Università della Svizzera italiana

Robust resampling methods and stock returns predictability

Camponovo, Lorenzo ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO004.

The thesis consists of three chapters. In the first chapter we characterize the robustness of subsampling procedures by deriving a general formula for the breakdown point of subsampling quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling procedures, even if they are applied to robust statistics. This instability...

Università della Svizzera italiana

Essays on the term structure of interest rates

Cieslak, Anna ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2011 ; 2011ECO002.

This doctoral thesis focuses on fixed income markets exploring two essential questions in this area: (i) the risk compensation for holding Treasury bonds and (ii) the behavior of interest rate volatilities across different maturities. The objective is to understand the effect of changes in risk premia and in yield volatilities on bond prices, identify their economic drivers, and to propose...

Università della Svizzera italiana

Aligning capital with risk

Ebnöther, Silvan ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2015 ; 2015ECO007.

The interaction of capital and risk is of primary interest in the corporate governance of banks as it links operational profitability and strategic risk management. Senior executives understand that their organization's monitoring system strongly affects the behaviour of managers and employees. Typical instruments used by senior executives to focus on strategy are balanced scorecards with...

Università della Svizzera italiana

Essays on variance risk

Gruber, Peter ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2015 ; 2015ECO010.

My PhD thesis consists of three papers which study the nature, structure, dynamics and price of variance risks. As tool I make use of multivariate affine jump-diffusion models with matrix-valued state spaces. The first chapter proposes a new three-factor model for index option pricing. A core feature of the model are unspanned skewness and term structure effects, i.e., it is possible that the...

Università della Svizzera italiana

Essays in asset allocation

Leirvik, Thomas ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014ECO003.

This thesis consists of two chapters. In the first chapter, I analyze the optimal allocation of wealth to cash, bonds, and stocks when the interest rate is stochastic and the stock index has a time-varying mean. I find that, under certain economic conditions, the investor may optimally increase investments in stocks and bonds at the same time, which is due to the dynamic trading policies and...

Università della Svizzera italiana

Essays in macro-finance

Lopez, Pierlauro ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2013 ; 2013ECO014.

This doctoral thesis explores the boundary between macroeconomics and finance by focusing on three questions: (i) the measure of the cost of aggregate uncertainty at different horizons and over time; (ii) the role of nominal rigidities in explaining stock-bond yield comovement; (iii) the role of stock prices in the conduct of monetary policy. The objective is to identify some of the...

Università della Svizzera italiana

Essays in asset pricing

Orlowski, Piotr ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2017 ; 2017ECO002.

My dissertation consists of three chapters, each of which focuses on a different area of research in asset pricing. The first chapter's focal point is the measurement of the premium for jump risks in index option markets. The second chapter is devoted to non- parametric measurement of pricing kernel dispersion. The third chapter contributes to the literature on latent state variable recovery in...

Università della Svizzera italiana

Learning under prior ignorance

Piatti, Alberto ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2006 ; 2006ECO004.

It is well known that a state of prior ignorance is not compatible with learning, at least in a coherent theory of (epistemic) uncertainty. What is less widely known, is that there is another state of beliefs, called near-ignorance, that resembles ignorance very closely by satisfying some principles that can arguably be regarded as necessary in a state of ignorance, and that allows learning to...

Università della Svizzera italiana

Essays in asset pricing

Piatti, Ilaria ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014ECO005.

My dissertation consists of three main chapters and focuses on two recent strands of research in asset pricing, namely heterogeneous beliefs about rare event risk and present-value models for predictability of market returns and dividend growth. The first chapter studies the asset pricing implications of investor disagreement about the probability of a systemic disaster. I start from a...

Università della Svizzera italiana

Continuous-time asset pricing with ambiguity aversion

Porchia, Paolo ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2005 ; 2005ECO005.

This Thesis is structured in two Chapters, each aimed at contributing to the existing literature by exploring the effects of ambiguity aversion on two classical equilibrium asset pricing problems: the term structure of interest rates and two-agents equilibrium. In both cases, ambiguity aversion is modeled by means of a Max-Min expected utility representation that falls within the Recursive...