【 SUIBE思源金融讲坛——学术报告第47期 】：Limited Participation and Asset Allocation under Ambiguity of Correlation

上海对外经贸大学思源金融讲坛

——学术报告第47期

题目：Limited Participation and Asset Allocation under Ambiguity of Correlation  

报告人：黄慧 （加）里贾纳大学商学院

时间：2017年10月20日下午2: 00 -4: 00

地点：博萃楼4楼阳光房

论文摘要

This paper investigates the implication of correlation ambiguity and limited participation under market equilibrium. In our model there are three types of investors: inside, sophisticated, and naive investors. The individual decision making incorporates both risk and ambiguity. Ambiguous (include both sophisticated and naive) investors trade in the same direction as inside investors, while, naive investors trade in the same direction as sophisticated investors. We demonstrate that limited participation arises from the rational decision by ambiguous investors to avoid ambiguity and, surprisingly, investors with less ambiguous information do not hold larger positions on risky assets. Changes in the ambiguity level for ambiguous investors and the fraction of three types of investors can alter equilibrium types and affect equilibrium prices.

报告人简介

黄慧，加拿大里贾纳大学（University of Regina）商学院金融学副教授(终身教职)。清华大学经济管理学院金融学学士，加拿大西安大略大学经济学系金融经济学硕士、博士学位。曾任新西兰惠灵顿维多利亚大学经济金融学院助理教授，加拿大滑铁卢大学经济学系助理教授。研究领域：市场微观结构、行为金融、公司金融、金融经济学等。多篇论文发表在金融学和经济学杂志Journal of Financial Markets, Journal of Banking and Finance, Economic Theory, Economics Letters等。主持加拿大国家级社会科学与人文科学研究基金项目(SSHRC)1项，参加国家自然科学基金项目4项。