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877期 4月10日 :An Intrinsic Theory of Information Acquisition: Application to Dynamic Portfolio Choice, Asset Pricing and Information Recovery(Raymond Leung, 助教授,长江商学院)

【主讲】Raymond Leung (助教授,长江商学院)

【主题】An Intrinsic Theory of Information Acquisition: Application to Dynamic Portfolio Choice, Asset Pricing and Information Recovery

【时间】2018年4月10日 (周二) 15:30-17:00

【地点】上海财经大学经济学院楼402室

【语言】英文

【摘要】We introduce an intrinsic geometric framework to model the optimal path of information acquisition. Agents’ utility maximizing actions are naturally dependent on the path on which they acquire information. By an intrinsic framework we mean to focus purely on the geometry of information acquisition that is invariant to arbitrary parameterization and information measurement by an outside econometrician. Intrinsic curvature of the information manifold is the key driver of our framework: curvature relates to the marginal cost of information acquisition that is averaged across all possible information acquisition directions. In a finance application, our geometric framework leads to canonical definitions of velocity, acceleration, curvature and torsion of portfolio holdings and equilibrium returns of risky assets. To demonstrate the empirical applicability potential of our framework, we show that “return absolute curvature” is a significant explanatory variable of VIX. Our geometric framework also provides a method for information recovery: upon observing a trajectory of portfolio holdings by an econometrician, we can geometrically infer the mean-variance information used by the portfolio manager. Finally, our framework is general: essentially all expected utility maximization problems based on parameterized random variables are applicable.

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