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- W649235303 abstract "Uncertainty surrounding key parameters of financial markets, such as the in- flation and equity risk premium, constitute a major risk for institutional investors with long investment horizons. Hedging the investors’ inflation exposure can be challenging due to the lack of domestic inflation-linked securities. I show that inflation hedging investors can benefit from holding bonds that are linked to inflation in foreign countries. Investors can further improve their inflation hedge by incorporating the long term interactions between his own inflation exposure and the foreign inflation measures. Focusing on the major inflation-linked security markets, I find an increase of the inflation risk premium over the financial crisis in the UK, whereas in the US it decreased. Since the parameter uncertainty of these estimates is large, and increased over the financial crisis in both the UK and US markets, I present a framework in which investors can quantify and integrate it in their long term investment decisions. Finally, I demonstrate that the difficulty of estimating the equity risk premium is the largest source of parameter uncertainty in defined contribution pension contracts. I introduce a methodology to take parameter uncertainty into account, so that participants can set contributions that reflect the uncertainty about their replacement rate at retirement. Overall, this thesis demonstrates robust methods to incorporate the effects of parameter uncertainty and contributes to the literature on how parameter uncertainty of financial models can substantially affect the investors’ investment risk." @default.
- W649235303 created "2016-06-24" @default.
- W649235303 creator A5070131930 @default.
- W649235303 date "2012-01-01" @default.
- W649235303 modified "2023-09-23" @default.
- W649235303 title "Model Uncertainty in Financial Markets: Long Run Risk and Parameter Uncertainty" @default.
- W649235303 hasPublicationYear "2012" @default.
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