Details about Doriana Ruffino

Access statistics for papers by Doriana Ruffino.

Last updated 2016-10-03. Update your information in the RePEc Author Service.

Short-id: pru85

Working Papers

2016

1. Bank Complexity: Is Size Everything?
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (1)

2014

2. A Robust Capital Asset Pricing Model
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (9)
3. Some Implications of Knightian Uncertainty for Finance and Regulation
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (2)

2012

4. Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios
   Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (2)
   Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2007) View citations (3)
   See also Journal Article Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2014) (2014)

2011

5. Does Uncertainty Vanish in the Small? The Smooth Ambiguity Case
   2011 Meeting Papers, Society for Economic Dynamics View citations (1)
   Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2011) View citations (1)

2010

6. Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (9)
   See also Journal Article Alpha as Ambiguity: Robust Mean‐Variance Portfolio Analysis, Econometrica, Econometric Society (2013) View citations (103) (2013)

2007

7. Lumps and Clusters in Duopolistic Investment Games: An Early Exercise Premium Approach
   2007 Meeting Papers, Society for Economic Dynamics View citations (1)
   Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2006) View citations (1)

2006

8. A Note on Financial Frictions and Risky Corporate Debt in Relation to Cooley and Quadrini (2001)
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
9. A Study of Inaction in Investment Games via the Early Exercise Premium Representation
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (3)
10. Derman and Taleb's The Illusions of Dynamic Replication: A Comment
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (2)
    See also Journal Article Derman and Taleb's 'The illusions of dynamic replication': a comment, Quantitative Finance, Taylor & Francis Journals (2006) (2006)
11. Optimal Age-Based Portfolios with Stochastic Investment Opportunity Sets
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics

Journal Articles

2016

1. Lending on hold: Regulatory uncertainty and bank lending standards
   Journal of Monetary Economics, 2016, 81, (C), 89-101 View citations (47)

2014

2. Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios
   Review of Economic Dynamics, 2014, 17, (1), 107-130
   See also Software Item Code and data files for "Resuscitating Businessman Risk: A Rationale for Familiarity-based Portfolios", Computer Codes (2013) (2013)
   Working Paper Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios, Carlo Alberto Notebooks (2012) View citations (2) (2012)

2013

3. Alpha as Ambiguity: Robust Mean‐Variance Portfolio Analysis
   Econometrica, 2013, 81, (3), 1075-1113 View citations (103)
   See also Working Paper Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis, Working Papers (2010) View citations (9) (2010)

2008

4. Contingent Claims Analysis and Life-Cycle Finance
   American Economic Review, 2008, 98, (2), 291-96 View citations (6)

2007

5. Financial Frictions and Risky Corporate Debt
   Economic Notes, 2007, 36, (1), 77-87

2006

6. Derman and Taleb's 'The illusions of dynamic replication': a comment
   Quantitative Finance, 2006, 6, (5), 365-367
   See also Working Paper Derman and Taleb's The Illusions of Dynamic Replication: A Comment, Boston University - Department of Economics - Working Papers Series (2006) View citations (2) (2006)

Software Items

2013

1. Code and data files for "Resuscitating Businessman Risk: A Rationale for Familiarity-based Portfolios"
   Computer Codes, Review of Economic Dynamics
   See also Journal Article Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2014) (2014)