题目： Limited Participation and Asset Allocation under Ambiguity of Correlation

相关系数暧昧环境下有限参与与资产配置

主讲人：张顺明教授，中国人民大学

主持人：范英教授

时间： 2018年3月30日14:00-16:00

地点： 凯时KB88新主楼A座618

摘要：

This paper investigates the implication of correlation ambiguity for investors' decision making and limited participation under market equilibrium. In our multi-asset model with inside, sophisticated, naive, and noise investors, individual decision making incorporates both risk and ambiguity. Sophisticated and naive investors trade in the same direction as inside investors, while naive investors trade in the same direction as sophisticated investors. Furthermore, noise investors trade in the same direction as sophisticated and naive investors. We demonstrate that limited participation arises from the rational decision by sophisticated and naive and noise investors to avoid correlation ambiguity. Comparative static analysis of the equilibrium result suggests that changes in the ambiguity level for sophisticated and naive investors and the fraction of four types of investors can alter equilibrium types and affect equilibrium prices. We also observe flight to quality phenomenon. Under equilibrium, the investors with less information could trade more intensively than the investors with more information in one of the risky assets.

本文研究了在市场均衡下投资者决策与有限参与间相关系数暧昧性的含义。在我们的多资产模型中，内幕、成熟、天真和噪音四种类型的投资者，其个人决策既有风险又具有暧昧性。成熟和天真的投资者与内幕投资者的交易方向保持一致，同时天真投资者与成熟投资者的交易方向相同。此外，噪音投资者也与成熟和天真的投资者的交易方向相同。我们证明，有限参与是由成熟、天真和噪音的投资者的理性决策所引起的，用以避免相关系数的暧昧性。均衡结果的静态比较分析表明，成熟和天真的投资者的暧昧性水平变化和四种类型投资者所占比例可以改变均衡类型并影响均衡价格。我们同时也观察到逃往质量现象的影响。在均衡状态下，获得信息较少的投资者比获得信息较多的投资者在风险资产中交易更为集中。

主讲人简介：

Shunming ZHANG is a professor at The School of Finance of Renmin University of China, the Winner of National Outstanding Young Science Fund and the Distinguished Professor of Yangtze River Scholar Award Program by Ministry of Education. He has hosted the key project of National Social Science Fund, The Impact of International Trade on China's Economic Growth, National Science Fund for Distinguished Young Scholars of Financial Decision Theory and Behavioral Finance Research, National Natural Science Fund Project of “Research on The Pricing Rules of the Market under the Condition of Private Information”, “ The Research on the View of Religious Interests, the Support to the Xinjiang’s Progress and Economic Stability in Xinjiang from the perspective of CGE” and “ Limited Participation and asymmetric information under Ambiguity of Correlation”. He is mainly engaged in the teaching and research on Economics and Finance, and has published more than 40 papers in the fields of mathematical economics, financial economics, economic theory and economic policy, including Journal of Mathematical Economics, Mathematical Finance, Journal of Mathematical Analysis and Applications, Journal of Development Economics, Economic Theory, European Journal of Operational Research, World Economy, Economic Modelling, Journal of Banking and Finance, Journal of Financial Markets (2017).

张顺明，中国人民大学财政金融学院教授，国家杰出青年科学基金获得者，教育部“长江学者奖励计划”特聘教授。主持过国家社会科学基金重点项目“国际贸易对中国经济增长的影响”、国家杰出青年科学基金“金融决策理论与行为金融研究”、国家自然科学基金面上项目“私有内部信息条件下的两阶段做市定价规则研究”、国家自然科学基金面上项目“宗教利息观、对口援疆与新疆经济稳定发展的研究—基于CGE视角”和 “相关系数暧昧环境下有限参与与不对称信息”。主要从事经济学与金融学的教学与研究，在数理经济学、金融经济学、经济理论和经济政策等方面发表论文40多篇，发表论文的杂志包括Journal of Mathematical Economics, Mathematical Finance, Journal of Mathematical Analysis and Applications, Journal of Development Economics, Economic Theory, European Journal of Operational Research, World Economy, Economic Modelling, Journal of Banking and Finance, Journal of Financial Markets (2017)等。