Abstract
| Original language | English |
|---|---|
| Qualification | Doctor of Philosophy |
| Awarding Institution |
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| Supervisors/Advisors |
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| Award date | 3 Nov 2017 |
| Place of Publication | Tilburg |
| Publisher | |
| Print ISBNs | 978 90 5668 528 7 |
| Publication status | Published - 2017 |
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Essays on robust asset pricing. / Horváth, Ferenc.
Tilburg : CentER, Center for Economic Research, 2017. 134 p.Research output: Thesis › Doctoral Thesis › Scientific
TY - THES
T1 - Essays on robust asset pricing
AU - Horváth, Ferenc
PY - 2017
Y1 - 2017
N2 - The central concept of this doctoral dissertation is robustness. I analyze how model and parameter uncertainty affect financial decisions of investors and fund managers, and what their equilibrium consequences are. Chapter 1 gives an overview of the most important concepts and methodologies used in the robust asset allocation and robust asset pricing literature, and it also reviews the most recent advances thereof. Chapter 2 provides a resolution to the bond premium puzzle by featuring robust investors, and – as a technical contribution – it develops a novel technique to solve robust dynamic asset allocation problems: the robust version of the martingale method. Chapter 3 contributes to the resolution of the liquidity premium puzzle by demonstrating that parameter uncertainty generates an additional, positive liquidity premium component, the liquidity uncertainty premium. Chapter 4 examines the effects of model uncertainty on optimal Asset Liability Management decisions.
AB - The central concept of this doctoral dissertation is robustness. I analyze how model and parameter uncertainty affect financial decisions of investors and fund managers, and what their equilibrium consequences are. Chapter 1 gives an overview of the most important concepts and methodologies used in the robust asset allocation and robust asset pricing literature, and it also reviews the most recent advances thereof. Chapter 2 provides a resolution to the bond premium puzzle by featuring robust investors, and – as a technical contribution – it develops a novel technique to solve robust dynamic asset allocation problems: the robust version of the martingale method. Chapter 3 contributes to the resolution of the liquidity premium puzzle by demonstrating that parameter uncertainty generates an additional, positive liquidity premium component, the liquidity uncertainty premium. Chapter 4 examines the effects of model uncertainty on optimal Asset Liability Management decisions.
M3 - Doctoral Thesis
SN - 978 90 5668 528 7
T3 - CentER Dissertation Series
PB - CentER, Center for Economic Research
CY - Tilburg
ER -