Speaker：Sally Shen

Time: 1:30pm, Dec.15th, 2014

Place: ISEM Conference Room (3rd floor, Chengming Building)

时间：2014年12月15日（周一）下午1:30

地点：国际经济管理学院会议室（诚明楼三层）

主办方：国际经济管理学院

How much should life-cycle investors adapt their behavior when confronted with model uncertainty?

Sally Shen

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.

主讲人简介

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.

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