[Statlist] Research seminar in statistics February 26th 2016, GSEM University of Geneva

[Eva Cantoni]

Dear All,

We are pleased to invite you to our next Research Seminar –

Looking forward to seeing you,

Organisers :
E. Cantoni - D. La Vecchia - E. Ronchetti -
S. Sperlich - F. Trojani - M-P. Victoria-Feser



Friday February 26, 2016 at 11h15 - Room M 5220, Uni Mail (40, bd du 
Pont-d'Arve)

Arbitrage Free Dispersion

Fabio Trojani - GSEM, Université de Genève


ABSTRACT:
We develop a theory of arbitrage-free dispersion (AFD) that 
characterizes the testable restrictions of asset pricing models. AFD 
measures Jensen's gap in the cumulant generating function of pricing 
kernels and returns. It implies a wide family of model-free dispersion 
constraints, which extend dispersion and co-dispersion bounds in the 
literature and are applicable with a unifying approach in multivariate 
and multiperiod settings. Empirically, the dispersion of stationary and 
martingale pricing kernel components in the benchmark long-run risk 
model yields a counterfactual dependence of short- vs. long-maturity 
bond returns and is insufficient for pricing optimal portfolios of 
market equity and short-term bonds.

  Authors: P. Orlowski, A. Sali and F.Trojani

  Visit the website: http://www.stat-center.unige.ch/ressem.html

Karen Longden Roure
Program Coordinator
MSc. in Management, MSc. in Economics, MSc. in Statistics
Université de Genève, Uni-Mail
Faculté d'Economie & Management, GSEM
40, bd. du Pont d'Arve, 1211 Genève 4

Tél:  +41.22.379.8109 (10h-14h)