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张顺明教授学术报告:Limited Participation and Asset Allocation on Information Disclosure under Ambiguity of ..

发布时间:2018-12-17     来源:    点击数:

报告题目:LimitedParticipation and Asset Allocation on Information Disclosure under Ambiguity ofCorrelation

报 告 人:张顺明教授(中国人民大学)

报告时间:20181210日上午10:00-11:00

报告地点:知新楼B-1238

 

报告摘要:

This paperinvestigates the implication of correlation ambiguity for investors' decisionmaking and limited participation under market equilibrium. In our multi-assetmodel with inside, sophisticated, naive, and noise investors, individualdecision making incorporates both risk and ambiguity. The investors with lessinformation trade in the same direction as the investors with more information.We demonstrate that limited participation arises from the rational decision bysophisticated and naive and noise investors to avoid correlation ambiguity. Weobserve flight to quality phenomenon. Under equilibrium, the investors withless information could trade more intensively than the investors with moreinformation in one of the risky assets.

 

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