Paolo Porchia



2005: Ph.D in Finance (summa cum laude), University of Lugano (USI).

Dissertation title: Continuous-Time Asset Pricing under Ambiguity Aversion.

Dissertation Committee : Prof. Fabio Trojani (thesis supervisor), University of Geneva Prof. Patrick Gagliardini, University of Lugano Prof. Giovanni Barone-Adesi, University of Lugano Prof. Domenico Cuoco, University of Pennsylvania.

2001-2003:  Visiting Scholar Fellow. Wharton School, University of Pennsylvania, Finance Department.

2000:  Bachelor Degree (Laurea) in Economics (summa cum laude). Univerity of Rome ‘La Sapienza’. Dissertation title: Levy processes and their applications to asset pricing


Publications and Working Papers

Publications in Academic Journals

  • ‘Ambiguity Aversion and the Term Structure of Interest Rates’, 2009 (with Patrick Gagliardini and Fabio Trojani). Review of Financial Studies. 22(10), 4157-4188.
  • ‘Correlation Risk and Optimal Portfolio Choice’, 2010 (with Andrea Buraschi and Fabio Trojani) Journal of Finance. 65(1), 393-420.

Working Papers

  • ‘An Heterogeneous-Agents RBC Model with Monopolistic Competition’, 2019 (with Lilia Cavallari and Stefano D’Addona).
  • ‘Policy Announcements in FX Markets’, 2015 (with Philippe Mueller and Andrea Vedolin).
  • ‘Asset Pricing with Fiscal Uncertainty’, 2015 (with Philippe Mueller and Andrea Vedolin)
  • ‘Dynamic Networks and Asset Pricing’, 2013 (with Andrea Buraschi) revise and resubmit at the Review of Finance
  • ‘A Real Options Analysis of Dual Labor Markets and the Single Labor Contract’, 2011 (with Pedro Gete)
  • ‘Fertility and Consumption when Having a Child is a Risky Investment’, 2011 (with Pedro Gete)
  • ‘Cross-Section of Expected Stock Returns: Learning about Distress and Predictability in Heterogeneous Orchards’, 2011 (with Andrea Buraschi and Fabio Trojani). Best Paper Award at the 2012 EFMA Annual Meeting, Barcelona, Spain.
  • ‘A General Treatment of Equilibrium under Ambiguity’, 2004 (with Fabio Trojani).