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    Fabio Trojani

    http://usi.to/e6w

    • Profile

    • Publications

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    Publications

    Journal Article (16)

    • Gagliardini P., Porchia P., Trojani F. (2008) Ambiguity Aversion and the Term Structure of Interest Rates, Review of Financial Studies
    • Audrino F., Trojani F. (2006) Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets, Journal of Applied Econometrics 21, No. 3, 345-369.
    • 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, Vol. 100, 628-641
    • Gagliardini P., Trojani F., Urga G. (2005) Robust GMM Tests for Structural Breaks, Journal of Econometrics, 129, 139-182
    • Leippold M., Trojani F., Vanini P. (2004) A Geometric Approach To Multiperiod Mean Variance Optimization of Assets and Liabilities, Journal of Economic Dynamics and Control, Volume 28, p. 1079-1113
    • Ortelli C., Trojani F. (2004) Robust Efficient Method of Moments, Journal of Econometrics, forthcoming
    • Trojani F., VANINI P. (2004) Robustness and Ambiguity Aversion in General Equilibrium, Review of Finance, 2:279-324
    • Trojani F., VANINI P., Vignola L. (2003) A Note on the Three-Portfolios Matching Problem, European Financial Management Journal, 9 (1)
    • Leippold M., Trojani F., Vanini P. (2003) Efficient Portfolios with Endogenous Liabilities, Submitted Annals of Operations Research, 2nd round
    • Dell Aquila R., Ronchetti E., Trojani F. (2003) Robust GMM Analysis of Models for the Short Rate Process, Journal of Empirical Finance, Vol. 10, pp. 373-397
    • Trojani F., VANINI P. (2002) A Note on Robustness in Merton´s Model of Intertemporal Consumption and Portfolio Choice, Journal of Economic Dynamics and Control, 26 (3):423-435
    • Trojani F., VANINI P. (2002) Perturbative Solutions of Hamilton Jacobi Bellman Equations in Robust Decision Making, Submitted Mathematical Finance
    • Ronchetti E., Trojani F. (2001) Robust Inference with GMM Estimators, Journal of Econometrics, 101:37-69
    • Barone Adesi G., Gagliardini P., Trojani F. (2001) Short-Term Volatility Timing Reduces Downside Risk, International Journal of Finance, 13, Nr. 2, 1794-1825
    • Audrino F., Trojani F., Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent, Journal of Financial Econometrics
    • La Vecchia D., Trojani F., Infinitesimal Robustness for Diffusions, Journal of American Statistical Association

    Book chapter (2)

    • Ortelli C., Trojani F. (2003) Robust Efficient Method of Moments Estimation. Theory and Applications of Recent Robust Methods, M. Hubert, G. Pison, A. Struyf and S. Van Aelst eds., Series: Statistics for Industry and Technology, Birkhauser, Basel
    • Trojani F., VANINI P. (2002) A Review of Perturbative Approaches for Robust Optimal Portfolio Problems. Computational Methods in Decision-Making, Economics and Finance\', Kluwer Applied Optimization Series

    Working paper (5)

    • La Vecchia D., Ronchetti E., Trojani F. (2009) Higher--Order Robustness
    • Piatti A., Trojani F., Zaffalon M. (2006) Learning from Quasi Perfect Observations under Prior Ignorance
    • Piatti A., Zaffalon M., Trojani F., Hutter M. (2006) Learning under Prior Ignorance
    • Mancini L., Trojani F. (2004) Robust Volatility Estimation for VaR Predictions
    • Ferretti R., Trojani F. (2003) Existence and Regularity of Optimal Policies in Partial Equilibrium Economies

    Conference proceedings (2)

    • Leippold M., Trojani F., Vanini P. (2002) Optimization of Assets and Liabilities. Proceedings of the International Scientific School 'Modelling and Analysis of Safety, Risk and Quality in Complex Systems', Saint-Petersburg, Russian Foundation of Fundamental Research
    • Trojani F. (2001) Robust Statistical Analysis of Financial Models for the Short Term Rate. Bulletin of the International Statistical Institute, 53rd ISI Session Proceedings

    Report in scientific conference (8)

    • Trojani F. (2003) Equilibrium Impact of Value at Risk Regulation. International Workshop on Risk and Regulation, Collegium Budapest, Budapest
    • Trojani F. (2003) Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets. Econometric Symposium on New Frontiers in Financial Volatility Modelling, Florence
    • Trojani F. (2003) Model Uncertainty, Bond Pricing and the non-Robustness of Affine Term Structures. Annual Meeting of the European Finance Association, Glasgow
    • Trojani F. (2003) Model Uncertainty, Bond Pricing and the non-Robustness of Affine Term Structures. CEPR/Studienzentrum Gerzensee European Summer Symposium in Financial Markets, Gerzensee, Switzerland
    • Trojani F. (2003) Model Uncertainty, Bond Pricing and the non-Robustness of Affine Term Structures. European Mathematical Society Conference on Applied Mathematics and Applications of Mathematics
    • Trojani F. (2003) Robust Efficient Method of Moments. International Workshop on Econometric Time Series Analysis - Methods and Applications, University of Linz, Austria
    • Trojani F. (2003) Robust Efficient Method of Moments Estimation. International Conference on Robust Statistics, Antwerp
    • Trojani F. (2003) Saddlepoint Approximations and Test Statistics for Accurate Finite Sample GMM Inference in overidentified Moment Conditions Models. European Meeting of the Econometric Society, Stockholm

    Contact

    (on leave)

    fabio.trojani@usi.ch

    tel +41 58 666 4723

    Blue Building, Office 303.A (Level 3)
    Via Buffi 6, 6900 Lugano

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