主题：Robustly Strategic Consumption-Portfolio Rules
with Informational Frictions（信息摩擦情形下的稳健战略性消费投资组合规则）
主讲人：罗雨雷，香港大学经济与金融德州扑克大小
经济学副教授
日期：2015年11月18日（周三）
时间：下午2:00-3:30
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
This paper
provides a tractable continuous-time constant-absolute-risk averse
(CARA)-Gaussian framework to explore how the interactions of fundamental
uncertainty, model uncertainty due to a preference for robustness (RB), and
state uncertainty due to information-processing constraints(rational
inattention or RI) affect strategic consumption-portfolio rules and
precautionary savings in the presence of uninsurable labor income.
Specifically, after solving the model explicitly, I compute and compare the elasticities
of strategic asset allocation and precautionary savings to risk aversion,
robustness, and inattention. Furthermore, for plausibly estimated and
calibrated model parameters, I quantitatively analyze how the interactions of
model uncertainty and state 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 and
income levels.
主讲人简介:
Yulei Luo is the Associate
Professor in Economics at the School of Economics and Finance, the University
of Hong Kong. Previously, he was also a Research Fellow at the Hong Kong
Institute for Monetary Research. He received a Ph.D. in Economics from
Princeton University in 2005. Professor Luo’s research interests include the macroeconomics,
asset pricing and international finance. He has articles published in the Review of Economic Dynamics, the Macroeconomic Dynamics, the Journal of Money, Credit and Banking,
the Journal of International Economics,
and the Journal of Macroeconomics,
among others.
