Fabio Trojani

http://usi.to/e6w

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