Fabio Trojani

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Teaching
Research
Talks

Recent Research Projects

Term Structures and Cross-Sections of Asset Risk Premia, Swiss Finance Institute Research Project.

Higher Order Robust Resampling and Multiple Testing Methods, SNSF Research Project.

Trading Asset Pricing Models (with Paul Schneider), SNSF Research Project.

New Methods in Theoretical and Empirical Asset Pricing, Swiss National Science Foundation NCCR FINRISK Project A3.

PhD in Economics and Finance, University of St. Gallen and University of Lugano, Swiss National Science Foundation Pro*Docs Graduate School Project.

Working papers

Model-Free International SDFs in Incomplete Markets (with M. Sandulescu and A. Vedolin)

Content: Minimum dispersion SDFs in incomplete international financial markets characterize the properties of SDFs explaining exchange rate puzzles under different forms of financial market segmentation

Arbitrage Free Dispersion (with P. Orlowski and A. Sali)

Content: New theory for measuring dispersion in multivariate arbitrage-free markets, which characterizes observable arbitrage-free constraints, pricing kernel bounds and the joint distribution of pricing kernels and returns

Fear Trading (with P. Schneider)

Content: Tradeable skew and kurtosis swaps capture higher order risk in market returns, allowing a direct trading and pricing of fear

The Price of the Smile and Variance Risk Premia (with P. Gruber and C. Tebaldi)

Content: New model setting based on matrix jump diffusions for explaining the dynamics of option implied risks and risk premia, together with the dynamics of the term structure of variance risk premia

Predictable Risks and Predictive Regression in Present-Value Models (with I. Piatti)

Content: State space approach in an affine present-value model with time varying risks estimates dividend, return and volatility predictability features

Predictive Regression and Robust Hypothesis Testing: Predictability Hidden by Anomalous Observations (with L. Camponovo and O. Scaillet)

Content: New robust bootstrap tests for predictability systematically uncover stock return predictability hiden by anomalous data in standard predictive regressions

Asset Pricing with Matrix Jump Diffusions (with M. Leippold)

Content: New class of general matrix valued affine models for option and asset pricing.

Ambiguity and Reality (with C. Wiehenkamp and J. Wrampelmeyer)

Content: Robust estimation methods produce economic value in presence of objective ambiguity

The Cross-Section of Expected Stock Returns: Learning about Distress and Predictability in Heterogeneous Orchards (with A. Buraschi and P. Porchia)

Content: Asset pricing within multiple trees economies with contagion effects and learning synergies about common risk factors

Robust Resampling Methods for Time Series (with L. Camponovo and O. Scaillet)

Content: General robust resampling approach that controls the adverse effects of outliers on resampling inference with time series data

Variance Covariance Orders and Median Preserving Spreads (with S. Malamud)

Content: New order between random variables implied by covariance inequalities for monotonic transformations of random variables

Publications (Working paper versions of accepted publications are available on the SSRN and IDEAS web pages)

Dividend Growth Predictability and the Price Dividend Ratio (with I. Piatti), Management Science , 2018, forthcoming.

Divergence and the Price of Uncertainty (with P. Schneider), Journal of Financial Econometrics , 2018, forthcoming.

(Almost) Model-Free Recovery (with P. Schneider), Journal of Finance, 2017, forthcoming.

Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy (with L. Camponovo and O. Scaillet), Journal of Financial Econometrics, 2017, Volume 15, Issue 3, 377387.

"When There is No Place to Hide' - Correlation Risk and the Cross-Section of Hedge Fund Returns (with A. Buraschi and R. Kosowski), Review of Financial Studies, 2014, 27 (2), 581-616.

Economic Uncertainty, Disagreement, and Credit Markets (with A. Buraschi and A. Vedolin), Management Science, 2014, Volume 60 Issue 5, 1281-1296.

When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia (with A. Buraschi and A. Vedolin), Journal of Finance, 2014, Volume 69, Issue 1, February, 101–137.

Higher Order Infinitesimal Robustness (with D. La Vecchia and E. Ronchetti), Journal of the American Statistical Association, 2012, Volume 107, Issue 500,1546-1557.

Robust Subsampling (with L. Camponovo and O. Scaillet), Journal of Econometrics, 2012, Volume 167, Issue 1, 197-210.

Robust Value at Risk Prediction (with L. Mancini), Journal of Financial Econometrics, 2011, 9 (2), 281-313.

A General Multivariate Threshold GARCH Model with Dynamic Conditional Correlations (with F. Audrino), Journal of Business and Economic Statistics, 2011. Vol 29, Issue 1, 138-149.

Infinitesimal Robustness for Diffusions (with D. La Vecchia), Journal of the American Statistical Association, 2010, Vol 105, No 490, 703-712.

Correlation Risk and Optimal Portfolio Choice (with A. Buraschi and P. Porchia), Journal of Finance, 2010, Vol 65, Issue 1, 393-420.

Efficient Portfolios with Endogenous Liabilities (with M. Leippold and P. Vanini), Quantitative Finance, 2009.

Limits of Learning About a Categorical Latent Variable under Prior Near-Ignorance (with M. Hutter, A. Piatti and M. Zaffalon), International Journal of Approximate Reasoning, 2009, Vol 50, Issue 4, 597-611.

Ambiguity Aversion and the Term Structure of Interest Rates (with P.Gagliardini P. Porchia), Review of Financial Studies, 2009, Vol 22, Nr 10, 4157-4188.

Asset Prices with Locally-Constrained-Entropy Recursive Multiple Priors Utility (with A. Sbuelz), Journal of Economic Dynamics and Control, November 2008, Volume 32, Issue 11, 3695-3717.

Learning and Asset Prices under Ambiguous Information, (with M. Leippold and P. Vanini), Review of Financial Studies, 2008, 21, 2565-2597.

Accurate Short Term Yield Forecasting Using Functional Gradient Descent (with F. Audrino), Journal of Financial Econometrics, Fall 2007, 5, 591-623.

Equilibrium Impact of Value-at-Risk Regulation, (with M. Leippold and P. Vanini), Journal of Economic Dynamics and Control, 2006, 30, 1277-1313.

Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets (with F. Audrino), Journal of Applied Econometrics, 2006, 21, 345-369.

Robust GMM Tests for Structural Breaks (with P. Gagliardini and G. Urga), Journal of Econometrics, 2005, 129, 139-182.

Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models (with E. Ronchetti and L. Mancini), Journal of the American Statistical Association, 2005, 100, 628-641.

Robust Efficient Method of Moments (with C. Ortelli), Journal of Econometrics, 2005, 128, 69-9.

Robustness and Ambiguity Aversion in General Equilibrium (with P. Vanini), Review of Finance, 2004, 279-324.

A Geometric Approach To Multiperiod Mean Variance Optimization of Assets and Liabilities (with M. Leippold and P. Vanini), Journal of Economic Dynamics and Control, 2004, 1079-1113.

A Note on the Three-Portfolios Matching Problem (with P. Vanini and L. Vignola), European Financial Management Journal, 2003, Vol. 9, 1, March.

Robust GMM Analysis of Models for the Short Rate Process  (with R. Dell'Aquila and E. Ronchetti), Journal of Empirical Finance, 2003, 10, 373-397.

A Note on Robustness in Merton's Model of Intertemporal Consumption and Portfolio Choice (with P. Vanini), Journal of Economic Dynamics and Control, 2002, 26, 423-435.

Robust Inference with GMM Estimators (with E. Ronchetti), Journal of Econometrics, 2001, 101, 37-69.

Short-Term Volatility Timing Reduces Downside Risk (with G. Barone Adesi and P. Gagliardini), International Journal of  Finance, 2001, 13, Nr. 2, 1794-1825.

Book chapters

Robust Efficient Method of Moments Estimation (with C. Ortelli), in:"Theory and Applications of Recent Robust Methods", 2004, M. Hubert, G. Pison, A. Struyf and S. Van Aelst eds., Series: Statistics for Industry and Technology, Birkhauser, Basel, p. 271-282.

A Review of Perturbative Approaches for Robust Optimal Portfolio Problems (with P. Vanini), in: "Computational Methods in Decision-Making, Economics and Finance", 2002, Kluwer Applied Optimization Series.

Book reviews

Semiparametric Regression for the Applied Econometrician (by A. Yalchew). Journal of the American Statistical Association, 2006.

Statistics and Finance (by D. Ruppert). Springer Texts in Statistics, 2004.

Proceedings

Limits of Learning from Imperfect Observations under Prior Ignorance: the Case of the Imprecise Dirichlet Model (with A. Piatti and M. Zaffalon), Cozman, F. G., Nau, B., Seidenfeld, T. (Eds), ISIPTA '05: Proceedings of the Fourth International Symposium on Imprecise Probabilities and Their Applications, 2005.

Optimization of Assets and Liabilities (with M. Leippold and P. Vanini), Proceedings of the International Scientific School ''Modelling and Analysis of Safety, Risk and Quality in Complex Systems'', 2002, Saint-Petersburg, Russian Foundation of Fundamental Research.

Robust Statistical Analysis of Financial Models for the Short Term Rate, Bulletin of the International Statistical Institute, 2001, 53rd ISI Session Proceedings.