具有模糊与学习的金融不确定性-刘赫宁 (曼彻斯特大学)

主  题:Financial Uncertainty with Ambiguity and Learning

内容简介:We examine a production-based asset pricing model with regime-switching productivity growth, learning and ambiguity. Both mean and volatility of the growth rate of productivity are assumed to follow a Markov chain with an unobservable state. The agent's preferences are characterized by the generalized recursive smooth ambiguity utility function.

Our calibrated benchmark model with modest risk aversion can match moments of the variance risk premium in the data and reconcile empirical relations between the risk-neutral variance and macroeconomic quantities and their volatilities respectively.

We show that the interplay between productivity volatility risk and ambiguity aversion is important for pricing variance risk in returns.

报告人:刘赫宁      教授

时  间:2019-04-09    14:00

地  点:位育楼117

举办单位:金融学院  科研部  经济与金融研究院


责任编辑: 科研处
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