Embedded Files
Chapter in international books
International journals
Cerqueti, R., Maggi, M. Classes of probability measures built on the properties of Benford’s law. AStA Adv Stat Anal (2024). https://doi.org/10.1007/s10182-024-00505-2
Cerqueti, R., Maggi, M. A Rényi-type quasimetric with random interference detection. Knowledge and Information Systems (2024). https://doi.org/10.1007/s10115-024-02078-7
Pierni, Pierluigi, Dennis Marco Montagna, and Mario Maggi. 2022. Founding Family Ownership and Firm Performance: Some Evidence from the Italian Stock Market. Journal of Risk and Financial Management 15: 231. https://doi.org/10.3390/jrfm15050231
Cerqueti, R., Maggi, M. & Riccioni, J. Statistical methods for decision support systems in finance: how Benford’s law predicts financial risk. Annals of Operations Research (2022). https://doi.org/10.1007/s10479-022-04742-z
Alemanni B, Maggi M, Uberti P. (2021). Unleveraged Portfolios and Pure Allocation Return. Journal of Risk and Financial Management. 2021; 14(11):550 (https://doi.org/10.3390/jrfm14110550).
Argentiero, A., Cerqueti, R., Maggi, M. (2021). Outdoor light pollution and COVID-19: The Italian case. Environmental Impact Assessment Review. Volume 90, September 2021, 106602 (https://doi.org/10.1016/j.eiar.2021.106602).
Cerqueti, R., Maggi, M. (2021). Data validity and statistical conformity with Benford's Law, Chaos, Solitons and Fractals, 144, 110740.
Maggi, M., Torrente, M. L., & Uberti, P. (2020). Proper measures of connectedness. Annals of Finance, (2020) 16(4), 547-571. (https://doi.org/10.1007/s10436-020-00363-3).
Maggi, M., Uberti, P., Google search volumes for portfolio management: performances and asset concentration, Annals of Operations Research, 2019, 1-13 (https://doi.org/10.1007/s10479-019-03424-7).
M. Maggi, P. Uberti, A Note on Statistical Arbitrage and Long Term Market Efficiency, Modern Economy, 2019,2:8.
A. Escribano, M. Maggi, Intersectoral default contagion: A multivariate Poisson autoregression analysis, Economic Modelling, 82(2019), 376-400.
A. Amendola, D.M. Montagna, M. Maggi, Analysis of Equity components: New Results and Prospectives in a low beta framework, Journal of Economics and Financial Analysis, 3.1 (2019): 1-26.
M. Maggi, P. Uberti, Google Searches for Portfolio Management: A Risk and Return Analysis, in: M. Corazza, M Durban, A. Grané, C. Perna, M. Sibillo (Eds.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer International Publishing AG, Cham Switzerland, 2018, 461-466. doi:10.1007/978-3-319-89824-7
S. Figini, M. Maggi, P. Uberti, The market rank indicator to detect financial distress, Econometrics and Statistics (available online 2018). doi:10.1016/j.ecosta.2017.12.001
A. Cavaliere, M. Maggi, F. Stroffolini, Water Losses and Optimal Network Investments: Price Regulation Effects with Municipalization and Privatization, Water Resources and Economics, 2017(18), 1-19. DOI:10.1016/j.wre.2017.04.001
A. Cavaliere, M. Maggi, F. Stroffolini, Investment-driven mixed firms: partial privatization by local governments. International Tax and Public Finance (2017), 24(3), 459-483. DOI:10.1007/s10797-016-9426-z
Caterina Lucarelli, Pierpaolo Uberti, Gianni Brighetti, Mario Maggi Risky choices and emotion-based learning Journal of Economic Psychology - 2015(49), 59-73.
Fantazzini D., Maggi M. Proposed Coal Power Plants and Coal-To-Liquids Plants: Which Ones Survive and Why? Energy Strategy Review - 2015(7), 9-17.
Cavaliere A., Giust V., Maggi M., Efficient Mechanisms for Access to Storage when Competition in Gas Markets is Imperfect, Energy Economics, 36 (2013) 481-490.
Bianchi C., Fantazzini D., De Giuli M.E., Maggi M., Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study, Applied Financial Economics, 2011, Vol. 21, 1587-1597.
M.E. De Giuli, M.A. Maggi, C. Tarantola, Bayesian outlier detection in Capital Asset Pricing Model, Statistical Modelling, 2010, 10(4), 375-390.
C. Bianchi, A. Carta, M.E. De Giuli, D Fantazzini, M.A. Maggi, A Copula-VAR-X Approach for Industrial Production Modelling, Applied Economics, 2010, 42(25), pp 3267-3277.
M.E. De Giuli, M.A. Maggi, F. Paris. Deposit Guarantee Evaluation and Incentives Analysis in a Mutual Guarantee System. Journal of Banking and Finance, 2009, 33(6), 1058-1068.
C. Alessandro, F. Dean, M. Maggi. Discretete-time affine term structure models: an ARCH formulation. International Journal of Risk Assessment and Management, 2009, 11(1), pp. 164-179.
M.E. De Giuli, M.A. Maggi, D. Fantazzini, A new approach for firm value and default probability estimation beyond Merton models, Computational Economics, 2008, 31(2), pp 161-180.
M.A. Maggi, U. Magnani, M. Menegatti, On the Relationships between Absolute Prudence and Absolute Risk Aversion, Decisions in Economics and Finance, 2006, Vol. 29, N. 2, 155-160.
M.A. Maggi, Loss aversion and perceptual risk aversion, Journal of Mathematical Psychology, 2006, Vol. 50, Issue 4, pp. 426-430.
Chapters in international books
Lucarelli, C., Maggi, M., Uberti, P., Risk Seeking or Risk aversion? Phenomenology and Perception, in: Viale, R., Filotto, U., Alemanni, B., Shabnam, M., Financial Education and Risk Literacy, Elgar, 2021: https://www.e-elgar.com/shop/gbp/financial-education-and-risk-literacy-9781789908848.html
Maggi, M., Uberti, P., Portfolio Leverage in Asset Allocation Problems, in: Paolucci, M., Sciomachen, A., Uberti, P. (Eds.), Advances in Optimization and Decision Science for Society, Services and Enterprises, Springer International Publishing, 2020.
Maggi, M. and Fantazzini, D., Computing Reliable Default Probabilities in Turbulent Times. In: Wehn, C., Hoppe, C., Gregoriou, G. (Eds), Rethinking Valuation and Pricing Models, Elsevier, Oxford, 2013.
Maggi, M. and Fantazzini, D., Short Selling in Emerging Markets: A Comparison of Market Performance during the Global Financial Crisis. In: Greg N. Gregoriou (Ed), Handbook of Short Selling, Elsevier, Oxford 2012.
Bianchi, C., De Giuli, M.E., Fantazzini, D., Maggi, M., Copula-VAR and Copula-VAR-GARCH Modeling: Dangers for Value at Risk and Impulse Response Functions. In: G. N. Gregoriou, C. Hoppe, C.S. Wehn (Eds),.The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Methodologies in the Global Capital Markets. McGraw-Hill, New York, 2010.
International conferences
Maggi, M. and Uberti, P. A bootstrap equality test to compare portfolio value at risk and expected shortfall, 18th International Conference on Computational and Financial Econometrics (CFE-CMStatistics 2024), London
Maggi, M. and Uberti, P. How to Improve Benchmark Performances through Pseudo-Principal Portfolios, 47° Annual Meeting of the AMASES, Milano, September 2023 (invited)
Maggi, M., Qyrana, M. , Uberti, P., Torrente, M-L, Effective Diversification Losses and Market Risk, ECSO-CMS 2022 (European Conference on Stochastic Optimization - Computational Management Science), Venice, 29-30 June - 1 July, 2022.
Maggi, M., Uberti, P., Portfolio Leverage in Asset Allocation Problems. Optimization and Decision Science, XLIX AIRO Conference, Genova, September 2019 (invited)
Torrente, M.L., Maggi, M., Uberti, P., A new measure of multicollinearity and an application to financial systemic risk. 30th European Conference on Operational Research, session New Challenges in Investment Strategies, Risk and Financial Modelling, Dublin (Ireland), June 2019 (invited)
Escribano, A., Díaz, A., Jareño, F., Maggi, M., The intraday order dynamics: A multivariate Poisson autoregression analysis. 30th European Conference on Operational Research, session New Challenges in Investment Strategies, Risk and Financial Modelling, Dublin (Ireland), June 2019 (invited)
Maggi, M., Uberti, P., Efficient portfolios and leverage analysis. 30th European Conference on Operational Research, session New Challenges in Investment Strategies, Risk and Financial Modelling, Dublin (Ireland), June 2019 (invited)
Lucarelli, C., Maggi, M. and Uberti, P., Risk seeking or risk aversion? Phenomenology and perception. 2nd Workshop of Behavioural Financial Regulation and Policy. Bank of Italy, Roma, December 2018.
Maggi, M. and Uberti, P., Can Google search data contribute to portfolio management? 42° Annual Meeting of the AMASES, Napoli, September 2018.
Maggi, M. and Uberti, P. , The out-of-sample performances of equally weighted portfolio: Theoretical results. 42° Annual Meeting of the AMASES, Napoli, September 2018.
Amendola, A., Montagna, D.M., Maggi, M., A beta decomposition to set up a low beta asset allocation strategy. 29th European Conference on Operational Research, session New Challenges in Investment Strategies, Risk and Financial Modelling, Valencia (Spain), July 2018 (invited)
Escribano, A., Maggi, M., Multivariate count processes analysis of defaults. 29th European Conference on Operational Research, session New Challenges in Investment Strategies, Risk and Financial Modelling, Valencia (Spain), July 2018 (invited)
Maggi, M., Uberti, P., Google searches for portfolio management: a risk and return analysis, VIII International Conference on Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF 2018), April 4-6, 2018, Madrid, Spain (peer-reviewed proceedings, Springer)
Figini, S., Maggi, M., Uberti, P., New indicators in systemic risk analytics: Theory and applications. 11th International Conference on Computational and Financial Econometrics (CFE 2017), London
Escribano, A., Maggi, M., Intersectorial default contagion: A multivariate Poisson auto-regression analysis. 11th International Conference on Computational and Financial Econometrics (CFE 2017), London
Lucarelli, C., Maggi, M., Uberti, P., Uberti, Risk Seeking or Risk aversion? Phenomenology and Perception. Invited submission for the 28th European Conference on Operational Research, session Financial and Commodities Modeling, Poznan (Poland), July 2016. (invited)
Fantazzini, D., Maggi, M., Banks' Default Probabilities and Credit Rating. Invited submission for the CFE - ERCIM Conference, session Multivariate models for financial risk assessment, London December 2013. (invited)
Carta, A., Fantazzini, D., Maggi, M, Discrete-time affine term structure models: an ARCH formulation, Forecasting Financial Markets 2007, Aix-en-Provence, France, 30th May - 1st June 2007.
De Giuli, M.E., Maggi, M., Fantazzini, D., A new framework for firm value using copulas, 12th International Conference on Computing in Economics and Finance, Limassol, Cyprus, June 22-24 2006.
Bianchi, C., Fantazzini, De Giuli, M.E., Maggi, M., A Copula-VAR Approach for Industrial Production Modelling and Generalized Impulse Response Functions, Forecasting Financial Markets 2006, Aix-en-Provence, France, 31st May - 2nd June 2006.
De Giuli, M.E., Maggi, M., Paris, F.M., Pricing mutual bank deposit guarantees, ''Tenth annual conference of the Multinational Finance Society'', 28.6-4.7.2003, Montreal, Canada, paper MCF-136, and Quaderni del Dipartimento di Metodi Quantitativi n. 225, Università di Brescia.
Italian books
M.E. De Giuli, G. Giorgi, M.A. Maggi, U. Magnani, Matematica per l'Economia e la Finanza, Zanichelli 2008.
M.E. De Giuli, M.A. Maggi, F.M. Paris, Lezioni di Matematica Finanziaria, Giappichelli Editore, Torino, 2014.
M.E. De Giuli, M.A. Maggi, F.M. Paris, Lezioni di Matematica Finanziaria ed Attuariale, Corso Base, Giappichelli Editore, Torino, 2002.
M.E. De Giuli, M.A. Maggi, U. Magnani, E. Rossi, Derivati: Teoria e Applicazioni, Giappichelli Editore, Torino, 2002.
Chapters in Italian books
M.E. De Giuli, M.A. Maggi, U. Magnani, On super-replication and profitability in incomplete markets, in: Liber Amicorum [Scritti in Onore del Prof. A. Di Lorenzo], Prontostampa, Napoli, 2002, 155-168.
Working Papers
Ana Escribano, Mario Maggi Intersectoral Default Contagion: A Multivariate Poisson Autoregression Analysis, SSRN 3141768
Alberto Dondoni, Dennis Montagna and Mario Maggi VIX Index Strategies: Shorting Volatility As a Portfolio Enhancing Strategy, SSRN 3104407
Antonio Amendola, Dennis Montagna and Mario Maggi Analysis of Equity β Principal Components in Low Risk Framework: New Results and Prospectives, SSRN 3069831
Lucarelli, C., Maggi, M. and Uberti, P. Risk seeking or risk aversion? Phenomenology and perception, SSRN 2724635
Figini S., Maggi M. Performance of credit risk prediction models via proper loss functions. DEM Working Papers #64 (01-14) 2014. Department of Economics and Management, University of Pavia.
Cavaliere A., V. Giust and M. Maggi. Efficient Mechanisms for Access to Storage with Imperfect Competition in Gas Markets, Quaderni del Dipartimento di Economia Politica e Metodi Quantitativi, 151(07-11).
Kösters M.R., S.T.M. Straetmans and M. Maggi. Pricing Full Deposit Insurance in Germany amidst the Financial Crisis 2008- 2010, Quaderni del Dipartimento di Economia Politica e Metodi Quantitativi, 143(05-11).
D. Fantazzini, M.A. Maggi, Discrete-time affine term structure models: an econometric formulation, Quaderno di Ricerca n. 5, luglio 2005, Dipartimento di Ricerche Aziendali, Università di Pavia.
M.E. De Giuli, M.A. Maggi, F.M. Paris, Pricing incentive fee of hedge fund managers: a discussion of moral hazard, Quaderni del Dipartimento di Metodi Quantitativi n. 233, Università di Brescia, 2004,
M.A. Maggi, A characterization of S-shaped utility functions displaying loss aversion, mimeo 2004.
M.A. Maggi, Immunization in an affine term structure framework, Quaderni del Dipartimento di Economia Politica e Metodi Quantitativi (\#139), Università degli Studi di Pavia, 2002.
Other
M.E. De Giuli, M.A. Maggi, F.M. Paris, Commissione d'incentivo e controllo del moral hazard negli hedge funds (extended abstract), Atti XXVII Convegno, Cagliari, 3-6.9.2003, 196-198.
M.E. De Giuli, M.A. Maggi, F.M. Paris, Un modello per la valutazione dell'assicurazione mutualistica dei depositi bancari (extended abstract), Atti XXVI Convegno AMASES, Verona, 11-14.9.2002, 193-196.
M.A. Maggi, Affine Term Structure Models and Interest Rate Risk, Doctoral dissertation, Dipartimento di Metodi Quantitativi, Università di Brescia, 2001/2002.
M.E. De Giuli, M.A. Maggi, U. Magnani, A puzzle in the value of the firm (extended abstract), Atti XXIV Convegno AMASES, Padenghe sul Garda, 6-9.9.2000, 253-260.
M.E. De Giuli, M.A. Maggi, U. Magnani, Non-linear leverage and the value of the firm, Atti XXIII Convegno AMASES, Rende, 8-11.9.1999, 159-174.
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