Sofonias A. Korsaye

University of Geneva - Geneva Finance Research Institute (GFRI)

40 Boulevard du Pont d'Arve

Geneva 4, Geneva 1211

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS

312

SSRN CITATIONS

2

CROSSREF CITATIONS

4

Scholarly Papers (3)

1.

Smart SDFs

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 63 Posted: 29 Oct 2019
Sofonias A. Korsaye, Alberto Quaini and Fabio Trojani
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva - Geneva Finance Research Institute (GFRI) and Swiss Finance Institute
Downloads 148 (241,469)
Citation 7

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The Global Factor Structure of Exchange Rates

Swiss Finance Institute Research Paper No. 20-107, Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 53 Posted: 14 Oct 2020 Last Revised: 21 Dec 2020
Sofonias A. Korsaye, Fabio Trojani and Andrea Vedolin
University of Geneva - Geneva Finance Research Institute (GFRI), Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 140 (253,381)

Abstract:

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International asset pricing, stochastic discount factor, factor models, financial frictions, market segmentation, incomplete markets, capital flows, regularization, lasso

The Global Factor Structure of Exchange Rates

NBER Working Paper No. w27892
Number of pages: 52 Posted: 07 Oct 2020 Last Revised: 19 Mar 2021
Sofonias A. Korsaye, Fabio Trojani and Andrea Vedolin
University of Geneva - Geneva Finance Research Institute (GFRI), Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 5 (771,240)
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The Global Factor Structure of Exchange Rates

CEPR Discussion Paper No. DP15337
Number of pages: 54 Posted: 03 Nov 2020
Sofonias A. Korsaye, Fabio Trojani and Andrea Vedolin
University of Geneva - Geneva Finance Research Institute (GFRI), Swiss Finance Institute and Boston University - Department of Finance & Economics
Downloads 1 (812,778)
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Capital Flows, factor models, Financial Frictions, incomplete markets, International Asset Pricing, Lasso, Market Segmentation, regularization, Stochastic discount factor

3.

Smart Stochastic Discount Factors

Number of pages: 73 Posted: 08 Jul 2021
Sofonias A. Korsaye, Alberto Quaini and Fabio Trojani
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva and Swiss Finance Institute
Downloads 18 (655,736)

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SDF, Convex Pricing Constraints, Minimum Dispersion SDF, Market Frictions, SDF regularization, Arbitrage Pricing Theory