Our speaker will be Stefan Voigt (University of Copenhagen).

He will give a talk on “Uncertainty everywhere: Integrating conceptual uncertainty in the stochastic discount factor" (joint with Patrick Weiss, Gregor Kastner and Luis Gruber).

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.

The talk will take place on June 12, 2025 at 12:00 pm in room D3.0.233.