Fabio Trojani - Academia.edu (original) (raw)

Papers by Fabio Trojani

Research paper thumbnail of From Uncovered Interest Rates Parity Towards The Identification of Exchange Rates Risk Premia

Research paper thumbnail of Limits of Learning from Imperfect Observations under Prior Ignorance: the Case of the Imprecise Dirichlet Model

Research paper thumbnail of Multiple Trees Subject to Event Risk

SSRN Electronic Journal, 2000

Research paper thumbnail of Dividend Growth Predictability and the Price-Dividend Ratio

SSRN Electronic Journal, 2000

ABSTRACT Conventional tests of present-value models tend to over-reject the null of no predictabi... more ABSTRACT Conventional tests of present-value models tend to over-reject the null of no predictability, concluding that price-dividend ratio variations are due to both cash flow and discount rate shocks. We propose a nonparametric Monte Carlo testing method, which does not rely on distributional assumptions to aggregate the information from the time series of price-dividend ratios and dividend growth. We find evidence of return predictability, but no apparent evidence of dividend growth predictability, thus reconciling the diverging conclusions in the literature. Our findings are robust to the specification of the predictive information set and account for the intrinsic probability of detecting predictive relations by chance alone.

Research paper thumbnail of Predictable Risks and Predictive Regression in Present-Value Models

SSRN Electronic Journal, 2000

Research paper thumbnail of Ambiguity Aversion, Bond Pricing and the Non-Robustness of Some Affine Term Structures

SSRN Electronic Journal, 2000

Research paper thumbnail of General Analytical Solutions for Merton's-Type Consumption-Investment Problems

SSRN Electronic Journal, 2000

Research paper thumbnail of Robust efficient method of moments

Journal of Econometrics, 2005

Research paper thumbnail of A Review of Perturbative Approaches for Robust Optimal Portfolio Problems

Applied Optimization, 2002

Research paper thumbnail of Risk, Robustness and Knightian Uncertainty in Continuous-Time, Heterogenous Agents, Financial Equilibria

SSRN Electronic Journal, 2000

Research paper thumbnail of Perturbative Solutions of Hamilton Jacobi Bellman Equations in Robust Decision Making

SSRN Electronic Journal, 2000

Research paper thumbnail of Efficient Portfolios with Endogenous Liabilities

SSRN Electronic Journal, 2000

Research paper thumbnail of Learning and Asset Prices Under Ambiguous Information

Review of Financial Studies, 2006

Research paper thumbnail of Robustness and Ambiguity Aversion in General Equilibrium

Research paper thumbnail of Multiperiod mean-variance efficient portfolios with endogenous liabilities

Quantitative Finance, 2011

Research paper thumbnail of Equilibrium impact of value-at-risk regulation

Journal of Economic Dynamics and Control, 2006

Research paper thumbnail of A geometric approach to multiperiod mean variance optimization of assets and liabilities

Journal of Economic Dynamics and Control, 2004

Research paper thumbnail of A note on robustness in Merton's model of intertemporal consumption and portfolio choice

Journal of Economic Dynamics and Control, 2002

Research paper thumbnail of Equilibrium Impact of Value-at-Risk Regulation

SSRN Electronic Journal, 2002

Research paper thumbnail of A Note on the Three-Portfolios Matching Problem

European Financial Management, 2002

Research paper thumbnail of From Uncovered Interest Rates Parity Towards The Identification of Exchange Rates Risk Premia

Research paper thumbnail of Limits of Learning from Imperfect Observations under Prior Ignorance: the Case of the Imprecise Dirichlet Model

Research paper thumbnail of Multiple Trees Subject to Event Risk

SSRN Electronic Journal, 2000

Research paper thumbnail of Dividend Growth Predictability and the Price-Dividend Ratio

SSRN Electronic Journal, 2000

ABSTRACT Conventional tests of present-value models tend to over-reject the null of no predictabi... more ABSTRACT Conventional tests of present-value models tend to over-reject the null of no predictability, concluding that price-dividend ratio variations are due to both cash flow and discount rate shocks. We propose a nonparametric Monte Carlo testing method, which does not rely on distributional assumptions to aggregate the information from the time series of price-dividend ratios and dividend growth. We find evidence of return predictability, but no apparent evidence of dividend growth predictability, thus reconciling the diverging conclusions in the literature. Our findings are robust to the specification of the predictive information set and account for the intrinsic probability of detecting predictive relations by chance alone.

Research paper thumbnail of Predictable Risks and Predictive Regression in Present-Value Models

SSRN Electronic Journal, 2000

Research paper thumbnail of Ambiguity Aversion, Bond Pricing and the Non-Robustness of Some Affine Term Structures

SSRN Electronic Journal, 2000

Research paper thumbnail of General Analytical Solutions for Merton's-Type Consumption-Investment Problems

SSRN Electronic Journal, 2000

Research paper thumbnail of Robust efficient method of moments

Journal of Econometrics, 2005

Research paper thumbnail of A Review of Perturbative Approaches for Robust Optimal Portfolio Problems

Applied Optimization, 2002

Research paper thumbnail of Risk, Robustness and Knightian Uncertainty in Continuous-Time, Heterogenous Agents, Financial Equilibria

SSRN Electronic Journal, 2000

Research paper thumbnail of Perturbative Solutions of Hamilton Jacobi Bellman Equations in Robust Decision Making

SSRN Electronic Journal, 2000

Research paper thumbnail of Efficient Portfolios with Endogenous Liabilities

SSRN Electronic Journal, 2000

Research paper thumbnail of Learning and Asset Prices Under Ambiguous Information

Review of Financial Studies, 2006

Research paper thumbnail of Robustness and Ambiguity Aversion in General Equilibrium

Research paper thumbnail of Multiperiod mean-variance efficient portfolios with endogenous liabilities

Quantitative Finance, 2011

Research paper thumbnail of Equilibrium impact of value-at-risk regulation

Journal of Economic Dynamics and Control, 2006

Research paper thumbnail of A geometric approach to multiperiod mean variance optimization of assets and liabilities

Journal of Economic Dynamics and Control, 2004

Research paper thumbnail of A note on robustness in Merton's model of intertemporal consumption and portfolio choice

Journal of Economic Dynamics and Control, 2002

Research paper thumbnail of Equilibrium Impact of Value-at-Risk Regulation

SSRN Electronic Journal, 2002

Research paper thumbnail of A Note on the Three-Portfolios Matching Problem

European Financial Management, 2002