1023期 10月14日:Trading ambiguous risk in financial markets(Sujoy Mukerji,教授,伦敦玛丽女王大学)

时间:2019-10-08

【主题】Trading ambiguous risk in financial markets
【报告人】Sujoy Mukerji(教授,伦敦玛丽女王大学)
【时间】10月14日(星期一) 13:30-15:00
【地点】经济学院楼701室
【语言】英文
【摘要】We consider financial markets with heterogeneously ambiguous assets and heterogeneously ambiguity averse investors. Investors' preferences, a version of the smooth ambiguity model, are a parsimonious extension of the standard mean-variance framework. We consider, in a unified setting, portfolio choice, equilibrium prices, and trade upon arrival of public information, and show, in each case, there are  departures from the outcome in standard theory. These departures are of significance as they occur in the direction of empirical regularities that belie the standard theory.
In particular, our theory speaks to several puzzling phenomena in a unified fashion: the asset allocation puzzle, the size and value premia, the empirical security market line being flatter than the one predicted by the CAPM, and the observation that earnings announcements are often followed by significant trading volume with small price change.
【讲员简介】Sujoy Mukerji did his undergraduate studies in Presidency College, Calcutta, before going on to do an MA (Economics) at the Delhi School of Economics and a PhD at Yale University. He came to Queen Mary from Oxford University (University College).
His research has primarily been on decision making under ambiguity, its foundations and its relevance in economic contexts. His broader research interests lie in the intersection of bounded rationality and economic theory.
With co-authors Peter Klibanoff and Massimo Marinacci, Sujoy has worked on formulating a new model of decision making under ambiguity, dubbed the Smooth Ambiguity Model which is more comprehensive than the first-generation models and allows the modeller to address a far greater range of important comparative static questions, e.g., effect of changes in ambiguity aversion. More recent work, with Ian Jewitt, has proposed and characterized notions of more ambiguous (akin to more risky) which adds another dimension of available comparative static possibilities.
His current projects include work on incorporating ambiguity into a general framework of dynamic games with incomplete information and applying the framework in economic contexts. Some other projects involve analysis of portfolio holdings and trade in financial markets when market participants have heterogeneous attitudes to ambiguity. He has also recently worked on experimental investigation of decision theoretic models of ambiguity.

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