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Fabio Trojani
SFI Senior Chair
Professor of Statistics

Fabio Trojani is Professor of Statistics 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 in asset pricing, and in the application of econometric and data science methods to finance.
Recent Research:
In ongoing research, Prof. Trojani and his coauthor introduce a new class of trading strategies for trading directional volatility and skewness risk in incomplete option markets. They show theoretically that tradeable skew portfolios are interpretable as fear portfolios in benchmark economies with downside risk and prudent attitudes. Empirically, they find that the negative price of tradeable fear reflects a premium for crash insurance, which gives rise to implied skew indexes with more appealing properties. Moreover, the risk premium of tradeable skew is positive and economically more informative than the risk premia induced by non-tradeable proxies of realized semi-variance and skewness.