Fabio Trojani

Swiss Finance Institute

Senior Chair

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

University of Geneva

Professor of Finance

Geneva, Geneva

Switzerland

SCHOLARLY PAPERS

58

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182

CROSSREF CITATIONS

185

Scholarly Papers (58)

1.

Correlation Risk and Optimal Portfolio Choice

AFA 2008 New Orleans Meetings Paper
Number of pages: 58 Posted: 14 Jun 2006 Last Revised: 16 Feb 2009
Andrea Buraschi, Paolo Porchia and Fabio Trojani
Imperial College Business School, IE Business School and Swiss Finance Institute
Downloads 2,044 (9,688)
Citation 21

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Dynamic Porfolio Choice, Stochastic Correlation, Intertemporal Hedging

When There is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns

Number of pages: 80 Posted: 15 Jul 2010 Last Revised: 16 Nov 2013
Andrea Buraschi, Robert Kosowski and Fabio Trojani
Imperial College Business School, Imperial College Business School and Swiss Finance Institute
Downloads 2,027 (9,629)
Citation 16

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Stochastic Correlation and Volatility, Hedge Fund Performance, Optimal Portfolio Choice

When There Is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns

Review of Financial Studies, 2014, Vol. 27 No.2, 581-616
Posted: 12 Oct 2013 Last Revised: 08 Apr 2014
Andrea Buraschi, Robert Kosowski and Fabio Trojani
Imperial College Business School, Imperial College Business School and Swiss Finance Institute

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Stochastic Correlation and Volatility, Hedge Fund Performance, Optimal Portfolio Choice

3.

A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities

Univ. of Southern Switzerland Working Paper
Number of pages: 42 Posted: 08 Nov 2001
Markus Leippold, Paolo Vanini and Fabio Trojani
University of Zurich, University of Basel and Swiss Finance Institute
Downloads 2,011 (9,951)
Citation 21

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Assets and Liabilities Portfolios, Minimum-Variance Frontiers, Dynamic Programming, Markowitz Model

4.

Fear Trading

Swiss Finance Institute Research Paper No. 15-03
Number of pages: 74 Posted: 30 Jan 2012 Last Revised: 03 Feb 2015
Paul Schneider and Fabio Trojani
University of Lugano - Institute of Finance and Swiss Finance Institute
Downloads 1,371 (18,220)
Citation 5

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Skew, Variance Swap, Realized Variance, Trading Strategy, Disaster, Robust, Jumps

5.

When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 17 Feb 2009 Last Revised: 16 Sep 2013
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Imperial College Business School, Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 1,258 (20,712)
Citation 28

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Disagreement, Correlation Risk Premium, Uncertainty, Volatility Risk Premium

6.

Robust Value at Risk Prediction

Swiss Finance Institute Research Paper No. 07-31
Number of pages: 51 Posted: 17 Aug 2005 Last Revised: 13 Sep 2010
Loriano Mancini and Fabio Trojani
USI Lugano - Institute of Finance and Swiss Finance Institute
Downloads 1,147 (23,739)
Citation 1

Abstract:

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M-estimator, Extreme Value Theory, Breakdown Point, Backtesting

7.

Equilibrium Impact of Value-at-Risk Regulation

Number of pages: 64 Posted: 14 Nov 2002
Markus Leippold, Paolo Vanini and Fabio Trojani
University of Zurich, University of Basel and Swiss Finance Institute
Downloads 1,076 (26,055)
Citation 10

Abstract:

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Value-at-Risk, Stochastic Opportunity Set, Regulatory Policy, Dynamic Financial Equilibria, Perturbation Theory

8.

(Almost) Model-Free Recovery

Journal of Finance, Forthcoming
Number of pages: 102 Posted: 10 Aug 2015 Last Revised: 05 Jan 2018
Paul Schneider and Fabio Trojani
University of Lugano - Institute of Finance and Swiss Finance Institute
Downloads 971 (30,187)
Citation 21

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Pricing Kernel, Model-Free, Projection, Risk Premia, Moments, Recovery Theorem, Trading Strategy

9.
Downloads 869 ( 35,253)
Citation 12

Asset Pricing with Matrix Jump Diffusions

Number of pages: 57 Posted: 27 Sep 2008 Last Revised: 18 Jan 2021
Markus Leippold and Fabio Trojani
University of Zurich and Swiss Finance Institute
Downloads 687 (47,854)
Citation 7

Abstract:

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affine jump-diffusions, matrix subordinator, stochastic volatility, stochastic correlations, option pricing, portfolio choice, yield curve modeling

Asset Pricing with Matrix Jump Diffusions

Number of pages: 57 Posted: 03 Apr 2010
Markus Leippold and Fabio Trojani
University of Zurich and Swiss Finance Institute
Downloads 182 (210,820)
Citation 16

Abstract:

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Affine jump-diffusions, matrix subordinator, stochastic volatility, stochastic correlations, option pricing, portfolio choice, yield curve models

10.
Downloads 806 ( 39,094)
Citation 19

Model-Free International Stochastic Discount Factors

Swiss Finance Institute Research Paper No. 18-18
Number of pages: 42 Posted: 16 Nov 2017 Last Revised: 21 Jun 2019
Mirela Sandulescu, Fabio Trojani and Andrea Vedolin
University of Michigan, Ross School of Business, Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 806 (38,562)
Citation 13

Abstract:

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stochastic discount factor, exchange rates, market segmentation, financial intermediaries

Model-Free International Stochastic Discount Factors

Number of pages: 75 Posted: 11 Jun 2018
Mirela Sandulescu, Fabio Trojani and Andrea Vedolin
University of Michigan, Ross School of Business, Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 0
Citation 5
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Exchange Rates, financial intermediaries, market incompleteness, Market Segmentation, Stochastic discount factor

Learning and Asset Prices Under Ambiguous Information

University of St.Gallen Economics Discussion Paper No. 2005-03
Number of pages: 66 Posted: 23 Sep 2004
Paolo Vanini, Markus Leippold and Fabio Trojani
University of Basel, University of Zurich and Swiss Finance Institute
Downloads 800 (38,950)
Citation 18

Abstract:

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Financial equilibria, knightian uncertainty, model misspecification, robust decision making

Learning and Asset Prices Under Ambiguous Information

The Review of Financial Studies, Vol. 21, Issue 6, pp. 2565-2597, 2008
Posted: 15 Dec 2008
Markus Leippold, Fabio Trojani and Paolo Vanini
University of Zurich, Swiss Finance Institute and University of Basel

Abstract:

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G1, G11, G12

12.

Economic Uncertainty, Disagreement, and Credit Markets

Management Science, Forthcoming
Number of pages: 38 Posted: 07 Aug 2008 Last Revised: 13 Oct 2013
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
Imperial College Business School, Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 720 (45,565)
Citation 22

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Credit Risk, Credit Spreads, Heterogeneous Beliefs, Uncertainty

13.

A General Multivariate Threshold GARCH Model for Dynamic Correlations

NCCR FINRISK Working Paper
Number of pages: 41 Posted: 21 Jan 2004
Francesco Audrino and Fabio Trojani
University of St. Gallen and Swiss Finance Institute
Downloads 633 (54,023)

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Multivariate GARCH models, Dynamic conditional correlations, Tree-structured GARCH models, Model confidence set approach

14.

Perturbative Solutions of Hamilton Jacobi Bellman Equations in Robust Decision Making

Number of pages: 28 Posted: 26 May 2002
Paolo Vanini and Fabio Trojani
University of Basel and Swiss Finance Institute
Downloads 600 (57,780)
Citation 6

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Hamilton-Jacobi Bellman Equations, Model Misspecification, Perturbation Theory, Robust Decision Making

15.

Efficient Portfolios with Endogenous Liabilities

Swiss Banking Institute Working Paper No. WP L3
Number of pages: 26 Posted: 23 Apr 2003
Markus Leippold, Paolo Vanini and Fabio Trojani
University of Zurich, University of Basel and Swiss Finance Institute
Downloads 555 (63,768)
Citation 2

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Assets and Liabilities, Mean-Variance Frontiers, Markowitz Model, Endogenous Liabilities, Grassmann Algebra

16.

A Note on the Three-Portfolio Matching Problem

Number of pages: 14 Posted: 02 Apr 2001
Paolo Vanini, Fabio Trojani and Luigi Vignola
University of Basel, Swiss Finance Institute and Deutsche Bank, Zurich Branch
Downloads 536 (66,582)

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Transaction Costs, Portfolio Matching, Portfolio Selection

17.

Risk, Robustness and Knightian Uncertainty in Continuous-Time, Heterogenous Agents, Financial Equilibria

Number of pages: 59 Posted: 06 Dec 2001
Paolo Vanini and Fabio Trojani
University of Basel and Swiss Finance Institute
Downloads 524 (68,569)
Citation 1

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Financial Equilibria, Knightian Uncertainty, Model Misspecification, Perturbation Theory, Robust Decision Making

18.

Divergence and the Price of Uncertainty

Swiss Finance Institute Research Paper No. 15-60
Number of pages: 90 Posted: 25 Nov 2015
Paul Schneider and Fabio Trojani
University of Lugano - Institute of Finance and Swiss Finance Institute
Downloads 498 (73,006)
Citation 11

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divergence, risk premia, information theory, dispersion, options

19.

The Price of the Smile and Variance Risk Premia

Swiss Finance Institute Research Paper No. 15-36
Number of pages: 70 Posted: 18 Sep 2015 Last Revised: 25 Sep 2015
Peter H. Gruber, Claudio Tebaldi and Fabio Trojani
University of Lugano - Institute of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Swiss Finance Institute
Downloads 481 (76,174)
Citation 15

Abstract:

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Price of the Smile, Price of Volatility, Option Pricing, Stochastic Volatility, Unspanned Skewness, Financial Constrains, Financial Intermediation, Financial Crisis, Factor Models, Matrix Jump Diffusions, Variance Swaps, Skew Swaps

20.

Dividend Growth Predictability and the Price-Dividend Ratio

Swiss Finance Institute Research Paper No. 12-42
Number of pages: 74 Posted: 05 Jun 2012 Last Revised: 22 Apr 2014
Ilaria Piatti and Fabio Trojani
Queen Mary University of London - School of Economics and Finance and Swiss Finance Institute
Downloads 481 (76,174)
Citation 5

Abstract:

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Predictability, Predictive regression, Present-value model, State-space model, Bootstrap, Likelihood ratio test

21.

Robustness and Ambiguity Aversion in General Equilibrium

Number of pages: 52 Posted: 05 Apr 2004
Fabio Trojani and Paolo Vanini
Swiss Finance Institute and University of Basel
Downloads 460 (80,346)
Citation 17

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Ambiguity, Financial Equilibria, Knightian Uncertainty, Model Misspecification, Perturbation Theory, Robust Decision Making

22.

Historical Yield Curve Scenarios Generation Without Resorting to Variance Reduction Techniques

Number of pages: 30 Posted: 01 Sep 2003
Francesco Audrino and Fabio Trojani
University of St. Gallen and Swiss Finance Institute
Downloads 454 (81,625)
Citation 1

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Conditional mean and volatility estimation, Filtered Historical Simulation, Functional Gradient Descent, Term structure, Multivariate CCC-GARCH models

23.

Ambiguity and Reality

Swiss Finance Institute Research Paper No. 11-33, University of St.Gallen, School of Finance Research Paper No. 2014/18
Number of pages: 61 Posted: 30 Aug 2010 Last Revised: 27 Jan 2015
Swiss Finance Institute, affiliation not provided to SSRN and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 443 (84,021)
Citation 1

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Knightian Uncertainty, Model Risk, Ambiguity Aversion, Robust Econometrics, Portfolio Choice, Option Pricing

24.

Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets

Number of pages: 29 Posted: 20 Mar 2003
Francesco Audrino and Fabio Trojani
University of St. Gallen and Swiss Finance Institute
Downloads 422 (88,964)
Citation 4

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Nonlinear AR-GARCH models, Threshold tree structured models, multiple regimes models

25.

Three Make a Dynamic Smile - Unspanned Skewness and Interacting Volatility Components in Option Valuation

Number of pages: 63 Posted: 18 Mar 2011
University of Lugano - Institute of Finance, University of Verona - Department of Economics, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Swiss Finance Institute
Downloads 421 (89,193)
Citation 5

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Option Pricing, Stochastic Volatility, Stochastic Leverage, Short and Long Run Volatility Risk, Matrix Affine Jump Diffusions

26.

Robust Efficient Method of Moments

Number of pages: 40 Posted: 16 Oct 2002
Fabio Trojani and Claudio Ortelli
Swiss Finance Institute and University of Lugano
Downloads 416 (90,349)

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Efficient Method of Moments, Indirect Inference, Influence Function, Robust Estimation, Robust Statistics

Ambiguity Aversion and the Term Structure of Interest Rates

University of St. Gallen, Department of Economics, Discussion Paper No. 2007-29, Swiss Finance Institute Research Paper No. 08-19
Number of pages: 48 Posted: 09 Aug 2007 Last Revised: 05 Aug 2008
Patrick Gagliardini, Paolo Porchia and Fabio Trojani
University of Lugano, IE Business School and Swiss Finance Institute
Downloads 376 (100,797)
Citation 10

Abstract:

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General Equilibrium, Term Structure of Interest Rates, Ambiguity Aversion, Expectations Hypothesis, Campbell-Shiller Regression

Ambiguity Aversion and the Term Structure of Interest Rates

The Review of Financial Studies, Vol. 22, Issue 10, pp. 4157-4188, 2009
Posted: 28 Sep 2009
Patrick Gagliardini, Paolo Porchia and Fabio Trojani
University of Lugano, IE Business School and Swiss Finance Institute

Abstract:

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C68, G12, G13

28.

Predictable Risks and Predictive Regression in Present-Value Models

Saïd Business School WP 2017-11
Number of pages: 96 Posted: 15 Mar 2011 Last Revised: 03 Aug 2017
Ilaria Piatti and Fabio Trojani
Queen Mary University of London - School of Economics and Finance and Swiss Finance Institute
Downloads 374 (102,205)
Citation 8

Abstract:

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Predictability, Present-value models, Predictive regression, Persistence, Term structure of risk

29.

Robust Resampling Methods for Time Series

Swiss Finance Institute Research Paper No. 09-38
Number of pages: 49 Posted: 14 Oct 2009 Last Revised: 27 Jan 2013
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, Swiss Finance Institute - University of Geneva and Swiss Finance Institute
Downloads 341 (113,321)
Citation 6

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Subsampling, bootstrap, breakdown point, robustness, time series

30.

The Cross-Section of Expected Stock Returns: Learning about Distress and Predictability in Heterogeneous Orchards

AFA 2011 Denver Meetings Paper
Number of pages: 84 Posted: 22 Mar 2010 Last Revised: 26 Oct 2010
Andrea Buraschi, Paolo Porchia and Fabio Trojani
Imperial College Business School, IE Business School and Swiss Finance Institute
Downloads 335 (115,639)
Citation 7

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General Equilibrium, Event Risk, Learning

31.

General Analytical Solutions for Merton'S-Type Consumption-Investment Problems

University of St.Gallen, Economics Discussion Paper No. 2005-02
Number of pages: 45 Posted: 16 Jun 2004
Fabio Trojani and Roberto G. Ferretti
Swiss Finance Institute and Università della Svizzera italiana - Institute of Finance
Downloads 306 (127,380)
Citation 1

Abstract:

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Hamilton-Jacobi-Bellman equations, Higher Order Asymptotic Policies

32.

Equilibrium Asset Pricing with Time-Varying Pessimism

EFA 2003 Annual Conference Paper No. 841; Tilburg U CentER Working Paper No. 2002-102
Number of pages: 43 Posted: 10 Dec 2002
Alessandro Sbuelz and Fabio Trojani
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics and Swiss Finance Institute
Downloads 290 (134,849)
Citation 11

Abstract:

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Asset Pricing, General Equilibrium, Model Misspecification, Knightian Uncertainty, First Order Risk Aversion

33.

Robust GMM Tests for Structural Breaks

Cass Business School Research Paper
Number of pages: 61 Posted: 12 Apr 2004
Patrick Gagliardini, Fabio Trojani and Giovanni Urga
University of Lugano, Swiss Finance Institute and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 289 (135,360)
Citation 3

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Robust Tests, Generalized Method of Moment, Structural Breaks, Monte Carlo, Bootstrap

34.

On the Nature of (Jump) Skewness Risk Premia

Swiss Finance Institute Research Paper No. 19-31
Number of pages: 73 Posted: 06 Jun 2019 Last Revised: 28 Jul 2021
Piotr Orłowski, Paul Schneider and Fabio Trojani
HEC Montréal, University of Lugano - Institute of Finance and Swiss Finance Institute
Downloads 282 (138,766)
Citation 2

Abstract:

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market crashes, jump risk premium, options, high-frequency data

35.

Three Make a Smile – Dynamic Volatility, Skewness and Term Structure Components in Option Valutation

CAREFIN Research Paper No. 02/2010
Number of pages: 44 Posted: 30 Mar 2011
Peter H. Gruber, Claudio Tebaldi and Fabio Trojani
University of Lugano - Institute of Finance, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Swiss Finance Institute
Downloads 270 (145,177)

Abstract:

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Option Pricing, Stochastic Volatility, Short and Long Term Volatility Risk, Stochastic Leverage, Wishart Diffusion

36.

A General Multivariate Threshold GARCH Model with Dynamic Conditional Correlations

University of St.Gallen, Department of Economics, Discussion Paper No. 2007-25
Number of pages: 34 Posted: 14 Apr 2005
Fabio Trojani and Francesco Audrino
Swiss Finance Institute and University of St. Gallen
Downloads 253 (155,003)
Citation 4

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Multivariate GARCH models, Dynamic conditional correlations, Tree-structured GARCH models

37.

Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models

Journal of the American Statistical Association, Vol. 100, No. 470, pp. 628-641, June 2005
Number of pages: 34 Posted: 29 Jul 2003
Loriano Mancini, Fabio Trojani and Elvezio Ronchetti
USI Lugano - Institute of Finance, Swiss Finance Institute and University of Geneva - Research Center for Statistics
Downloads 236 (165,816)
Citation 12

Abstract:

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Time series models, M-estimators, influence function, robust estimation and testing

38.

Ambiguity Aversion, Bond Pricing and the Non-Robustness of Some Affine Term Structures

Number of pages: 56 Posted: 01 Mar 2005
Patrick Gagliardini, Paolo Porchia and Fabio Trojani
University of Lugano, IE Business School and Swiss Finance Institute
Downloads 226 (172,906)
Citation 6

Abstract:

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General equilibrium, ambiguity, term structure, interest rate derivatives

39.

Robust Subsampling

Swiss Finance Institute Research Paper No. 06-33
Number of pages: 52 Posted: 26 Nov 2006 Last Revised: 11 Aug 2011
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, Swiss Finance Institute - University of Geneva and Swiss Finance Institute
Downloads 217 (179,652)
Citation 4

Abstract:

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Subsampling, bootstrap, breakdown point, robustness

40.

Variance Covariance Orders and Median Preserving

Swiss Finance Institute Research Paper No. 09-13
Number of pages: 29 Posted: 22 Apr 2009
Fabio Trojani and Semyon Malamud
Swiss Finance Institute and Ecole Polytechnique Federale de Lausanne
Downloads 175 (218,052)

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variance, risk, median preserving spread, Hansen-Jagannathan bounds

41.

Smart SDFs

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 63 Posted: 29 Oct 2019
Sofonias A. Korsaye, Alberto Quaini and Fabio Trojani
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva - Geneva Finance Research Institute (GFRI) and Swiss Finance Institute
Downloads 171 (222,389)
Citation 7

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The Global Factor Structure of Exchange Rates

Swiss Finance Institute Research Paper No. 20-107, Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 83 Posted: 14 Oct 2020 Last Revised: 28 Oct 2021
Sofonias A. Korsaye, Fabio Trojani and Andrea Vedolin
University of Geneva - Geneva Finance Research Institute (GFRI), Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 162 (233,083)

Abstract:

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International asset pricing, stochastic discount factor, factor models, financial frictions, market segmentation, incomplete markets, capital flows

The Global Factor Structure of Exchange Rates

Number of pages: 52 Posted: 07 Oct 2020 Last Revised: 18 Nov 2021
Sofonias A. Korsaye, Fabio Trojani and Andrea Vedolin
University of Geneva - Geneva Finance Research Institute (GFRI), Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 7 (780,168)
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The Global Factor Structure of Exchange Rates

Number of pages: 54 Posted: 03 Nov 2020
Sofonias A. Korsaye, Fabio Trojani and Andrea Vedolin
University of Geneva - Geneva Finance Research Institute (GFRI), Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 1 (838,612)
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Capital Flows, factor models, Financial Frictions, incomplete markets, International Asset Pricing, Lasso, Market Segmentation, regularization, Stochastic discount factor

43.

Robust Value at Risk Prediction: Appendix

Number of pages: 30 Posted: 12 Sep 2010
Loriano Mancini and Fabio Trojani
USI Lugano - Institute of Finance and Swiss Finance Institute
Downloads 166 (228,057)
Citation 2

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M-estimator, Extreme Value Theory, Breakdown Point, Backtesting

44.

Predictability Hidden by Anomalous Observations

Swiss Finance Institute Research Paper No. 13-05
Number of pages: 62 Posted: 23 Mar 2013 Last Revised: 05 Mar 2014
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, Swiss Finance Institute - University of Geneva and Swiss Finance Institute
Downloads 165 (229,234)
Citation 8

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Predictive Regression, Stock Return Predictability, Bootstrap, Subsampling, Robustness

45.

Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy

Swiss Finance Institute Research Paper No. 16-41
Number of pages: 20 Posted: 06 Jul 2016
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, Swiss Finance Institute - University of Geneva and Swiss Finance Institute
Downloads 156 (240,308)

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Tail Risk, Risk Factor, Risk-Neutral Probability, Prediction of Market Returns, Economic Predictability

46.

Consumer Protection and the Design of the Default Option of a Pan-European Pension Product

Swiss Finance Institute Research Paper No. 19-19
Number of pages: 76 Posted: 17 Mar 2018 Last Revised: 11 Apr 2019
Andrea Berardi, Claudio Tebaldi and Fabio Trojani
Ca Foscari University of Venice - Dipartimento di Economia, Bocconi University - CAREFIN - Centre for Applied Research in Finance and Swiss Finance Institute
Downloads 135 (269,934)
Citation 4

Abstract:

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Life-Cycle Saving, Household Finance, Guaranteed Strategies

Accurate Short-Term Yield Curve Forecasting Using Functional Gradient Descent

University of St. Gallen, Department of Economics, Discussion Paper No. 2007-24
Number of pages: 51 Posted: 10 Jul 2007
Francesco Audrino and Fabio Trojani
University of St. Gallen and Swiss Finance Institute
Downloads 128 (281,968)
Citation 2

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Conditional mean and variance estimation, Filtered Historical Simulation, Functional

Accurate Short-Term Yield Curve Forecasting Using Functional Gradient Descent

Journal of Financial Econometrics, Vol. 5, Issue 4, pp. 591-623, 2007
Posted: 01 Jun 2009
Francesco Audrino and Fabio Trojani
University of St. Gallen and Swiss Finance Institute

Abstract:

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conditional mean and variance estimation, filtered historical simulation, functional gradient descent, multivariate CCC-GARCH models, term structure

48.

Asset Prices With Locally-Constrained-Entropy Recursive Multiple Priors Utility

Number of pages: 36 Posted: 07 Jul 2007
Alessandro Sbuelz and Fabio Trojani
Catholic University of Milan - Department of Mathematics, Quantitative Finance, and Econometrics and Swiss Finance Institute
Downloads 127 (282,529)
Citation 14

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Asset Pricing, General Equilibrium, Model Misspecification, Recursive Multiple Priors Utility, Locally Constrained Entropy

49.

Predictive Regression and Robust Hypothesis Testing: Predictability Hidden by Anomalous Observations

Number of pages: 57 Posted: 12 Jun 2012
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, Swiss Finance Institute - University of Geneva and Swiss Finance Institute
Downloads 125 (285,984)
Citation 2

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50.

Multiple Trees Subject to Event Risk

EFA 2009 Bergen Meetings Paper
Number of pages: 59 Posted: 08 Feb 2009 Last Revised: 30 Jun 2009
Paolo Porchia and Fabio Trojani
IE Business School and Swiss Finance Institute
Downloads 124 (287,665)
Citation 2

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general equilibrium, event risk, disaster premia, credit-spread

51.

Arbitrage Free Dispersion

Swiss Finance Institute Research Paper No. 19-20
Number of pages: 78 Posted: 14 Jan 2019 Last Revised: 11 Apr 2019
Piotr Orłowski, Andras Sali and Fabio Trojani
HEC Montréal, Alphacruncher and Swiss Finance Institute
Downloads 117 (299,860)
Citation 6

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Arbitrage-Free Dispersion, Cumulant Generating Function, Convexity, Convex Inequalities, Jensen’s Gap, Pricing Kernel Bounds, Entropy, Long-Run Risk Models, Tests of Asset Pricing Models

52.

Infinitesimal Robustness for Diffusions

University of St.Gallen Department of Economics Discussion Paper No. 2008-09
Number of pages: 53 Posted: 18 May 2008
Davide La Vecchia and Fabio Trojani
University of St. Gallen - Swiss Institute of Banking and Finance and Swiss Finance Institute
Downloads 97 (340,513)

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Dffusion processes, Eigen expansion, Influence Function, Infinitesimal Generator, M-Estimators, Saddle-point Approximation

53.

Smart Stochastic Discount Factors

Swiss Finance Institute Research Paper No. 21-51
Number of pages: 75 Posted: 08 Jul 2021 Last Revised: 06 Aug 2021
Sofonias A. Korsaye, Alberto Quaini and Fabio Trojani
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva and Swiss Finance Institute
Downloads 80 (383,461)

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SDF, Convex Pricing Constraints, Minimum Dispersion SDF, Market Frictions, SDF regularization, Arbitrage Pricing Theory

54.

Higher Order Asymptotic Optimal Policies for Partial Equilibrium Economies

Number of pages: 33 Posted: 12 Apr 2004
Roberto G. Ferretti and Fabio Trojani
Università della Svizzera italiana - Institute of Finance and Swiss Finance Institute
Downloads 78 (389,070)

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Hamilton-Jacobi-Bellman equations, higher order asymptotic policies, Merton model, partial equilibrium, perturbation theory

55.

Internet Appendix for 'Ambiguity and Reality'

Number of pages: 38 Posted: 17 Feb 2013 Last Revised: 04 Dec 2014
Swiss Finance Institute, affiliation not provided to SSRN and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 69 (416,361)

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Knightian Uncertainty, Model Risk, Ambiguity Aversion, Robust Econometrics, Portfolio Choice, Option Pricing

56.

A Note on the Three-Portfolios Matching Problem

Number of pages: 13 Posted: 13 Feb 2003
Fabio Trojani, Paolo Vanini and Luigi Vignola
Swiss Finance Institute, University of Basel and Deutsche Bank, Zurich Branch
Downloads 22 (635,998)
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57.

A Note on Robustness in Merton's Model of Intertemporal Consumption and Portfolio Choice

Posted: 12 May 2003
Paolo Vanini and Fabio Trojani
University of Basel and Swiss Finance Institute

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Merton's model, Knightian uncertainty, Model contamination, Model misspecification, Robust decision-making

58.

Saddlepoint Approximations and Test Statistics for Accurate Inference in Overidentified Moment Conditions Models

Posted: 11 Feb 2003
Fabio Trojani and Elvezio Ronchetti
Swiss Finance Institute and University of Geneva - Research Center for Statistics

Abstract:

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Dual Likelihood, Empirical Likelihood, Generalized Method of Moments, Higher Order Asymptotics, Moment Condition Models, Relative Errors, Saddlepoint Approximations