations that can affect immunocompetent patients and can be particularly severe for immunocompromised patients. The Cryptococcus gattii s.s. (AFLP4/VGI), Cryptococcus tetragattii (AFLP/VGIV), Cryptococcus neoformans, and Cryptococcus deneoformans have been isolated from both clinical and environmental sources in Europe. We aim to quantify the people in Europe and the entire Mediterranean area who are under risk associated with each of the three fungal pathogens in a spatially explicit way, generating a series of maps and population statistics per country. Niche modeling was applied to estimate the potential distribution of each fungal pathogen, then these models were overlapped with a map of population density to estimate risk levels. The potential number of people per risk level and per country was quantified using a map of population count per pixel. Prevalence of HIV per country was also included in the analysis to quantify the HIV-infected population under potential risk. People under risk associated with exposure to C. gattii species (C. gattii s.s. and C. tetragattii) reached 137.65 million, whereas those exposed to C. neoformans and C. deneoformans were 268.58 and 360.78 million people, respectively. More than a half million HIV-infected patients are exposed to each of the two species of the C. neoformans species complex, and more than 200,000 to the C. gattii species complex. The present results can be useful for public health planning by European governments, focusing on the provision of inputs for a “screen-and-treat” approach, availability of medical resources, and continuous monitoring programs in risk zones.     

Is corporate governance of private equity targets more effective for risk mitigation?

Journal of Management and Governance - Private equity is a source of finance and a governance device characterised by active monitoring through sponsors that intervene in targets’ corporate...     

La sociologie clinique comme science rigoureuse et comme pratique sociale

How can clinical sociology be considered from an epistemological point of view, since it deals with social problems not in their overall dimension, but seen as specific situations where concrete people are suffering? This paper is concerned with a two-fold epistemological difficulty: from the one side, studying such problems could involve a therapeutic intervention that exceeds a purely scientific approach; then, has a clinical sociologist to deal with a social therapy? And how far does that (not) involve any political involvement? From the other side, under which conditions could he (she) generalize information coming from his (her) experience as to contribute to social theory (according to Merton's suggestions about theory and research)? An effective contribution to answer such questions can come from the concept of ‘cultural pattern’, as pointed out in this paper.     

Crowds and value. Italian Directioners on Twitter

This paper addresses crowd-based dynamics of value creation in participatory culture. Based on a corpus of 114,931 tweets associated with One Direction and similar boy bands, we draw on recent theories of crowd-based organization in digital media as well as classical crowd theory to build a theoretical model of collective value creation. In our model, the achievement of value in the form of trending and individual microcelebrity is based on affectively driven processes of imitation, rather than on rational evaluation and deliberation. We contrast this model with established accounts of microcelebrity and draw out implications for theories of crowd-based organization in digital media and for theories of participatory culture and collaborative value creation in general.     

A Lusin theorem for a class of Choquet capacities

We extend the Lusin Theorem to supermodular Dempster capacities. Received: July 2000; revised version: May 2001