Dear Colleagues,
LTI@UniTO and CCA are pleased to invite you to the following webinar in Quantitative Finance by *Fabio Trojani *(University of Geneva) which will take place on March, 24th at 12 via Zoom:
*Title:*“Smart Stochastic Discount Factors”
*Abstract:*We propose a novel no-arbitrage framework, which exploits convex asset pricing constraints to study the properties of investors’ marginal utility of wealth or, more generally, Stochastic Discount Factors (SDFs). We establish a duality between minimum dispersion SDFs and suitable penalized portfolio selection problems, building the foundation for a nonparametric characterization of the feasible tradeoffs between a SDF’s pricing accuracy and its comovement with systematic risks. Empirically, we find that a minimum variance correction of a CAPM–SDF produces a Pareto optimal tradeoff. This Pareto optimal SDF only depends on two economically distinct risk factors: A market factor and a minimum variance excess return factor, which optimally bounds the aggregate mispricing of risks unspanned by market risk.
*Zoom link*
https://us02web.zoom.us/j/84414842010?pwd=WFFudm1ITDU1aWQ2Y0ttRFRXOGFVQT09 https://us02web.zoom.us/j/84414842010?pwd=WFFudm1ITDU1aWQ2Y0ttRFRXOGFVQT09
Meeting ID: 844 1484 2010 Passcode: 541184
We look forward to your participation.
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Luca Regis Associate Professor Department of Economics and Statistics (ESOMAS) University of Torino sites.google.com/view/lucaregis Office: +39 011 670 6065 www.carloalberto.org/lti
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