Mean Variance, Expected Utility and Ruin Probability in Reinsurance Decisions: Suggestions and Comments on the Line of De Finetti’s Seminal Work

Daboni, Luciano; Pressacco, Flavio

doi:10.1007/978-1-4613-1885-9_12

Cited by 3 publications

(1 citation statement)

References 4 publications

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“…and stressed by Daboni and Pressacco (1987): "... de Finetti's paper is to be seen as an early anticipation of H. Markowitz's (Markowitz, 1952) well known two stage mean variance approach to the portfolio selection problem. "…”

Section: Historical Notementioning

confidence: 99%

Bruno de Finetti and the Case of the Critical Line's Last Segment

Barone

2006

SSRN Journal

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The anticipatory views of Bruno de Finetti on portfolio theory, set out by the author in a 1940 article, have recently been discovered by Mark Rubinstein and reviewed by Harry Markowitz. This paper analyzes the crucial parts of de Finetti's paper and discusses the controversial issue of the critical line's last segment, i.e. the segment that leads to the minimum-variance efficient portfolio. Markowitz (2006) derives the criterion for the last segment to lie on one of the boundaries of the set of legitimate portfolios in two (and n) dimensions and Pressacco (2005) shows a necessary and sufficient condition for the last segment to lie inside the legitimate set in three dimensions when the correlations are uniformly positive. This paper revises the terms of the problem and completes the analysis.

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Section: Historical Notementioning

confidence: 99%

Bruno de Finetti and the Case of the Critical Line's Last Segment

Barone

2006

SSRN Journal

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Bruno de Finetti, Actuarial Sciences and the Theory of Finance in the 20th Century

Pressacco

2009

Vinzenz Bronzin’s Option Pricing Models

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Bruno de Finetti and the case of the critical line’s last segment

Barone¹

2008

Insurance: Mathematics and Economics

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The anticipatory views of Bruno de Finetti on portfolio theory, set out by the author in a 1940 article, have recently been discovered by Mark Rubinstein and reviewed by Harry Markowitz. This paper analyzes the crucial parts of de Finetti's paper and discusses the controversial issue of the critical line's last segment, i.e. the segment that leads to the minimum-variance efficient portfolio. Markowitz [Markowitz, Harry M., 2006. De Finetti scoops Markowitz. In: A Literature postscript. J. Invest. Manag. 4 (3), 3-18 (special issue)] derives the criterion for the last segment to lie on one of the boundaries of the set of legitimate portfolios in two (and n) dimensions and Pressacco [Pressacco, Flavio, 2005. De Finetti, Markowitz e la congettura dell'ultimo segmento. Rendiconti per gli Studi Economici Quantitativi, Università Cà Foscari di Venezia] shows a necessary and sufficient condition for the last segment to lie inside the legitimate set in three dimensions when the correlations are uniformly positive. This paper revises the terms of the problem and completes the analysis.

show abstract

Mean Variance, Expected Utility and Ruin Probability in Reinsurance Decisions: Suggestions and Comments on the Line of De Finetti’s Seminal Work

Cited by 3 publications

References 4 publications

Bruno de Finetti and the Case of the Critical Line's Last Segment

Bruno de Finetti and the Case of the Critical Line's Last Segment

Bruno de Finetti, Actuarial Sciences and the Theory of Finance in the 20th Century

Bruno de Finetti and the case of the critical line’s last segment

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