Essays on robust asset pricing

Ferenc Horváth

Research output: ThesisDoctoral Thesis

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Abstract

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.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • de Jong, Frank, Promotor
  • Werker, Bas, Promotor
Award date3 Nov 2017
Place of PublicationTilburg
Publisher
Print ISBNs978 90 5668 528 7
Publication statusPublished - 2017

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Horváth, F. (2017). Essays on robust asset pricing. CentER, Center for Economic Research.