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Fabio TROJANI
Full Professor
Geneva Finance Research Institute
Ph.D., University of Zürich
Uni Pignon - 402
+41 22 379 80 08
Email
Research & publications
Dividend Growth Predictability and the Price-Dividend Ratio, Management Science, forthcoming.(with I. Piatti).
Robust Inference with GMM Estimators, Journal of Econometrics, 101, 37-69 (with E. Ronchetti).
Short-Term Volatility Timing Reduces Downside Risk, International Journal of Finance, 13, Nr. 2, 1794-1825 (with G. Barone Adesi and P. Gagliardini).
A Note on Robustness in Merton’s Model of Intertemporal Consumption and Portfolio Choice, Journal of Economic Dynamics and Control, 26, 423-435 (with P. Vanini).
Robust GMM Analysis of Models for the Short Rate Process, Journal of Empirical Finance, 10, 373-397 (with R. Dell’Aquila and E. Ronchetti).
Fabio Trojani holds a PhD in Econometrics and Finance from the University of Zurich. He is full professor of Finance at the University of Geneva since September 2015, a Senior Chair of the Swiss Finance (SFI) Institute and the AXA Chair in Socioeconomic Risk of Financial Markets at the University of Turin. Previously, he was full professor of Statistics at the University of Lugano, full professor of Finance at the University of St Gallen and Adjunct Professor of Finance at University Bocconi in Milan. Fabio is the director of the SFI PhD program at the University of Geneva. He is editor of the Journal of Financial Econometrics since July 2019. His research covers various areas related to Finance, Econometrics, and Statistics, domains in which he published widely in journals such as the Journal of Finance, the Review of Financial Studies, Management Science, the Journal of the American Statistical Association and the Journal of Econometrics. In these domains, he is also a regular speaker at international conferences.
Selected publications
Journal article
Trojani, F., Orlowski, P., & Schneider, P. (2022). On the Nature of (Jump) Skewness Risk Premia. Management Science.
Trojani, F., Korsaye, S., & Vedolin, A. (2022). The global factor structure of exchange rates. Journal of Financial Economics.
Sandulescu, M., Trojani, F., & Vedolin, A. (2020). Model-Free International Stochastic Discount Factors. The Journal of Finance, 76 (2), 935-976. https://doi.org/10.1111/jofi.12970.
Gruber, P., Tebaldi, C., & Trojani, F. (2020). The price of the smile and variance risk premia. Management Science, 67 (7), 3985-4642. https://doi.org/10.1287/mnsc.2020.3689.
Piatti, I., & Trojani, F. (2020). Dividend Growth Predictability and the Price Dividend Ratio. Management Science, 66 (1), 130-158. https://doi.org/10.1287/mnsc.2018.3155.
Schneider, P., & Trojani, F. (2019). (Almost) model-free recovery. The Journal of Finance, 74 (1), 323-370. https://doi.org/10.1111/jofi.12737.
Schneider, P., & Trojani, F. (2019). Divergence and the Price of Uncertainty. Journal of Financial Econometrics, 17 (3), 341–396. https://doi.org/10.1093/jjfinec/nby021.
Camponovo, L., Scaillet, O., & Trojani, F. (2017). Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy. Journal of Financial Econometrics, 15 (3), 377-387. https://doi.org/10.1093/jjfinec/nbx004.
Buraschi, A., Kosowski, R., & Trojani, F. (2014). When There is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns. The Review of Financial Studies, 27 (5), 581-616. https://doi.org/10.1093/rfs/hht070.
Buraschi, A., Trojani, F., & Vedolin, A. (2014). Economic Uncertainty, Disagreement, and Credit Markets. Management Science, 60 (5), 1281-1296. https://doi.org/10.1287/mnsc.2013.1815.
Buraschi, A., Trojani, F., & Vedolin, A. (2014). When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia. The Journal of Finance, 69 (1), 101–137. https://doi.org/10.1111/jofi.12095.
La Vecchia, D., Ronchetti, E., & Trojani, F. (2012). Higher-Order Infinitesimal Robustness. Journal of the American Statistical Association, 107 (500), 1546-1557. https://doi.org/10.1080/01621459.2012.738580.
Camponovo, L., Scaillet, O., & Trojani, F. (2012). Robust subsampling. Journal of Econometrics, 167 (1), 197-210. https://doi.org/10.1016/j.jeconom.2011.11.005.
Trojani, F., & Mancini, L. (2011). Robust Value at Risk Prediction. Journal of Financial Econometrics, 9 (2), 281-313.
La Vecchia, D., & Trojani, F. (2010). Infinitesimal robustness for diffusions. Journal of the American Statistical Association, 105 (490), 703-712. https://doi.org/10.1198/jasa.2010.tm08383.
Trojani, F., & Audrino, F. (2010). A General Multivariate Threshold GARCH Model with Dynamic Conditional Correlations. Journal of Business & Economic Statistics, 29 (1), 138-149.
Trojani, F., Buraschi, A., & Porchia, P. (2010). Correlation Risk and Optimal Portfolio Choice. The Journal of Finance, 65 (1), 393-420.
Mancini, L., Ronchetti, E., & Trojani, F. (2005). Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models. Journal of the American Statistical Association, 100 (470), 628-641. https://doi.org/10.1198/016214504000001402.
Dell'Aquila, R., Ronchetti, E., & Trojani, F. (2003). Robust GMM analysis of models for the short rate process. Journal of Empirical Finance, 10 (3), 373-397. https://doi.org/10.1016/S0927-5398(02)00050-6.
Ronchetti, E., & Trojani, F. (2001). Robust inference with GMM estimators. Journal of Econometrics, 101 (1), 37-69. https://doi.org/10.1016/S0304-4076(00)00073-7.
Academic meeting presentation
Trojani, F. (2024). Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models, Financial Econometrics Conference, Janeway Institute. Conference.
Trojani, F. (2024). Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models, ESEM Annual Meeting. Conference.
Trojani, F. (2024). Proximal Estimation and Inference, ESEM Annual Meeting. Conference.
Trojani, F. (2024). A comprehensive machine learning framework for dynamic portfolio choice with transaction costs, SOFIE Annual Meeting. Conference.
Trojani, F. (2024). Discussion of “Market Concentration, Capital Misallocation, and Asset Pricing, 7th Asset Pricing Conference by LTI@UniTo. Conference.
Trojani, F. (2024). Discussion of “One Factor to Bind the Cross-Section of Returns”, 2024 Luiss Finance Workshop. Conference.
Trojani, F. (2023). Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models, ESSEC-CYU-WARWICK Econometrics Workshop, Paris. Conference.
Trojani, F. (2023). Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models, Financial Econometrics meets Machine Learning Conference, Rotterdam. Conference.
Trojani, F. (2023). A Comprehensive Machine Learning Framework for Dynamic Portfolio Choice with Transaction Costs, Workshop on Science and Ethics in AI: Challenges and Opportunities. Conference.
Trojani, F. (2023). Discussion of “Disasters and (bank) financing, 3rd LTI@UniTO Report Presentation Conference. Conference.
Trojani, F. (2023). Discussion of "When do Cross-Sectional Asset Pricing Factors Span the Stochastic Discount Factor?", EFA Annual Meeting. Conference.
Trojani, F. (2023). Discussion of "Predicting the Bitcoin Implied Volatilty Surface", Torino Decentralized Finance Conference. Conference.
Trojani, F. (2023). Discussion of "Deciphering Monetary Policy Shocks", 6th Asset Pricing Workshop, Collegio Carlo Alberto. Conference.
Trojani, F. (2022). Jensen Bounds. European Financial Association Annual Meeting.
Trojani, F. (2022). Proximal Estimation and Inference. SKEMA–ESSEC Workshop.
Trojani, F. (2022). Discussion of ”Structural Stochastic Volatility”, 5th Asset Pricing Workshop, Collegio Carlo Alberto. Conference.
Trojani, F. (2021). Smart Stochastic Discount Factors, Research Workshop in Financial Econometrics. Smart Stochastic Discount Factors. -.
Trojani, F. (2021). Smart Stochastic Discount Factors, Vienna Workshop on Econometrics of Option Markets. Conference.
Trojani, F. (2021). Discussion of "Model Selection with Transaction Costs", Adam Smith Asset Pricing Workshop. Conference.
Trojani, F. (2021). Discussion of "On the (Im)Possibility of Estimating Expected Return from Risk-Neutral Variance", Canadian Derivative Institute Conference. Conference.
Trojani, F. (2021). Discussion of ”Should Retail Investors Listen to Social Media Analysts? Evidence from Text-Implied Beliefs”, 2nd LTI/Bank of Italy Workshop on Long-term investors trends: theory and practice. Conference.
Trojani, F. (2021). Discussion of ”Wealth Inequality, Aggregate Risk, and Asset Prices”, 4th Asset Pricing Workshop Collegio Carlo Alberto. Conference.
Trojani, F. (2020). Discussion of "Non-substitutable Consumption Growth Risk", 3rd Asset Pricing Workshop, Collegio Carlo Alberto. Conference.
Trojani, F. (2019). Discussion of "Correcting Misspecified Stochastic Discount Factors" by Uppal, Zaffaroni and Zviadadze. Annual Meeting of the European Finance Association.
Trojani, F. (2018). Model-Free International SDFs in Incomplete Markets. Annual Meeting of the European. Finance Association.
Trojani, F. (2018). Discussion of "Beta Risk in the Cross-Section of Equities", by Boloorforoosh, Christoffersen, Fournier and Gouréroux. Annual Meeting of the European Finance Association.
Trojani, F. (2018). Discussion of "Pricing Implications of Covariances and Spreads in Currency Markets" by Maurer and Tran. FIRS conference.
Trojani, F. (2018). Discussion of "International Capital Markets with Time-Varying Preferences" by Giuliano Curatola. Paris December Finance Meeting.
Invited speaker
Trojani, F. (2024). Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models., London, Great Britain.
Trojani, F. (2024). Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models., Amsterdam, Netherlands (The).
Trojani, F. (2023). Tradable Factor Risk Premia and Oracle Tests of Asset Pricing Models., Turin, Italy.
Trojani, F. (2023). A Comprehensive Machine Learning Framework for Dynamic Portfolio Choice With Transaction Costs., Rotterdam, Netherlands (The).
Trojani, F. (2022). Methods for Empirical Asset Pricing with Large Data Sets., Brussels, Belgium.
Trojani, F. (2019). Smart Stochastic Discount Factors., Ispra, Italy.
Trojani, F. (2019). Smart Stochastic Discount Factors., Paris, France.
Trojani, F. (2019). Smart Stochastic Discount Factors., Oslo, Norway.
Trojani, F. (2019). Smart Stochastic Discount Factors., Milano, Italy.
Trojani, F. (2019). Smart Stochastic Discount Factors., Zurich, Switzerland.
Trojani, F. (2018). Arbitrage Free Dispersion., York, Great Britain.
Trojani, F. (2018). Arbitrage Free Dispersion., Lugano, Switzerland.
Trojani, F. (2018). Arbitrage Free Dispersion., Paris, France.
Trojani, F. (2018). Arbitrage Free Dispersion., Luxembourg, Luxembourg.
Trojani, F. (2018). Discussion of "Term structure of risk in expected returns" by Irina Zviadadze., Torino, Italy.