主题：Cumulative
Prospect Theory and the Variance Premium（累积前景理论与方差风险溢价）
主讲人：Juan-Migule Londono-Yarce，美联储经济学家
日期：2015年9月16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：
Cumulative
Prospect Theory (CPT) can explain the variance premium puzzle. We solve an
equilibrium model with CPT investors and find that probability weighting plays
a key role in generating a substantial variance premium, while loss aversion
captures the equity premium. Using GMM on a sample of U.S. equity and
index-option returns between 1996 and 2010, our estimates probability
distortion parameter implies that real-world investors in option markets
distort probabilities significantly, but less so than subjects in lab
experiments. In a dynamic setting, probability weighting and time-varying
equity return volatility combine to match the observed time-series pattern of
the variance premium.
主讲人简介:
Juan-Miguel Londono-Yarce is the economist at
Global Capital Markets Section of Federal Reserve Board since 2011. Dr. Yarce
received a Ph.D. in Quantitative Finance from Basque Country University in
2009, and a Ph.D. in Business from Tilburg University in 2011. His current
research topics are stock and currency variance risk premiums and cumulative
prospect theory. His papers have appeared in Jounal of International Money and
Finance, Empirical Finance, International Review of Economics and Finance and
other leading journals.
