The Brazilian center back has joined the Italian giant after two seasons in the French capital, agreeing a two-year deal at San Siro.
The former Chelsea and PSV defender has joined the Rossoneri on a free transfer following the expiry of his deal with the Ligue 1 champion.
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Milan has been looking to add to its ranks following an eighth-place finish in 2013-14 which means the club will not appear in European competition next term, and Alex becomes the second new addition following the signing of goalkeeper Michael Agazzi from Chievo.
Alex racked up 92 appearances in his two years with PSG, scoring nine goals. He was a Ligue 1 champion in both seasons, appeared in two Champions League quarterfinal ties and won a Coupe de la Ligue and a Trophee des Champions.
The former Santos man also won 17 caps for Brazil between 2003 and 2008.