讲座主题：Limited Participation and Equilibrium Pricing under Ambiguity of Correlation: The Continuous-Time Case

报告人：张顺明  中国人民大学财政金融学院教授

时间：2023年11月10日（星期五）10:00-11:30

地点：世界十大赌博正规信誉网大楼405教室

邀请部门：金融学系

主持人：汪冬华 教授

报告简介

In this paper, we examine limited participation and equilibrium pricing under ambiguity of correlation. In particular, we extend the one-period framework in Huang, Zhang and Zhu (2017) to continuous-time model in which we assume that the two risky assets follow Geometric Brownian Motion where a portion of the agents in the economy perceive the correlation of the risky assets as ambiguous. In this paper, we adopt HARA utility function from Karatzas, Lehoczky, Sethi, and Shreve (1986) to obtain demand function for sophisticated and naïve investors. Ambiguity of correlation generates four scenarios in the demand function. Under certain conditions, ambiguity-averse naïve investors rationally choose to limit participation so that they can avoid ambiguity of correlation. Their investment policy depends upon the parameters in stochastic differential equations for one riskless asset and two risky assets and is not time-varing (which is constant). Naïve investors trade both risky assets in the same direction as the sophisticated investors, but it is not necessarily true that they will hold more conservative positions.

报告人简介

张顺明，博士，中国人民大学财政金融学院教授、博士生导师，金融工程研究所所长，国家杰出青年基金获得者，入选国家高层次人才。近期专注不确定性的最新进展，研究暧昧性与资产定价。至今已经主持国家杰出青年基金、国家自然科学基金重点项目、国家社科基金重点项目以及国家自然科学基金面上项目等七项。在Journal of Development Economics，Journal of Financial Markets，Mathematical Finance，Journal of Banking and Finance以及《经济研究》、《管理科学学报》和《经济学(季刊)》等国际期刊发表100多篇学术论文。同时担任中国农业大学、福州大学、上海对外经贸大学以及新疆财经大学等国内多所高校特聘教授和讲座(客座)教授。