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會議活動
- 標題：CRETA Workshop on Risk Theory 01_ Professor W. Henry Chiu
- 公告日期：2012-11-27
台大計量理論與應用研究中心 (CRETA)，台大財務金融學系，台灣經濟計量學會，政大風險管理與保險學系與政大風險與保險研究中心很榮幸於 12 月 27 日 (四) 邀請到 Professor W. Henry Chiu (University of Manchester) 於 CRETA Workshop on Risk Theory 01 進行專題演講。
講者簡介：
Professor Chiu 是風險理論與風險管理的頂尖學者，其論文曾多次發表於頂尖期刊，例如：Management Science和 Journal of Political Economy。Professor Chiu 目前也是 Management Science 期刊的 Associate Editor。
演講主題：
Optimal Risk Management Decisions, Dependent Risk, and Risk Aversion in a General Two-Parameter Model
演講大綱：
As increasingly recognized in the literature, given incomplete asset markets, individuals typically make risk management decisions such as portfolio and insurance choices in the presence of uninsurable background risk, and they tend not to view the endogenous and background risks as independent or uncorrelated. It has been demonstrated that with correlated endogenous and background risks, well-known results on risk management decisions can be overturned. Nevertheless, existing comparative statics and comparative risk aversion results are typically derived assuming the absence of correlated background risk. Furthermore, while there are recent advances in characterizing optimal decisions in the presence of correlated background risk, they are made assuming the Expected Utility framework despite its well-documented violations. In the first part of this lecture, we show that given the linear two-risk structure of the decision-under-risk problems for which characterizations of optimal decisions and comparative statics/risk aversion results exist, under appropriate conditions on the correlation between the endogenous and background risks, general characterizations of optimal decisions as well as comparative statics/risk aversion results can be obtained using a two-parameter framework assuming only utility-representable preferences over distributions.
The second part of this lecture focuses on the particular problem of optimal hedging and its relation with risk aversion. While hedging using the likes of futures contracts is seen as a risk-mitigating activity akin to insurance purchasing, it has been shown that a more risk-averse hedger may not hedge more if the settlement price is not perfectly correlated with the future spot price. We first identify in this part of the lecture a necessary and sufficient condition on the correlation between the settlement and future spot prices for a deviation in hedging ratio from the minimum-variance ratio to induce a mean-preserving spread in the hedger''s final wealth. In our general two-parameter framework this entails a necessary and sufficient condition for the optimality of the minimum-variance hedging ratio given unbiased futures prices for all risk-averse utility-representable preferences, and for the optimal hedging ratio to be higher than the minimum-variance ratio if the futures price is higher than the expected future spot price. The condition on the settlement and spot prices is then shown to be also necessary and sufficient for a more risk averse hedger to choose a higher (lower) hedging ratio if the futures price is lower (higher) than the expected future spot price.
演講地點為台大管理學院一號館 2F 冠德講堂，歡迎大家踴躍報名參加。欲參加者，請於 12 月 21 日(五) 中午前至 CRETA 網站線上報名有關更多演講資訊，請至 CRETA 網站: http://www.creta.org.tw/events/view/57
- 附件檔案：
- 參考連結：http://www.creta.org.tw/events/view/57
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- 最後修改時間：2012-11-27 PM 2:59
