Prof Dr Peter Schotman (P.C.)
Research profile
Peter Schotman is Professor of Empirical Finance at the School of Business and Economics (SBE) of Maastricht University (UM) and research fellow of the Network for Studies on Pensions, Aging and Retirement (Netspar) in the Netherlands. He has published on many topics in pensions and financial econometrics. Most of his research is related to long-term savings and investments for retirement provision. Topics in this theme include interest rate models, portfolio management, model uncertainty, risk attitudes, financial regulation, risk models, and household decision making.
Key publications
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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_00624More information about this publication
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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/hhv131More information about this publication
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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.2014.1924More information about this publication
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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.2331More information about this publication
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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.xMore information about this publication
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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/rfn028More information about this publication
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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.2007.11.003More information about this publication
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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/More information about this publication
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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)00122-2More information about this publication
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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/10.1111/1468-0297.00661More information about this publication
Other publications
Working papers are available at SSRN.
See full CV voor a complete list of publications.