Prof Dr Peter Schotman (P.C.)
Key publicaties
-
Osterrieder, D., & Schotman, P. (2017). The Volatility of Long-Term Bond Returns: Persistent Interest Shocks and Time-Varying Risk Premiums . Review of Economics and Statistics, 99(5), 884-895. https://doi.org/10.1162/REST_a_00624Meer informative over deze publicatie
-
Cosemans, M., Frehen, R., Schotman, P., & Bauer, R. (2016). Estimating Security Betas Using Prior Information Based on Firm Fundamentals. Review of Financial Studies, 29(4), 1072-1112. https://doi.org/10.1093/rfs/hhv131Meer informative over deze publicatie
-
Diris, B. F., Palm, F. C., & Schotman, P. C. (2015). Long-term strategic asset allocation: An out-of-sample evaluation. Management Science, 61(9), 2185-2202. https://doi.org/10.1287/mnsc.2014.1924Meer informative over deze publicatie
-
Hoevenaars, R. P. P. M., Molenaar, R. D. J., Schotman, P. C., & Steenkamp, T. B. M. (2014). Strategic asset allocation for long-term investors: Parameter uncertainty and prior information. Journal of Applied Econometrics, 29(3), 353-376. https://doi.org/10.1002/jae.2331Meer informative over deze publicatie
-
Bauer, R. M. M. J., Cosemans, M. M. J. E., & Schotman, P. C. (2010). Conditional Asset Pricing and Stock Market Anomalies in Europe. European Financial Management, 16(2), 165-190. https://doi.org/10.1111/j.1468-036X.2008.00453.xMeer informative over deze publicatie
-
Lutgens, F. J. W., & Schotman, P. C. (2010). Robust Portfolio Optimisation with Multiple Experts. Review of Finance, 14(2), 343-383. https://doi.org/10.1093/rof/rfn028Meer informative over deze publicatie
-
Hoevenaars, R. P. P. M., Molenaar, R. D. J., Schotman, P. C., & Steenkamp, T. B. M. (2008). Strategic Asset Allocatoin with Liabilities: Beyond Stocks and Bonds. Journal of Economic Dynamics & Control, 32(9), 2939-2970. https://doi.org/10.1016/j.jedc.2007.11.003Meer informative over deze publicatie
-
Budek, J., Schotman, P. C., & Tschernig, R. J. V. (2006). Long memory and the term structure of risk. Netspar. Netspar Discussion Paper No. 02 https://www.netspar.nl/publicatie/long-memory-and-the-term-structure-of-risk/Meer informative over deze publicatie
-
Bams, W. F. M., & Schotman, P. C. (2003). Direct Estimation of the risk neutral factor dynamics of Gaussian term structure models. Journal of Econometrics, (117), 179-206. https://doi.org/10.1016/S0304-4076(03)00122-2Meer informative over deze publicatie
-
Schotman, P. C., & Beetsma, R. (2001). Measuring Risk Attitudes in a Natural Experiment: Data from the Television Game Show LINGO. The Economic Journal, 111, 821-848. https://doi.org/10.1111/1468-0297.00661Meer informative over deze publicatie
Overige publicaties
Working papers zijn beschikbaar op SSRN.
Zie CV voor volledige lijst publicaties.