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Financial/Actuarial Mathematics Seminar

Robustness and Dynamic Sentiment
Wednesday, March 17, 2021
4:00-5:00 PM
Ask organizer Off Campus Location
Errors in survey expectations display waves of pessimism and optimism and significant sluggishness. This paper develops a novel theoretical framework of time-varying beliefs capturing these empirical facts. In our model, the dynamic beliefs arise endogenously due to agents' attitude toward alternative models. Decision-maker's distorted beliefs generate countercyclical risk aversion, procyclical portfolio weights, countercyclical equilibrium asset returns, and excess volatility. A calibrated version of our model is shown to match salient features in equity markets.
This is a joint work with Pascal Maenhout and Andrea Vedolin.

Paper: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3798445 Speaker(s): Hao Xing (Boston University)
Building: Off Campus Location
Location: Virtual
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Department of Mathematics, Financial/Actuarial Mathematics Seminar - Department of Mathematics