University of Lugano - Swiss Finance Institute
Fabio Trojani, Research Information
Running Research Grants
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
Working papers can be found on the SSRN web page. Some working paper versions of accepted publications are available on the IDEAS web page.
Publications
Robust Value at Risk Prediction (with L. Mancini), Journal of Financial Econometrics, forthcoming.
A General Multivariate Threshold GARCH Model with Dynamic Conditional Correlations (with F. Audrino), Journal of Business and Economic Statistics, forthcoming.
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, Volume 28, p. 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.