报告题目:Ignorance, Unknown Income Growth, and Strategic Asset Allocation

报 告 人:Yulei Luo (Associate Professor, School of Economics and Finance, The University of Hong Kong)

时      间:2017年5月10日(周三)下午16:00-17:30 

地      点:岭南堂汪道涵会议室

语      言:英文+中文

 

摘要: 

This paper studies how model uncertainty due to a preference for robustness (RB) affects strategic consumption-portfolio rules and precautionary savings in a continuous-time recursive utility model in which the growth of uninsurable labor income is unknown. Specifically, after solving the model explicitly, we explore how induced uncertainty due to different types of ignorance, parameter and model uncertainty, have distinct impacts on strategic asset allocation and precautionary savings. Furthermore, for plausibly estimated and calibrated model parameters, we quantitatively analyze how the interactions of parameter and model uncertainty affect the optimal share invested in the risky asset, and show that they can provide a potential explanation for the observed stockholding behavior of households with different education levels. This talk is based on joint papers with Jun Nie and Haijun Wang.

 

报告人简介:/UploadFiles/xsbg/2017/5/201705030934223664.pdf

Homepage:http://www.sef.hku.hk/~yluo