Professor Paolo Zaffaroni will present a limiting theory for estimating and testing linear beta-pricing models when a very large number of assets is available together with a fixed, possibly very small, time-series dimension, applicable to both traded and non-traded factors.
Professor Paolo Zaffaroni is Professor in Financial Econometrics at Imperial College Business School. He has a summa cum laude degree in economic statistics from Roma and holds a PhD in Econometrics from the London School of Economics. He is also teaching at the University of Rome La Sapienza and has previously taught at the London School of Economics and at the University of Cambridge.
Paolo's main research interests are financial econometrics and econometric theory as well as risk management and asset allocation.