Fabio Trojani

University of Geneva

Professor of Finance

Geneva, Geneva

Switzerland

University of Turin - Department of Statistics and Applied Mathematics

AXA Chair

Piazza Arbarello, 8

Turin, I-10122

Italy

Swiss Finance Institute

Senior Chair

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

60

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in Total Papers Downloads

34,217

SSRN CITATIONS
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SSRN RANKINGS

Top 3,628

in Total Papers Citations

320

CROSSREF CITATIONS

179

Scholarly Papers (60)

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 University of Geneva
Downloads 2,204 (13,186)
Citation 31

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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 University of Geneva
Downloads 2,155 (13,424)
Citation 27

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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 University of Geneva

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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 University of Geneva
Downloads 2,087 (14,385)
Citation 22

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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 University of Geneva
Downloads 1,594 (21,823)
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, University of Geneva and Boston University - Department of Finance & Economics
Downloads 1,361 (27,707)
Citation 46

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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
Università della Svizzera italiana (USI Lugano) and University of Geneva
Downloads 1,200 (33,328)
Citation 2

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

7.
Downloads 1,129 (36,276)
Citation 34

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, University of Geneva and Boston University - Department of Finance & Economics
Downloads 1,129 (35,731)
Citation 13

Abstract:

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

Model-Free International Stochastic Discount Factors

CEPR Discussion Paper No. DP12971
Number of pages: 75 Posted: 11 Jun 2018
Mirela Sandulescu, Fabio Trojani and Andrea Vedolin
University of Michigan, Ross School of Business, University of Geneva 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

8.

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 University of Geneva
Downloads 1,121 (36,657)
Citation 10

Abstract:

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

9.

(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 University of Geneva
Downloads 1,094 (37,995)
Citation 31

Abstract:

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

10.
Downloads 1,025 (41,754)
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 University of Geneva
Downloads 772 (60,741)
Citation 8

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 University of Geneva
Downloads 253 (224,084)
Citation 16

Abstract:

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

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 University of Geneva
Downloads 856 (52,809)
Citation 21

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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, University of Geneva and University of Basel

Abstract:

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G1, G11, G12

12.
Downloads 833 (54,711)

Universal Portfolio Shrinkage

Swiss Finance Institute Research Paper No. 23-119
Number of pages: 77 Posted: 11 Dec 2023
Yale SOM, Ecole Polytechnique Federale de Lausanne, University of Geneva - Geneva Finance Research Institute (GFRI) and University of Geneva
Downloads 833 (54,797)

Abstract:

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13.

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, University of Geneva and Boston University - Department of Finance & Economics
Downloads 782 (60,569)
Citation 22

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Credit Risk, Credit Spreads, Heterogeneous Beliefs, Uncertainty

14.

A Comprehensive Machine Learning Framework for Dynamic Portfolio Choice With Transaction Costs

Swiss Finance Institute Research Paper No. 23-114
Number of pages: 70 Posted: 18 Aug 2023 Last Revised: 27 Nov 2023
Luca Gaegauf, Simon Scheidegger and Fabio Trojani
University of Zurich, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Geneva
Downloads 703 (69,617)

Abstract:

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Machine learning, computational finance, computational economics, Gaussian process regression, dynamic portfolio optimization, transaction costs, liquidity premia

15.

On the Nature of (Jump) Skewness Risk Premia

Swiss Finance Institute Research Paper No. 19-31, Management Science, Forthcoming
Number of pages: 49 Posted: 06 Jun 2019 Last Revised: 17 May 2023
Piotr Orłowski, Paul Schneider and Fabio Trojani
HEC Montréal, University of Lugano - Institute of Finance and University of Geneva
Downloads 664 (74,909)
Citation 2

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skewness premium, jump risk, index options, high-frequency data, VIX

16.

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 University of Geneva
Downloads 664 (74,909)

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

17.

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 University of Geneva
Downloads 648 (77,239)
Citation 6

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

18.

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 University of Geneva
Downloads 638 (78,744)
Citation 18

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

19.

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 University of Geneva
Downloads 588 (87,249)
Citation 2

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

20.

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 University of Geneva
Downloads 585 (87,843)
Citation 17

Abstract:

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divergence, risk premia, information theory, dispersion, options

21.

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 University of Geneva
Downloads 573 (90,103)
Citation 1

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

22.

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, University of Geneva and Deutsche Bank, Zurich Branch
Downloads 572 (90,296)

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Transaction Costs, Portfolio Matching, Portfolio Selection

23.

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 University of Geneva
Downloads 530 (99,368)
Citation 8

Abstract:

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

24.
Downloads 520 (101,758)
Citation 5

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
Johns Hopkins University - Carey Business School, University of Geneva and Boston University - Department of Finance & Economics
Downloads 496 (106,618)

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

NBER Working Paper No. w27892
Number of pages: 52 Posted: 07 Oct 2020 Last Revised: 19 Mar 2023
Johns Hopkins University - Carey Business School, University of Geneva and Boston University - Department of Finance & Economics
Downloads 23 (955,829)

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The Global Factor Structure of Exchange Rates

CEPR Discussion Paper No. DP15337
Number of pages: 54 Posted: 03 Nov 2020
Johns Hopkins University - Carey Business School, University of Geneva and Boston University - Department of Finance & Economics
Downloads 1 (1,181,301)
Citation 6
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Capital Flows, factor models, Financial Frictions, incomplete markets, International Asset Pricing, Lasso, Market Segmentation, regularization, Stochastic discount factor

25.

Robustness and Ambiguity Aversion in General Equilibrium

Number of pages: 52 Posted: 05 Apr 2004
Fabio Trojani and Paolo Vanini
University of Geneva and University of Basel
Downloads 491 (109,064)
Citation 17

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

26.

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
University of Geneva, affiliation not provided to SSRN and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 490 (109,327)
Citation 1

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

27.

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 University of Geneva
Downloads 479 (112,362)
Citation 1

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

28.

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, ESSEC Business School, Bocconi University - CAREFIN - Centre for Applied Research in Finance and University of Geneva
Downloads 476 (113,161)
Citation 5

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

29.

Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models

Swiss Finance Institute Research Paper No. 23-81
Number of pages: 79 Posted: 18 Sep 2023
Alberto Quaini, Fabio Trojani and Ming Yuan
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), University of Geneva and Columbia University
Downloads 468 (115,464)

Abstract:

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Testing of asset pricing models, factor risk premia, useless and weak factors, factor selection, model misspecification, Oracle estimation and inference

30.

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 University of Geneva
Downloads 444 (122,897)
Citation 8

Abstract:

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

31.

Robust Efficient Method of Moments

Number of pages: 40 Posted: 16 Oct 2002
Fabio Trojani and Claudio Ortelli
University of Geneva and University of Lugano
Downloads 438 (124,887)

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

32.

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 University of Geneva
Downloads 437 (125,218)
Citation 4

Abstract:

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

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 University of Geneva
Downloads 408 (134,218)
Citation 14

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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 University of Geneva

Abstract:

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C68, G12, G13

34.

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
(SUPSI) Scuola universitaria professionale della Svizzera italiana, Swiss Finance Institute - University of Geneva and University of Geneva
Downloads 400 (138,681)
Citation 6

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Subsampling, bootstrap, breakdown point, robustness, time series

35.

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 University of Geneva
Downloads 370 (151,294)
Citation 6

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General Equilibrium, Event Risk, Learning

36.

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
Johns Hopkins University - Carey Business School, University of Geneva and University of Geneva
Downloads 369 (151,772)
Citation 2

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

37.

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
University of Geneva and Università della Svizzera italiana - Institute of Finance
Downloads 347 (162,343)
Citation 1

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Hamilton-Jacobi-Bellman equations, Higher Order Asymptotic Policies

38.

Smart SDFs

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 63 Posted: 29 Oct 2019
Johns Hopkins University - Carey Business School, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and University of Geneva
Downloads 330 (171,297)
Citation 6

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39.

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, University of Geneva and Centre for Econometric Analysis, Faculty of Finance, Bayes Business School (formerly Cass), London, UK
Downloads 313 (181,113)
Citation 3

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

40.

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 University of Geneva
Downloads 312 (181,761)

Abstract:

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

41.

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 University of Geneva
Downloads 303 (187,426)
Citation 11

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

42.

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
University of Geneva and University of St. Gallen
Downloads 286 (199,132)
Citation 4

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

43.

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 University of Geneva
Downloads 259 (219,986)
Citation 6

Abstract:

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General equilibrium, ambiguity, term structure, interest rate derivatives

44.

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
Università della Svizzera italiana (USI Lugano), University of Geneva and University of Geneva - Research Center for Statistics
Downloads 256 (222,567)
Citation 12

Abstract:

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

45.

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
University of Geneva and Ecole Polytechnique Federale de Lausanne
Downloads 248 (229,777)

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

46.

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
(SUPSI) Scuola universitaria professionale della Svizzera italiana, Swiss Finance Institute - University of Geneva and University of Geneva
Downloads 248 (229,777)
Citation 4

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Subsampling, bootstrap, breakdown point, robustness

47.

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 University of Geneva
Downloads 233 (244,115)
Citation 4

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Life-Cycle Saving, Household Finance, Guaranteed Strategies

48.

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 University of Geneva
Downloads 222 (255,555)
Citation 7

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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

49.

Predictability hidden by Anomalous Observations in Financial Data

Swiss Finance Institute Research Paper No. 13-05
Number of pages: 51 Posted: 23 Mar 2013 Last Revised: 08 Apr 2024
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
(SUPSI) Scuola universitaria professionale della Svizzera italiana, Swiss Finance Institute - University of Geneva and University of Geneva
Downloads 195 (287,925)
Citation 8

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

50.

Robust Value at Risk Prediction: Appendix

Number of pages: 30 Posted: 12 Sep 2010
Loriano Mancini and Fabio Trojani
Università della Svizzera italiana (USI Lugano) and University of Geneva
Downloads 188 (297,492)
Citation 2

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

51.

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
(SUPSI) Scuola universitaria professionale della Svizzera italiana, Swiss Finance Institute - University of Geneva and University of Geneva
Downloads 183 (304,646)

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

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 University of Geneva
Downloads 160 (342,527)
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 University of Geneva

Abstract:

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

53.

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 University of Geneva
Downloads 146 (369,385)
Citation 2

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

54.

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
(SUPSI) Scuola universitaria professionale della Svizzera italiana, Swiss Finance Institute - University of Geneva and University of Geneva
Downloads 143 (375,431)
Citation 2

Abstract:

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55.

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 University of Geneva
Downloads 141 (379,607)
Citation 15

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

56.

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 University of Geneva
Downloads 111 (455,446)

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

57.

Internet Appendix for 'Ambiguity and Reality'

Number of pages: 38 Posted: 17 Feb 2013 Last Revised: 04 Dec 2014
University of Geneva, affiliation not provided to SSRN and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 101 (487,043)

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

58.

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 University of Geneva
Downloads 96 (503,656)

Abstract:

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

59.

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 University of Geneva

Abstract:

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

60.

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

Posted: 11 Feb 2003
Fabio Trojani and Elvezio Ronchetti
University of Geneva 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