Decisions in Economics and Finance

, Volume 30, Issue 1, pp 19–49 | Cite as

The origins of the mean-variance approach in finance: revisiting de Finetti 65 years later

  • Flavio Pressacco
  • Paolo Serafini
Open Access


In a recent critical review of de Finetti’s paper “Il problema dei pieni’’, the Nobel Prize winner Harry Markowitz recognized the primacy of de Finetti in applying the mean-variance approach to finance, but pointed out that de Finetti did not solve the problem for the general case of correlated risks. We argue in this paper that a more fair sentence would be: de Finetti did solve the general problem but under an implicit hypothesis of regularity which is not always satisfied. Moreover, a natural extension of de Finetti’s procedure to non-regular cases offers a general solution for the correlation case and shows that de Finetti anticipated a modern mathematical programming approach to mean-variance problems.

Mathematics Subject Classification (2000): 91B30, 90C20

Journal of Economic Literature Classification: G11, C61, B23, D81, G22


Optimum Path Portfolio Selection Corner Point Golden Rule Critical Risk 
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Copyright information

© Springer-Verlag 2007

Authors and Affiliations

  • Flavio Pressacco
    • 1
  • Paolo Serafini
    • 2
  1. 1.Dipartimento di Finanza dell’Impresa e dei Mercati Finanziari, Università di Udine 
  2. 2.Dipartimento di Matematica e Informatica, Università di Udine 

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