| 主讲人简介： | 中国人民大学财政金融学院教授。2008年09月国家杰出青年科学基金获得者，2009年08月教育部高等学校科学研究优秀成果奖(人文社会科学)经济学三等奖，2010年03月教育部直属高等学校2009年“新世纪百千万人才工程”国家级人选。现任中国系统工程学会理事兼系统理论专业委员会委员、中国运筹学会金融工程与金融风险管理分会常务理事、中国交叉科学学会金融量化分析与计算专业委员会副主任、《经济数学》编辑委员会委员、宁波金融量化分析与计算研究中心学术顾问委员会委员、陕西省数量经济研究中心学术委员会委员兼高级研究员。
张顺明教授主要从事经济学与金融学的教学与研究，在数理经济学、金融经济学、经济理论和经济政策等方面颇有学术贡献，在国际专业期刊权威杂志发表论文30多篇，发表论文的杂志包括Journal of Mathematical Economics (1996), Asia-Pacific Journal of Operational Research (1998), Mathematical Finance (2002), Journal of Global Optimization (2004), International Journal of Information Technology and Decision Making (2004, 2006, 2011), Economics Letters (2005), |
| 讲座简介： | We argue that ambiguous correlation between asset payoffs plays an important role in the occurrence of `flight-to-quality', which in turn leads to portfolio under-diversification. In this paper, we consider a multi-asset economy with four types of investors who have heterogeneous beliefs on correlation coefficient, and the ambiguity-averse traders make their decisions in a Maxmin Expected Utility framework. A unique general equilibrium presents in four scenarios according to size of dispersion measure. We define a measure to gauge the degree of portfolio under-diversification, with which we show that correlation ambiguity will drive less-inside investors to hold an undiversified portfolio if correlation coefficient is negative, while when a positive correlation prevails in the economy, the less-informed the investors, the more likely that they hold a fully diversified portfolio. We finally do a CAPM analysis in this paper, the results indicate that high-quality risky assets are generally over-priced and vice versa. |
