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CEIS: CENTRE FOR ECONOMIC & INTERNATIONAL STUDIES
Vincenzo Atella - Director "Delegated Portfolio Management Under Ambiguity Aversion" 
CEIS Working Paper No. 304 ANNALISA FABRETTI, University of Rome "Tor Vergata" - Tor Vergata Economics University Foundation
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STEFANO HERZEL, University of Rome II - Faculty of Economics
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MUSTAFA PINAR, Bilkent University - Department of Industrial Engineering
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We examine the problem of setting optimal incentives for a portfolio manager hired by an investor who wants to induce ambiguity-robust portfolio choices with respect to estimation errors in expected returns. We consider a one-period model with a set of risky assets (with multivariate normal returns) whose expected returns are estimated with uncertainty and a linear sharing rule between a risk-neutral investor and a risk averse portfolio manager. The manager accepts the contract if the compensation off
ered is at least as large as a minimum compensation he determines from his minimum acceptable utility level. Adopting a worst-case max-min approach we obtain in closed-form the optimal compensation in various cases where the investor and the manager, respectively adopt or relinquish an ambiguity averse attitude. We apply our result to compute the compensation fees for an investment strategy restricted by Socially Responsible rules. The application shows, for instance, that the additional premium requested by a manager for restricting the investment set should decrease when the aversion to ambiguity increases. "Technical Change, Non-Tariff Trade Barriers and the Development of the Italian Locomotives Industry, 1850-1913"
CEIS Working Paper No. 305 CARLO CICCARELLI, University of Rome II - Faculty of Economics
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ALESSANDRO NUVOLARI, Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM)
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In this paper we examine the dynamics of technical change in the Italian locomotive industry in the period 1850-1913. From an historical point of view, the case of the Italian locomotive industry presents a major point of interest: it was one of the few relatively sophisticated “high-tech†industries in which Italy, a latecomer country, was able to firmly set foot before 1913. Using technical data on the performance of different vintages of locomotives, we construct a new aggregate index of technical change for the industry. Overall the most successful phase for the Italian locomotive industry seems to be period 1895-1913 characterized by a very rapid technical progress and by the effective consolidation of the technological capabilities in this area of two major firms: Breda and Ansaldo. Our re-assessment reveals the critical role of non-tariff trade barriers in the development of this industry. "Information and Belief Elicitation Effects on Charitable Giving: An Artefactual Field Experiment"
CEIS Working Paper No. 306 LEONARDO BECCHETTI, University of Rome II - Faculty of Economics
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VITTORIO PELLIGRA, Universita di Cagliari - Department of Economics
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We examine by means of an artefactual field experiment on a representative sample of Italian adults, the impact of information and belief elicitation on charitable-giving when donors know (or express their beliefs on) what the organizations received in terms of aggregate donations in the past. We find that both effects are significant in terms of increase in the share of donors to a health related (bone marrow transplant) organization. The observed findings are consistent with expressed health wellbeing preferences of donors and with the gap between the organization position in the ranking of aggregate donations (last) and the far higher expected position of the same organization in donors’ beliefs. The effect is robust also in gender and age sample splits. Inequity aversion and warm glow depending on the expected marginal benefit of increased donations to the specific charity are two observationally equivalent explanations for our findings. Another related consequence of information disclosure is that the share of participants deciding not to donate at all becomes significantly lower when information on aggregate past donations is provided. | | ^top
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Harvard Business School, Social Science Electronic Publishing (SSEP), Inc., National Bureau of Economic Research (NBER), European Corporate Governance Institute (ECGI)
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