Fabio Trojani

University of Geneva

Professor of Finance

Geneva

Switzerland

Swiss Finance Institute

Senior Chair

c/o University of Geneve

40, Bd du Pont-d'Arve

1211 Geneva, CH-6900

Switzerland

SCHOLARLY PAPERS

51

DOWNLOADS
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22,494

CITATIONS
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Top 2,172

in Total Papers Citations

257

Scholarly Papers (51)

1.

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 - Department of Banking and Finance, University of Basel and University of Geneva
Downloads 1,803 (5,934)
Citation 13

Abstract:

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

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
The University of Chicago, Imperial College Business School and University of Geneva
Downloads 1,778 (6,489)
Citation 8

Abstract:

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
The University of Chicago, Imperial College Business School and University of Geneva

Abstract:

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

3.

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
The University of Chicago, IE Business School and University of Geneva
Downloads 1,698 (6,625)
Citation 35

Abstract:

Dynamic Porfolio Choice, Stochastic Correlation, Intertemporal Hedging

4.

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
Ecole Polytechnique Fédérale de Lausanne and University of Geneva
Downloads 1,031 (14,936)
Citation 4

Abstract:

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

5.

Equilibrium Impact of Value-at-Risk Regulation

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 64 Posted: 14 Nov 2002
Markus Leippold, Paolo Vanini and Fabio Trojani
University of Zurich - Department of Banking and Finance, University of Basel and University of Geneva
Downloads 1,012 (15,639)
Citation 17

Abstract:

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

6.

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
The University of Chicago, University of Geneva and London School of Economics and Political Science
Downloads 922 (15,006)
Citation 16

Abstract:

Disagreement, Correlation Risk Premium, Uncertainty, Volatility Risk Premium

7.
Downloads 767 ( 24,883)
Citation 6

Asset Pricing with Matrix Jump Diffusions

Number of pages: 57 Posted: 27 Sep 2008 Last Revised: 02 Feb 2010
Markus Leippold and Fabio Trojani
University of Zurich - Department of Banking and Finance and University of Geneva
Downloads 622 (32,725)
Citation 5

Abstract:

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 - Department of Banking and Finance and University of Geneva
Downloads 145 (165,303)
Citation 6

Abstract:

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

8.
Downloads 749 ( 25,726)
Citation 19

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 - Department of Banking and Finance and University of Geneva
Downloads 749 (25,320)
Citation 19

Abstract:

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 - Department of Banking and Finance, University of Geneva and University of Basel

Abstract:

G1, G11, G12

9.

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 682 (16,182)
Citation 1

Abstract:

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

10.

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
The University of Chicago, University of Geneva and London School of Economics and Political Science
Downloads 589 (31,199)
Citation 14

Abstract:

Credit Risk, Credit Spreads, Heterogeneous Beliefs, Uncertainty

11.

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 572 (35,338)
Citation 5

Abstract:

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

12.

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 555 (37,888)
Citation 4

Abstract:

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

13.

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 - Department of Banking and Finance, University of Basel and University of Geneva
Downloads 500 (41,154)
Citation 1

Abstract:

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

14.

A Note on the Three-Portfolio Matching Problem

EFMA 2001 Lugano Meetings
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 494 (43,009)

Abstract:

Transaction Costs, Portfolio Matching, Portfolio Selection

15.

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

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 59 Posted: 06 Dec 2001
Paolo Vanini and Fabio Trojani
University of Basel and University of Geneva
Downloads 483 (44,667)
Citation 1

Abstract:

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

16.

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 414 (52,873)

Abstract:

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

17.

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 404 (53,649)
Citation 13

Abstract:

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

18.

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 387 (57,938)
Citation 7

Abstract:

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

19.

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 382 (58,803)
Citation 12

Abstract:

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

20.

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 VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 349 (58,134)

Abstract:

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

21.

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, IGIER and CAREFIN and University of Geneva
Downloads 348 (61,608)
Citation 3

Abstract:

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

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 and Swiss Finance Institute, IE Business School and University of Geneva
Downloads 343 (69,322)
Citation 12

Abstract:

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 and Swiss Finance Institute, IE Business School and University of Geneva

Abstract:

C68, G12, G13

23.

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 286 (83,465)
Citation 2

Abstract:

Hamilton-Jacobi-Bellman equations, Higher Order Asymptotic Policies

24.

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
The University of Chicago, IE Business School and University of Geneva
Downloads 266 (82,789)
Citation 4

Abstract:

General Equilibrium, Event Risk, Learning

25.

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 265 (90,325)
Citation 8

Abstract:

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

26.

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 and Swiss Finance Institute, University of Geneva and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 262 (91,779)
Citation 6

Abstract:

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

27.

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
University of Oxford - Said Business School and University of Geneva
Downloads 255 (73,581)
Citation 1

Abstract:

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

28.

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, University of Geneva GSEM and GFRI and University of Geneva
Downloads 251 (87,134)
Citation 2

Abstract:

Subsampling, bootstrap, breakdown point, robustness, time series

29.

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 228 (103,076)
Citation 6

Abstract:

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

30.

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, IGIER and CAREFIN and University of Geneva
Downloads 207 (106,246)

Abstract:

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

31.

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
Ecole Polytechnique Fédérale de Lausanne, University of Geneva and University of Geneva - Department of Econometrics
Downloads 206 (111,473)
Citation 13

Abstract:

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

32.

Predictable Risks and Predictive Regression in Present-Value Models

Number of pages: 57 Posted: 15 Mar 2011 Last Revised: 05 Jun 2015
Ilaria Piatti and Fabio Trojani
University of Oxford - Said Business School and University of Geneva
Downloads 198 (94,018)
Citation 2

Abstract:

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

33.

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

EFA 2005 Moscow Meetings Paper
Number of pages: 56 Posted: 01 Mar 2005
Patrick Gagliardini, Paolo Porchia and Fabio Trojani
University of Lugano and Swiss Finance Institute, IE Business School and University of Geneva
Downloads 195 (117,160)
Citation 5

Abstract:

General equilibrium, ambiguity, term structure, interest rate derivatives

34.

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, University of Geneva GSEM and GFRI and University of Geneva
Downloads 187 (128,055)
Citation 5

Abstract:

Subsampling, bootstrap, breakdown point, robustness

35.

Robust Value at Risk Prediction: Appendix

Number of pages: 30 Posted: 12 Sep 2010
Loriano Mancini and Fabio Trojani
Ecole Polytechnique Fédérale de Lausanne and University of Geneva
Downloads 138 (156,661)
Citation 4

Abstract:

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

36.

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 131 (162,177)

Abstract:

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

37.

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, University of Geneva GSEM and GFRI and University of Geneva
Downloads 120 (175,769)
Citation 1

Abstract:

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

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 115 (198,639)
Citation 1

Abstract:

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:

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

39.

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 108 (199,078)
Citation 1

Abstract:

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

40.

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 95 (211,349)
Citation 5

Abstract:

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

41.

(Almost) Model-Free Recovery

Number of pages: 68 Posted: 10 Aug 2015 Last Revised: 06 Jun 2016
Paul Schneider and Fabio Trojani
University of Lugano - Institute of Finance and University of Geneva
Downloads 87 (61,803)

Abstract:

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

42.

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 83 (241,277)
Citation 2

Abstract:

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

43.

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, University of Geneva GSEM and GFRI and University of Geneva
Downloads 70 (243,075)
Citation 1

Abstract:

44.

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 69 (268,371)

Abstract:

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

45.

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 VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 47 (298,079)

Abstract:

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

46.

A Note on the Three-Portfolios Matching Problem

European Financial Management, Vol. 8, pp. 515-527, 2002
Number of pages: 13 Posted: 13 Feb 2003
Fabio Trojani, Paolo Vanini and Luigi Vignola
University of Geneva, University of Basel and Deutsche Bank, Zurich Branch
Downloads 21 (428,000)

Abstract:

47.

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, IGIER and CAREFIN and University of Geneva
Downloads 6 (110,978)

Abstract:

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

48.

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, University of Geneva GSEM and GFRI and University of Geneva
Downloads 0 (232,778)

Abstract:

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

49.

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 0 (94,018)
Citation 1

Abstract:

divergence, risk premia, information theory, dispersion, options

50.

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

Journal of Economic Dynamics and Control, Vol. 26, No. 3, pp 423-435, March 2002
Posted: 12 May 2003
Paolo Vanini and Fabio Trojani
University of Basel and University of Geneva

Abstract:

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

51.

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 - Department of Econometrics

Abstract:

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