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Phd Defense Ms. J. Li, MSc

Title: Essays on Model Uncertainty in Financial Models
Supervisors: Prof. B. Melenberg, Prof. P. Ghirardato

Jing Li graduated from Jinan University with a Bachelor degree in International Economics and Trade. Then she completed an MSc in Mathematical Economics and Econometric Methods, and a Research Master in Economics at Tilburg University. She pursued her doctoral research jointly at Tilburg University and the University of Turin. She is currently an assistant professor in economics at Xi’an Jiaotong University.

This dissertation studies model uncertainty, particularly in financial models. It consists of two empirical chapters and one theoretical chapter. The first empirical chapter (Chapter 2) classifies model uncertainty into parameter uncertainty and misspecification uncertainty. It investigates the impact of model uncertainty on bond pricing with affine term structure models, and finds the significant impact of misspecification uncertainty. As an extension, the second empirical chapter (Chapter 3) proposes a prediction interval incorporating misspecification uncertainty, and studies the funding ratio in a defined-benefit pension system. The last chapter (Chapter 4) proposes a time-consistent method to incorporate model uncertainty in an investment-consumption problem, and studies portfolio rules and asset pricing in theory. It shows the necessity to consider misspecification uncertainty to explain the equity risk premium puzzle. Overall, this dissertation demonstrates that model uncertainty, especially misspecification uncertainty, is non-negligible in applying and constructing financial models.

This Phd Defense is a Joint Doctorate between Tilburg University and Università degli Studi di Torino.

Location: Cobbenhagen building, Auditorium (access via Koopmans building)

Order the PhD thesis

Wanneer: 17 januari 2018 10:00

Waar: Bereikbaarheid campus Tilburg University