主题：Dynamic Asset Allocation
with hidden Volatility（包含隐藏波动的动态资产配置）
主讲人：Mark M. Westerfield，华盛顿大学福斯特商德州扑克大小
副教授
日期：2017年9月20日（周三）
时间：上午10:00-11:30
地点：德州扑克大小
金融德州扑克大小
4号楼102教室
语言：英文
摘要：
We
study a dynamic continuous-time principal-agent model with endogenous cash flow
volatility. The principal supplies the agent with capital for investment, but
the agent can misallocate capital for private benefit and has private control
over both the volatility of the project and the size of the investment. The
optimal contract can yield either overly-risky or overly-prudent project selection;
it can be implemented as a time varying cost of capital in the form of a hurdle
rate. Our model captures stylized facts about the use of hurdle rates in
capital budgeting and helps reconcile mixed empirical evidence on risk choice
and managerial compensation.
主讲人简介:
Mark
M. Westerfield is currently an Associate Professor at University of Washington.
Prior to joining University of Washington, Dr. Westerfield has held positions
as the Assistant Professor at University of Southern California. He received
his B.S. degree in Mathematics and BA in Physics from the University of Chicago,
and his Ph.D. degree in Economics from Massachusetts Institute of Technology. He
has published in the leading academic journals in the field such as Journal of Finance, Journal of Financial
Economics, Review of Financial Studies, and Management Science etc.
