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2005 Program on Financial Mathematics, Statistics and Econometrics

Workshop on Model Uncertainty

January 27, 2006
at the NISS/SAMSI building

General Information
Application
Schedule

General Information

As part of the semester long SAMSI program on Financial Mathematics, Statistics and Econometrics, a research workgroup is organized on the broad topic of Model Uncertainty. This workshop aims at giving an opportunity to the workgroup participants to present their ongoing research and research projects as well as interacting with the specialists of the field invited to speak.

Scientific Committee: Evan Anderson (NIU), Eric Ghysels (UNC), Lars Hansen (Univ. of Chicago), Eric Renault (UNC), and Thomas Sargent (NYU).

Application

Interested individuals should apply, using the ON-LINE APPLICATION FORM. This form also includes the application for financial support. You will be notified as soon as possible after your application if your participation will be possible; regrettably, limited seating will preclude acceptance of all applications. New researchers (graduate students, postdocs, and faculty in the early stages of their careers) and members of underrepresented groups are especially encouraged to apply.

The application/registration deadline is December 27, 2005

In order to ensure your application is correct, we ask that you:

 

  • refresh/reload the application/registration page to ensure you have all updates

  • type in your information (cutting and pasting will distort the information we receive)

  • make any clarifications/corrections, in the Special Requests section

  • click the submit button only once

Please make reservations at the Radisson as soon as possible. The SAMSI room block for the Radisson is effective until January 11, 2006. After this date, there is no guarantee a room will be available.  If you have a change in plans, individual room reservations must be cancelled 72 hours prior to arrival. Check-in is at 3:00 PM; check-out is 12:00 noon.

 

Schedule
Friday, January 27, 2006
NISS/SAMSI Building
Transportation Information

Abstracts

8:30 a.m. Registration
8:50 a.m. Welcome and Opening Remarks
9:00 a.m. Lars Hansen (Univ. of Chicago) and Tom Sargent (NYU)
"Recursive Robust Estimation and Control Without Commitment"
9:45 a.m. William Brock (Univ. of Wisconsin), Steve Durlauf (Univ. of Wisconsin), and Giacomo Rondina (Univ. of Wisconsin)
"Design Limits and Optimal Policy Evaluation"
10:30 a.m. Coffee Break
11:00 a.m. Larry Epstein (Univ. of Rochester), and Martin Schneider (NYU)
"Ambiguity, Information Quality and Asset Pricing"
11:45 a.m. Phelim Boyle (Univ. of Waterloo), Lorenzo Garlappi (Univ. of Texas-Austin), Raman Uppal (London Business School), and Tan Wang (Univ. of British Columbia)
"To Hold Familiar Assets or To Diversify? Keynes Meets Markowitz"
Paper and Slides
12:30 p.m. Lunch
1:30 p.m. Evan Anderson (Northern Illinois Univ.), Lars Hansen (Univ. of Chicago), and Tom Sargent (NYU)
"Small Noise Methods for Risk Sensitive/Robust Economies"
2:15 p.m. Evan Anderson (Northern Illinois Univ.), Eric Ghysels (UNC-Chapel Hill), and Jennifer Juergens (Arizona State Univ.)
"The Impact of Risk and Uncertainty on Expected Returns"
3:00 p.m. Coffee Break
3:30 p.m. Eddie Dekel (Northwestern University and Tel-Aviv University) and Yossi Feinberg (Stanford)
"Non-Bayesian Testing of a Stochastic Prediction"
4:15 p.m. Stijn Van Nieuwerburgh and Laura Veldkamp (NYU)
"Information Acquisition and Portfolio Under-Diversification"
5:00 p.m. Marc Henry (Columbia Univ.)
"Testing Non-identifying Restrictions"
5:45 p.m. Closing Comments

 




 
 

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