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）
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.