Fabio Trojani
Fabio Trojani
Professor of Finance, University of Geneva
Verified email at alphacruncher.com - Homepage
Title
Cited by
Cited by
Year
Correlation risk and optimal portfolio choice
A Buraschi, P Porchia, F Trojani
The Journal of Finance 65 (1), 393-420, 2010
2562010
A geometric approach to multiperiod mean variance optimization of assets and liabilities
M Leippold, F Trojani, P Vanini
Journal of Economic Dynamics and Control 28 (6), 1079-1113, 2004
2052004
When uncertainty blows in the orchard: Comovement and equilibrium volatility risk premia
A Buraschi, F Trojani, A Vedolin
The Journal of Finance 69 (1), 101-137, 2014
1782014
Robust inference with GMM estimators
E Ronchetti, F Trojani
Journal of econometrics 101 (1), 37-69, 2001
1382001
Learning and asset prices under ambiguous information
M Leippold, F Trojani, P Vanini
The Review of Financial Studies 21 (6), 2565-2597, 2008
1352008
When there is no place to hide: Correlation risk and the cross-section of hedge fund returns
A Buraschi, R Kosowski, F Trojani
The Review of Financial Studies 27 (2), 581-616, 2014
1142014
Economic uncertainty, disagreement, and credit markets
A Buraschi, F Trojani, A Vedolin
Management Science 60 (5), 1281-1296, 2014
922014
Ambiguity aversion and the term structure of interest rates
P Gagliardini, P Porchia, F Trojani
The review of financial studies 22 (10), 4157-4188, 2008
852008
Robustness and ambiguity aversion in general equilibrium
F Trojani, P Vanini
Review of Finance 8 (2), 279-324, 2004
832004
Robust value at risk prediction
L Mancini, F Trojani
Journal of financial econometrics 9 (2), 281-313, 2011
692011
Correlation risk and the term structure of interest rates
A Buraschi, A Cieslak, F Trojani
unpublished paper, Imperial College London and University of St. Gallen, 2008
662008
Equilibrium impact of value-at-risk regulation
M Leippold, F Trojani, P Vanini
Journal of Economic Dynamics and Control 30 (8), 1277-1313, 2006
662006
Optimal conditionally unbiased bounded-influence inference in dynamic location and scale models
L Mancini, E Ronchetti, F Trojani
Journal of the American Statistical Association 100 (470), 628-641, 2005
622005
Robust GMM analysis of models for the short rate process
R Dell'Aquila, E Ronchetti, F Trojani
Journal of Empirical finance 10 (3), 373-397, 2003
482003
A note on robustness in Merton's model of intertemporal consumption and portfolio choice
F Trojani, P Vanini
Journal of economic dynamics and control 26 (3), 423-435, 2002
482002
Migration correlation: Definition and efficient estimation
P Gagliardini, C Gouriéroux
Journal of Banking & Finance 29 (4), 865-894, 2005
442005
Fear trading
P Schneider, F Trojani
Swiss Finance Institute Research Paper, 2015
432015
Robust efficient method of moments
C Ortelli, F Trojani
Journal of Econometrics 128 (1), 69-97, 2005
422005
Asset pricing with matrix jump diffusions
M Leippold, F Trojani
Available at SSRN 1572576, 2010
402010
Robust GMM tests for structural breaks
P Gagliardini, F Trojani, G Urga
Journal of Econometrics 129 (1-2), 139-182, 2005
402005
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