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
Meeting ID: 844 1484 2010 Passcode: 541184
We look forward to your participation.