Socio-economy & New Tech

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AXA Chair in Risk

The Beauty of Incertainty

Uncertainty reigns nowadays. Financiers have a hard time trying to ensure effective risk management and portfolio allocations. The picture is not softened by a context of financial crisis. Until recently, probability lenses (the Bayesian method) have been used to look at the world and describe reality. This approach is suitable for gambling or probability courses, but, alas, does not seem to apply to the current economic events. When the need for a more realistic and complex description of the events we are facing was most needed, Prof. Marinacci addressed the question. “We don’t provide solutions,” he explains. “We don’t provide percentages. We formalize models that clarify what alternatives decision makers face and how they should handle them. Then it’s up to them to choose.” The advancement and diffusion of modelling techniques to capture and manage the new and different categories of risks in the social sciences will be at the core of the activity of the AXA Chair in Risk. 

Prof. Massimo Marinacci leads a project that aims to integrate the concepts of self-confirming equilibria and ambiguity aversion. This project represents the first attempt to jointly study these two concepts, which have been previously explored separately in macroeconomics and finance literature. The team has produced two papers on the project, titled “Selfconfirming Equilibrium and Model Uncertainty” and “Analysis of Information Feedback and Selfconfirming Equilibrium”, which have been presented at various prestigious academic institutions since 2011. 

Another project led by Prof. Marinacci and his collaborators focuses on the mixed extensions of decision problems under uncertainty. This research seeks to reconcile different theoretical approaches to framing decision problems, particularly in economic applications, where the distinction between act and action is crucial.  

Furthermore, Prof. Marinacci is involved in a project on the foundations of statistical risk management, aiming to provide a more rigorous framework for studying risk management problems, which have primarily been addressed from a practitioner standpoint. The team is working on three different papers to explore this class of problems in a more rigorous yet practical format.  

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Massimo
MARINACCI

Institution

Università Commerciale Luigi Bocconi

Country

Italy

Nationality

Italian

ORCID Open Researcher and Contributor ID, a unique and persistent identifier to researchers