BIGFI/Finance Seminar with Stefan Voigt, University of Copenhagen

On Friday, April 11, 2025, Stefan Voigt, University of Copenhagen, will be giving a seminar on the paper: Uncertainty everywhere: Integrating conceptual uncertainty in the stochastic discount factor

Friday, April 11, 2025 - 11:00 to 12:15

The Department of Finance and BIGFI areÌýproud to announce the upcoming seminar withÌýStefan Voigt, University of Copenhagen.

Stefan VoigtÌýwill present: Uncertainty everywhere: Integrating conceptual uncertainty in the stochastic discount factor

Abstract:
The estimation of the stochastic discount factor requires to take a stance on model (which risk factors matter?) and estimation uncertainty (what are the parameter values of a given model?). We show that, additionally, conceptual uncertainty - leeway in the construction of said risk factors - is substantial and naturally calls for a Bayesian solution. We propose a Bayesian model averaging procedure to incorporate variation from data preprocessing steps in financial decision making. We find that the Bayesian approach to conceptual uncertainty leads to more accurate estimates of the stochastic discount factor and improved portfolio choice.
Ìý
Joint work with: Patrick Weiss (Reykjavik University), Gregor Kastner (University of Klagenfurt), Luis Gruber (University of Klagenfurt)

Location:
Solbjerg Plads 3
2000 Frederiksberg
Room: SPs07

The page was last edited by: Department of Finance // 04/07/2025