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美联储经济学家Juan-Miguel Londono-Yarce学术研讨会:累积前景理论与方差风险溢价

时间: 2015-09-16 16:50 来源: 作者: 字号: 打印

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

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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.