QFAS Workshop

Presentation - Martijn de Vries
2025-04-15 11:00 - 12:00 (Europe/Amsterdam) | K 1203, Koopmans building, Warandelaan 2, Tilburg, Noord Brabant, 5037 AB, Netherlands
Speaker: Martijn de Vries, VU Amsterdam
Title: Beliefs and preferences during the life-cycle
Abstract: Consumption and saving over the life-cycle ideally reflect the pension member’s characteristics. However, a holistic perspective of preferences and beliefs of individuals regarding life-cycle decisions remains rather unknown. We field a survey in a representative sample of the Dutch population to quantitatively measure preferences and beliefs in multiple domains. Although there is heterogeneity, we find in the aggregate that risk and time preferences are domain dependent: individuals are more risk averse and more patient in the pension domain, compared to a standard lottery context. Additionally, individuals are loss averse and they distort probabilities, but this does not vary significantly across domains. Risk aversion correlates strongly with other preference parameters and with beliefs about future income. Finally, we find that age, income, and education are significant drivers for preference heterogeneity. Overall, our observations illustrate the importance of individual pension plans and show which characteristics are important for customized design.

Presentation - Marlene Koch
2025-04-29 11:00 - 12:00 | K 1203, Koopmans building, Warandelaan 2, Tilburg, Noord Brabant, 5037 AB, Netherlands
Speaker: Marlene Koch, Maastricht University
Title: Optimal portfolio choice under the presence of shared ownership schemes
Abstract: In this paper, we study government-subsidized shared ownership schemes in the UK that facilitate financially-constrained individuals’ housing market entry by allowing them to buy a share of the property they live in and pay rent for the share they do not own. Moreover, the shared ownership structure can be time-varying, i.e., individuals can adjust the share of the property they own. Using a rich and realistically calibrated life cycle model, we study the impact of access to such shared ownership schemes on individuals’ optimal consumption, savings, and housing decisions. We find that access to shared homeownership is most attractive to young, liquidity-constrained individuals who enter the housing market by buying small fractions of their property and old individuals who are in the process of decumulating their savings and are selling fractions of their property as they get older. Further, it leads to earlier housing market entry, later housing market exit, decreases individuals’ loan-to-value ratios, and reduces their moving activity at old age; all in comparison to a setting in which the individuals’ rent-versus-own decisions are binary.

Presentation - Julian Hölzermann
2025-05-13 11:00 - 12:00 | K 1203, Koopmans building, Warandelaan 2, Tilburg, Noord Brabant, 5037 AB, Netherlands
Speaker: Julian Hölzermann, University of Southern Denmark
Title: Portfolio Selection and Asset Pricing with Ambiguity: A Two-Stage Evaluation Approach
Abstract: This paper applies a two-stage evaluation procedure to study investors’ portfolio selection and asset pricing consequences in the presence of risk and ambiguity. The two-stage evaluation procedure represents investors’ attitudes towards risk and ambiguity. Investors optimally hold a combination of three funds: a risk-free, a solely risky, and a risky and ambiguous fund. In equilibrium, the risk premia on all assets are determined by their exposure to systemic risk and ambiguity. The results are straightforward to implement and test and well-suited for many types of applications. The results theoretically explain the asset allocation puzzle and the size effect.

Presentation - Javier Garcia and Henk Keffert
2025-05-27 11:00 - 12:00 | K 1203, Koopmans building, Warandelaan 2, Tilburg, Noord Brabant, 5037 AB, Netherlands
Speakers: Javier Garcia Gonzalez and Henk Keffert, Tilburg University
Title Javier: Lifecycle investing using housing to attain labor income exposure
Abstract: I study the possibilities that residential real estate investment brings to lifecycle portfolios. My model provides a framework to analyze the potential contributions of this asset class to pension fund portfolios. Moreover, it can rationalize the traditional role of housing, and not stocks, as the primary savings vehicle of households. Labor income is at the core of lifecycle models and house prices have been linked to average income through rents in the literature. On top of consuming housing services, people also consume many labor-intensive services with a cost that is closely related to the average labor income in their region, such as elderly care, health care or education. What makes investment in residential real estate attractive is thus the potential to hedge both housing and labor intensive services by exposing the portfolio to income changes.
Title Henk: Habit formation, income asymmetry, and the optimal design of partner pensions
Abstract: Partner pensions, the benefits paid to a surviving spouse after their partner’s death, play a crucial but often overlooked role in retirement planning for couples. Drops in disposable income can lead to substantial welfare losses, especially when one partner is financially dependent on the other. We develop a rich life-cycle investing model that incorporates habit formation and calibrate it using data on retired Dutch couples to analyse partner pension design. We find a trade-off in partner pension: couples with highly asymmetric income benefit from a larger partner pension, while for more symmetric couples it is optimal to have a lower partner pension. The ability to purchase life insurance at older ages is especially important for asymmetric couples to reduce welfare losses if there is insufficient partner pension. In the Netherlands, it is common practice to pay 70% of the deceased’s pension income to the survivor. Even in the most asymmetric cases, a 70% partner pension typically leads to an increase in consumption after the death of the breadwinner, suggesting that the 70% is rather high.
Important factors that influence the optimal partner pension for a couple are their preferences and the economic benefits of being in a couple. The more economical it is to be in a couple, the larger the partner pension should be to compensate not only for lower income but also the loss of the economies of scale benefit. The more risk averse the couple is or the stronger their degree of habit formation, the larger their aversion is to consumption drops and the larger the partner pension should be. Many European countries use a one-size-fits-all approach, which may seem restrictive. However, even in the most extreme scenarios we consider, the optimal one-size-fits-all solution only leads to a welfare loss of about 2%.
Joint work with: Anja De Waegenaere and Nikolaus Schweizer

Presentation - Koos Gubbels
2025-06-10 11:00 - 12:00 | K 1203, Koopmans building, Warandelaan 2, Tilburg, Noord Brabant, 5037 AB, Netherlands
Title: Regularized Spectral Dynamics for High-Dimensional Copulas
Abstract: We introduce spectral dynamics for high-dimensional, asymmetric, tail-dependent copulas in combination with non-linear shrinkage of the copula dependence matrix. Our new copula model is based on evolution and regularization equations for the eigenvalues of the copula correlation matrix in order to achieve a parsimonious dynamic structure combined with robust estimation in high dimensions. We compare the performance of our dynamic spectral copula model with recently proposed clustering-based dynamic factor copula models. In simulation studies, we find that our copula model is highly competitive when the cluster factor copula is the true model, and that it outperforms other copulas in more general situations. In our empirical application, we study the high-dimensional dynamics of the global financial market using 100 stocks from 10 different countries and 10 different industry sectors. In this heterogenous setting, restrictive group-based dependence structures perform sub-optimally, while the spectral method captures the primary geographic and industry related co-movements, leading to improved out-of-sample performance. The spectral dynamics also reveal that global financial markets undergo orthogonal contractions in times of financial crises, resulting in reduced diversification potential and increased global systemic risk.

Presentation - André Couder and Wassim Zaazaa
2025-09-02 11:00 - 12:00 | K 7 paviljoen, Koopmans building, Warandelaan 2, Tilburg, Noord Brabant, 5037 AB, Netherlands
Speaker: André Couder, Tilburg University
Title: Dynamic Optimal Consumption for an Agent with Reference-Dependent Preferences, a Study
Abstract: Empirical evidence challenges Life-Cycle theory in showing that agents smooth their consumption responses to shocks; a puzzle known as excess smoothness and excess sensitivity. To comply with these dynamics, early models have been complemented with behavioral features such as habit formation or hyperbolic discounting, causing excessive flexibility and loss of explanatory power.
The current work proposes a dynamic intra-period reference-dependence consumption model inspired by Prospect-Theory, that retains time additive preferences. In the model, the rational agent forms a stochastic consumption reference point for the current period before observing the price state in the economy. Importantly, the agent does not update her beliefs about the price of the representative good, which is stationarily distributed. This permits to separate the reference process of the intertemporal optimization.
The model captures smoothed out consumption responses to different types of wealth shocks; transitory, permanent, anticipated and unanticipated; by linking optimal consumption choices to the dynamic risk of binding constraints, which would push the reference point outside the feasible consumption set and evolve with income flow.
Although calibrations and empirical analysis remain to be done, early simulations hint that the model could reconcile Life-Cycle theory with the aforementioned empirical puzzles, without needing more ambitious behavioral assumptions.

Speaker: Wassim Zaazaa, Tilburg University
Title: Eliciting risk preferences: a comparative analysis of stochastic choice models
Abstract: I present a comparative analysis of five different stochastic choice models. These include four different versions of the random utility model (RUM) and the random parameter model (RPM). Using empirical data, I examine individual irrationality and assess how each model reacts to it. I argue that the `standard’ RUM (based on expected utility) performs worst in terms of providing reliable estimates. Determining the best model, however, depends on whether the user prioritizes reliability or likelihood fit. Furthermore, I find that the tendency for reflective thinking helps explain the extent to which individuals behave irrationally, with those demonstrating greater reflective thinking – and arguably higher cognitive ability – making more precise choices, in general.
In my simulation study, I find that all models systematically underestimate the true risk aversion level when the models’ i.i.d. assumption is violated. The assumption is violated by ruling out multiple switching behavior – a restriction that is often enforced in lottery choice tasks (see, e.g., Holt and Laury (2002), Andersen et al. (2008) and Garagnani (2023). The underestimation may lead to individuals appearing more risk-seeking than they truly are, leading to for example suboptimal (individual) investment decisions. I conclude by emphasizing the importance of carefully selecting lottery choice tasks for risk preference elicitation using stochastic choice models.

Presentation - Jonas Wogh
2025-09-16 11:00 - 12:00 | K 1203, Koopmans building, Warandelaan 2, Tilburg, Noord Brabant, 5037 AB, Netherlands
Speaker: Jonas Wogh, Maastricht University
Title: Welfare Effects of Subsidizing First-Time Homebuyers
Abstract: Countries around the world subsidize first-time homebuyers. We propose a novel sufficient statistics framework with indivisible housing consumption and tenure choice to analyze both the efficiency and equity implications of such policies. Based on a recent policy change in the Netherlands, which removed transfer taxes for young homebuyers, we estimate the necessary empirical parameters in a quasi-experimental setting using administrative data. We find that subsidizing starters significantly alters home purchase patterns but does not affect the long-term homeownership rate. We find little evidence for aggregate price increases.

Presentation - Javier Garcia Gonzalez
2025-09-30 11:00 - 12:00 | K 1203, Koopmans building, Warandelaan 2, Tilburg, Noord Brabant, 5037 AB, Netherlands
Speaker: Javier Garcia Gonzalez, Tilburg University
Title: Lifecycle investing when house prices are cointegrated with income
Abstract: This paper studies the possibilities that residential real estate investment brings to lifecycle portfolios by incorporating the long-run relationship between house prices and income into the model. Labor income is at the core of lifecycle models and a significant body of literature argues that income is cointegrated with house prices through rents. Under this hypothesis, residential real estate investment can be used to hedge aggregate-income changes on top of hedging rents. Aggregate-income is very much related to the cost of labor intensive services such as elderly care, health care or education, and these services together with housing can constitute a sizable portion of household budgets. What makes investment in real estate attractive is thus the potential to hedge both housing and labor intensive services by exposing the portfolio to income changes. Preliminary results can rationalize the traditional role of housing, and not stocks, as the primary savings vehicle of households.

Presentation - Matthias Linder and Shihao Zhu
2025-10-21 11:00 - 12:00 | K 1203, Koopmans building, Warandelaan 2, Tilburg, Noord Brabant, 5037 AB, Netherlands
Speaker 1: Matthias Linder, Leibniz University Hannover
Title: Elevating Trust in High-Stakes Decisions Using Glass-Box Models and Robust Feature Selection (Joint work with Judith Schneider and Brandon Schwab)
Abstract: We provide a unified framework that jointly leverages a robust selection procedure and a high-capacity, additive neural architecture in domains where transparency is crucial. We test this framework on a public and a large-scale proprietary insurance dataset. Our results prove that this approach allows the Neural Additive Model (NAM) to outperform traditional glass-box models in predictive accuracy and achieve superior economic outcomes in a competitive market simulation, establishing it as a robust and transparent alternative to black-box systems.

Speaker 2: Shihao Zhu, Ulm University
Title: Nonconcave Portfolio Choice under Smooth Ambiguity
Abstract: We study continuous-time portfolio choices with non-linear, option-style payoffs under smooth ambiguity and Bayesian learning. Our first contribution is a general non-concave dynamic asset allocation framework that admits arbitrary option-based payoffs and a wide class of utility functions and ambiguity attitude functions. We restore dynamic consistency via a robust representation that recasts the ambiguity-averse problem as an ambiguity-neutral one with distorted priors. This structure yields explicit trading rules by combining nonlinear filtering with the martingale approach and nests standard concave and linear-payoff benchmarks. As a leading application, delegated management with convex incentives shows that ambiguity aversion tilts beliefs toward pessimistic states, shrinks in-the-money regions, and lowers volatility through reduced risky exposure.

Presentation - Yannick Dillschneider
2025-10-28 11:00 - 12:00 | K 1203, Koopmans building, Warandelaan 2, Tilburg, Noord Brabant, 5037 AB, Netherlands
Speaker: Yannick Dillschneider, University of Amsterdam
Title: What can you really tell from option prices? (joint with Oleg Bondarenko, Paul Schneider, and Fabio Trojani)
Abstract: Option-implied risk-neutral moments are widely used throughout the asset pricing literature. In this paper, we characterize the information content of such option-implied moments, accounting for the market incompleteness inherent in empirical option markets. Our analysis relies on novel model-free bounds for a large class of risk-neutral moments built from a given option cross-section, which allow us to quantify the associated valuation uncertainty. We show that these bounds are infinite for almost all popular risk-neutral moments used in the literature, including the VIX, such that these moments cannot be reliably determined in practice. The lack of robustness in the specification of risk-neutral moments has effects that are profound both quantitatively and qualitatively, with ramifications for many well-known theories and empirical findings based upon them. As an alternative, we propose new robust moments and investigate their implications for the literature.

Presentation - Guanyu Jin
2025-11-18 11:00 - 12:00 | K 1206, Koopmans building, Warandelaan 2, Tilburg, Noord Brabant, 5037 AB, Netherlands

Presentation - Paulo Rodrigues
2025-11-25 11:00 - 12:00 | K 7 paviljoen, Koopmans building, Warandelaan 2, Tilburg, Noord Brabant, 5037 AB, Netherlands

Presentation - Djep Doreleijers and Okke Labout
2025-12-02 11:00 - 12:00 | K 1203, Koopmans building, Warandelaan 2, Tilburg, Noord Brabant, 5037 AB, Netherlands
