Antonio Nocerino was the hero as Milan secured the TIM Trophy with victory in a penalty shoot-out against hosts Sassuolo.
Milan got the competition underway with a 2-1 win over fierce rivals Inter, despite seeing Alex sent off late in the game for bringing down Mauro Icardi when through on goal.
Close-season signings Andrea Bertolacci and Carlos Bacca gave Sinisa Mihajlovic's men a lead, which came under threat when the impressive Marcelo Brozovic pulled one back for Inter, but it proved in vain.
With games only lasting 45 minutes, Sassuolo then made it back-to-back losses for Roberto Mancini's side when Gregoire Defrel tucked home the only goal of the game past Juan Pablo Carrizo.
That set up a showdown between Milan and Sassuolo to decide the winner, and it looked as though the hosts would emerge victorious courtesy of Duncan's goal until Nocerino's equaliser earned a 1-1 draw and took the game to penalties.
In the shoot-out, it was Nocerino who tucked away the decisive kick as Milan prevailed 4-3.
Milan get their Coppa Italia campaign underway against Perugia on Monday after Sassuolo have taken on Modena on Saturday.