发布时间：2014-12-15 来源： [打印] 字号： T T T
Time: 1:30pm, Dec.15th, 2014
Place: ISEM Conference Room (3rd floor, Chengming Building)
How much should life-cycle investors adapt their behavior when confronted with model uncertainty?
Abstract: I investigate a dynamic life-cycle investment and consumption problem under model uncertainty, where both inflation rate and income growth rate are assumed to be estimated with errors. I present a feasible boundary for the uncertainty aversion parameter, which measures the investor's preference for robustness using econometric theory. I derive a closed-form solution for a robust investor characterized by min-max utility preference to insure against the worst case scenario. Robustness dramatically increases the demand for the long-term bonds when the instantaneous inflation rate is low.
Ph.D. in Finance, Maastricht University, the Netherlands
Primary field: term structure of interest rate, long-run risk, model uncertainty, asset pricing, financialeconometrics,dynamic portfolio optimization, life-cycle model.