Roberto Marfè

University of Turin - Collegio Carlo Alberto

Junior Chair

Piazza Arbarello 8

Torino, Torino 10122

Italy

SCHOLARLY PAPERS

12

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1,846

SSRN CITATIONS
Rank 26,048

SSRN RANKINGS

Top 26,048

in Total Papers Citations

2

CROSSREF CITATIONS

26

Scholarly Papers (12)

Survey Expectations and the Equilibrium Risk-Return Trade Off

Number of pages: 45 Posted: 17 Dec 2011 Last Revised: 04 Aug 2018
Matthijs Breugem and Roberto Marfè
University of Turin - Collegio Carlo Alberto and University of Turin - Collegio Carlo Alberto
Downloads 253 (125,163)
Citation 2

Abstract:

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risk-return trade off, survey expectations, pro-cyclical optimism, asset pricing puzzles, heterogeneous preferences

Survey Expectations and the Equilibrium Risk-Return Trade Off

Number of pages: 45 Posted: 15 Mar 2012 Last Revised: 04 Aug 2018
Matthijs Breugem and Roberto Marfè
University of Turin - Collegio Carlo Alberto and University of Turin - Collegio Carlo Alberto
Downloads 97 (282,880)
Citation 2

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risk-return trade off, survey expectations, general equilibrium, optimism, asset pricing puzzles, heterogeneous preferences, external habit, forecast errors, closed-form expression

2.

Labor Rigidity and the Dynamics of the Value Premium

Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Number of pages: 57 Posted: 27 May 2015 Last Revised: 29 Nov 2017
Roberto Marfè
University of Turin - Collegio Carlo Alberto
Downloads 303 (103,821)
Citation 3

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value premium, labor rigidity, term-structure, predictability, duration

3.

The Time-Varying Risk of Macroeconomic Disasters

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 52 Posted: 02 May 2016 Last Revised: 06 Jun 2017
Roberto Marfè and Julien Penasse
University of Turin - Collegio Carlo Alberto and University of Luxembourg
Downloads 241 (132,112)
Citation 6

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Rare disasters, equity premium, return predictability, state-space model

4.

Consumption Risk, Preference Heterogeneity and Asset Prices

Number of pages: 55 Posted: 28 Mar 2011 Last Revised: 16 Oct 2014
Giuliano Curatola and Roberto Marfè
University of Siena - Department of Economics and Statistics and University of Turin - Collegio Carlo Alberto
Downloads 227 (140,004)
Citation 2

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equilibrium asset pricing, heterogeneous preferences, external habit, portfolio strategies, closed form expression

5.
Downloads 217 (146,269)
Citation 1

Asset Prices and the Heterogeneous Impact of News

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 58 Posted: 14 Feb 2011 Last Revised: 17 Oct 2011
Roberto Marfè
University of Turin - Collegio Carlo Alberto
Downloads 159 (193,770)
Citation 1

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Heterogeneous preferences, general equilibrium, closed-form expression, equity premium, countercyclical Sharpe ratio

Asset Prices and the Heterogeneous Impact of News

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 58 Posted: 12 Oct 2011
Roberto Marfè
University of Turin - Collegio Carlo Alberto
Downloads 58 (381,949)
Citation 1

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Heterogeneous preferences, countercyclical Sharpe ratio, equity premium, volatility feedback, closed-form expression

6.

A Multivariate Pure-Jump Model with Multi-Factorial Dependence Structure

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 29 Posted: 14 Feb 2011 Last Revised: 02 Jan 2012
Roberto Marfè
University of Turin - Collegio Carlo Alberto
Downloads 141 (213,733)
Citation 3

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Lévy processes, multivariate subordinators, dependence, correlation, multivariate asset pricing, multi-factorial modelling, variance gamma

7.
Downloads 110 (257,761)
Citation 2

Labor Rigidity, Inflation Risk and Bond Returns

Number of pages: 40 Posted: 17 Oct 2015
Roberto Marfè
University of Turin - Collegio Carlo Alberto
Downloads 90 (297,039)
Citation 2

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labor rigidity, inflation, term-structure, interest rates, equilibrium asset pricing

Labor Rigidity, Inflation Risk and Bond Returns

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 40 Posted: 04 Jun 2016
Roberto Marfè
University of Turin - Collegio Carlo Alberto
Downloads 20 (560,353)

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labor rigidity, inflation, term-structure, interest rates, equilibrium asset pricing

8.

Time-Change Risks and the Aggregate Stock Market Behavior

Number of pages: 58 Posted: 16 Jan 2011
Roberto Marfè
University of Turin - Collegio Carlo Alberto
Downloads 103 (269,834)

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Asset pricing, Consumption CAPM, Time-change, Asset pricing puzzles, Uncertainty

9.

Income Insurance and the Equilibrium Term-Structure of Equity

Journal of Finance, Forthcoming
Number of pages: 83 Posted: 15 Jun 2016
Roberto Marfè
University of Turin - Collegio Carlo Alberto
Downloads 98 (279,039)

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term structure of equity, income insurance, dividend strips, risk sharing, equilibrium asset pricing

10.

Labor Relations, Endogenous Dividends and the Equilibrium Term Structure of Equity

Number of pages: 48 Posted: 05 Oct 2013 Last Revised: 06 Oct 2013
Roberto Marfè
University of Turin - Collegio Carlo Alberto
Downloads 56 (382,906)
Citation 3

Abstract:

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term structure of equity, dividend strips, distributional risk, income insurance, equilibrium, asset pricing

11.

Multivariate Lévy Processes with Dependent Jump Intensity

Quantitative Finance, Forthcoming
Posted: 20 Jul 2011
Roberto Marfè
University of Turin - Collegio Carlo Alberto

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Lévy processes, multivariate subordinators, dependence, correlation, multivariate asset pricing, non-Gaussian distributions

12.

A Generalized Variance Gamma Process for Financial Applications

Quantitative Finance, Forthcoming
Posted: 14 Feb 2011
Roberto Marfè
University of Turin - Collegio Carlo Alberto

Abstract:

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Lévy processes, Multivariate subordinators, Dependence, Correlation, Multivariate asset pricing, Variance gamma