Roberto Marfè

Collegio Carlo Alberto

Assistant Professor

via Real Collegio 30

Moncalieri, Torino 10024

Italy

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 25,878

SSRN RANKINGS

Top 25,878

in Total Papers Downloads

1,355

CITATIONS
Rank 40,116

SSRN RANKINGS

Top 40,116

in Total Papers Citations

4

Scholarly Papers (12)

Survey Expectations and the Equilibrium Risk-Return Trade Off

Number of pages: 63 Posted: 17 Dec 2011 Last Revised: 13 Mar 2015
Roberto Marfè
Collegio Carlo Alberto
Downloads 220 (108,930)
Citation 1

Abstract:

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

Survey Expectations and the Equilibrium Risk-Return Trade Off

Number of pages: 63 Posted: 15 Mar 2012 Last Revised: 13 Mar 2015
Roberto Marfè
Collegio Carlo Alberto
Downloads 84 (239,136)
Citation 1

Abstract:

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

2.
Downloads 209 (114,979)
Citation 2

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
Collegio Carlo Alberto
Downloads 157 (149,494)
Citation 2

Abstract:

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
Collegio Carlo Alberto
Downloads 52 (311,437)
Citation 2

Abstract:

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

3.

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
Goethe University Frankfurt - Research Center SAFE and Collegio Carlo Alberto
Downloads 170 (123,389)
Citation 1

Abstract:

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

4.

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
Collegio Carlo Alberto
Downloads 123 (173,313)

Abstract:

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

5.

Time-Change Risks and the Aggregate Stock Market Behavior

Number of pages: 58 Posted: 16 Jan 2011
Roberto Marfè
Collegio Carlo Alberto
Downloads 90 (219,229)

Abstract:

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

Labor Rigidity, Inflation Risk and Bond Returns

Number of pages: 40 Posted: 17 Oct 2015
Roberto Marfè
Collegio Carlo Alberto
Downloads 58 (295,247)

Abstract:

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
Collegio Carlo Alberto
Downloads 3 (533,192)

Abstract:

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

7.

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
Collegio Carlo Alberto
Downloads 36 (323,587)

Abstract:

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

8.

Labor Rigidity and the Dynamics of the Value Premium

Paris December 2015 Finance Meeting EUROFIDAI - AFFI
Number of pages: 54 Posted: 27 May 2015 Last Revised: 13 Jan 2017
Roberto Marfè
Collegio Carlo Alberto
Downloads 22 (135,692)

Abstract:

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

9.

Income Insurance and the Equilibrium Term-Structure of Equity

Journal of Finance, Forthcoming
Number of pages: 83 Posted: 15 Jun 2016
Roberto Marfè
Collegio Carlo Alberto
Downloads 0 (293,599)

Abstract:

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

10.

The Time-Varying Risk of Macroeconomic Disasters

Number of pages: 45 Posted: 02 May 2016
Roberto Marfè and Julien Penasse
Collegio Carlo Alberto and University of Luxembourg
Downloads 0 (240,596)

Abstract:

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

11.

Multivariate Lévy Processes with Dependent Jump Intensity

Quantitative Finance, Forthcoming
Posted: 20 Jul 2011
Roberto Marfè
Collegio Carlo Alberto

Abstract:

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
Collegio Carlo Alberto

Abstract:

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