You are here

Fabio Trojani
SFI Senior Chair
Professor of Statistics

Fabio Trojani is Full Professor of Finance at the Università della Svizzera italiana and has held an SFI Senior Chair since 2014. He graduated with a PhD in Economics and Finance from the University of Zurich. Prof. Trojani is a regular speaker at leading academic conferences in finance and econometrics.

Listen to Prof. Fabio Trojani speak about his research.

Research Interests:
His research interests are asset pricing and the application of econometric methods to finance, including the measurement and evaluation of hedge fund performance.
Recent Research:
In ongoing research, Prof. Trojani and his co-authors shed light on the role of uncertainty in developing robust portfolio decisions in the presence of unknown time-varying features in the underlying data generating process. The researchers’ key contribution is to separate uncertainty into an inside component that can be modelled and an outside component generated by model estimation. The authors show that this second component is quantitatively and economically important. To estimate the component requires optional robust estimation methods to bound the undesirable effects of ambiguous data features on optimal portfolio rules. The empirical application to optimal portfolio allocation, with time-varying opportunity sets, supports the superiority of optimal portfolio rules based on the robust estimators proposed in the paper.