Campuses:

Doriana Ruffino

Assistant Professor
Finance Department

Education

  • Ph.D. 2008
    Economics Boston University

  • M.A. 2006
    Political Economy Boston University

  • Laurea 2004
    Economics Università degli Studi di Torino

Expertise

  • Financial engineering, Risk management, Consumption-portfolio-labor choices, Decision theory

Selected Works

  • Maccheroni, Fabio, Massimo Marinacci, and Doriana Ruffino. "Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis." Econometrica, forthcoming.
  • Ruffino, Doriana, and Jonathan Treussard. "Financial Frictions and Risky Corporate Debt." Economic Notes 36, no. 1 (2007): 77-87.
  • Ruffino, Doriana, and Jonathan Treussard. "Derman and Taleb's 'The Illusions of Dynamic Replication': A Comment." Quantitative Finance, 6, no. 5 (2006): 365-67.
  • Ruffino, Doriana. "Real Options." In Rama Cont (ed.), Encyclopedia of Quantitative Finance, John Wiley and Sons (2010): 1488-1493.
  • Bodie, Zvi, Doriana Ruffino, and Jonathan Treussard. "Contingent Claims Analysis and Life-Cycle Finance." AER Papers and Proceeding , 98, no. 2, (2008): 291-96.
  • "Does Uncertainty Vanish in The Small? The Smooth Ambiguity Case." University of Minnesota, Manuscript (2012), with Fabio Maccheroni and Massimo Marinacci. Revise and resubmit at the Journal of Mathematical Economics (first round).
  • "Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios." University of Minnesota, Manuscript (2012). Revise and resubmit at the Review of Economic Dynamics (second round).
  • Job Shopping: A Theory of Human Capital Accumulation. University of Minnesota, Manuscript (2013).
  • "Lumps and Clusters in Duopolistic Investment Games: An Early Exercise Premium Approach." Boston University, Manuscript (2007), with Jonathan Treussard.
  • "A Study of Inaction in Investment Games via the Early Exercise Premium Representation." Boston University, Manuscript (2006), with Jonathan Treussard.
  • "Optimal Age-Based Portfolios with Stochastic Investment Opportunity Sets." Boston University, Manuscript (2006), with Jonathan Treussard.
  • "Estimating Return Parameters with Short Historical Data: The Case of U.S. Treasury Inflation-Protected Securities," with Robert C. Merton.
  • "Pricing Policies by Dominant Firms: The Gorilla Sleeps Anywhere the Gorilla Wants to Sleep," with Rosella Nicolini.
  • Maccheroni, Fabio, Massimo Marinacci, and Doriana Ruffino. "Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis." Econometrica, forthcoming.
  • Ruffino, Doriana, and Jonathan Treussard. "Financial Frictions and Risky Corporate Debt." Economic Notes 36, no. 1 (2007): 77-87.
  • Ruffino, Doriana, and Jonathan Treussard. "Derman and Taleb's 'The Illusions of Dynamic Replication': A Comment." Quantitative Finance, 6, no. 5 (2006): 365-67.
  • Ruffino, Doriana. "Real Options." In Rama Cont (ed.), Encyclopedia of Quantitative Finance, John Wiley and Sons (2010): 1488-1493.
  • Bodie, Zvi, Doriana Ruffino, and Jonathan Treussard. "Contingent Claims Analysis and Life-Cycle Finance." AER Papers and Proceeding , 98, no. 2, (2008): 291-96.
  • "Does Uncertainty Vanish in The Small? The Smooth Ambiguity Case." University of Minnesota, Manuscript (2012), with Fabio Maccheroni and Massimo Marinacci. Revise and resubmit at the Journal of Mathematical Economics (first round).
  • "Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios." University of Minnesota, Manuscript (2012). Revise and resubmit at the Review of Economic Dynamics (second round).
  • Job Shopping: A Theory of Human Capital Accumulation. University of Minnesota, Manuscript (2013).
  • "Lumps and Clusters in Duopolistic Investment Games: An Early Exercise Premium Approach." Boston University, Manuscript (2007), with Jonathan Treussard.
  • "A Study of Inaction in Investment Games via the Early Exercise Premium Representation." Boston University, Manuscript (2006), with Jonathan Treussard.
  • "Optimal Age-Based Portfolios with Stochastic Investment Opportunity Sets." Boston University, Manuscript (2006), with Jonathan Treussard.
  • "Estimating Return Parameters with Short Historical Data: The Case of U.S. Treasury Inflation-Protected Securities," with Robert C. Merton.
  • "Pricing Policies by Dominant Firms: The Gorilla Sleeps Anywhere the Gorilla Wants to Sleep," with Rosella Nicolini.

Current Activities

Community Relationships

  • Chair, Young ISSNAF Minnesota, Feb. 2012-present

Honors and Awards

  • Outstanding Referee Award 2007, Journal of Economic Dynamics and Control, 2008 Scholarship "Luigi Einaudi," Ente Luigi Einaudi, 2007-2008 Summer Research Award, Boston University, 2007 Higher Standard Award, PRMIA Institute, 2007 Scholarship "Bonaldo Stringher," Bank of Italy, 2005-2007 Premio Optime, Unione Industriale di Torino, 2005 Presidential fellowship, Boston University, 2004-2005

Research Grants

  • Collegio Carlo Alberto Research Grant, Collegio Carlo Alberto, 2011 Deans' Small Research Grant, Carlson School of Management, 2009, 2011 Travel Grant, Institute for Economic Development, Boston University, 2007

Scholarly Service

  • Referee: Journal of Economic Theory, Review of Financial Studies, American Economic Review, Economic Modeling, Journal of Economic Dynamics and Control, Journal of Monetary Economics, Journal of Risk and Insurance, Management Science, Handbook of Technology Management
  • Program Committee Member: Mini-conference in Asset Pricing, Minneapolis (2011, 2012)
Doriana Ruffino
(612) 626-6995
3-117 CarlSMgmt
Curriculum Vitae (18.79 KB)