Frontaler Blick auf das D4 Gebäude.

Brown Bag Seminar - Stefan Voigt, University of Copenhagen

04. Juni 2025

Wir freuen uns, für 12.Juni 2025, ein Brown Bag Seminar ankündigen zu können.

Als Vortragenden dürfen wir Stefan Voigt (University of Copenhagen) begrüßen.

Er wird sein Paper “Uncertainty everywhere: Integrating conceptual uncertainty in the stochastic discount factor" (joint with Patrick Weiss, Gregor Kastner and Luis Gruber) vorstellen.

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.


Das Brown Bag Seminar findet am 12.Juni 2025 von 12:00-13:00 Uhr im Raum D3.0.233 statt.

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