學術研究

(webinar) Incentive Constrained Risk Sharing, Segmentation, and Asset Pricing

日期 2020-11-03 (週二)
時間 10:00 AM
地點 Conference Room C103
主持人 Hong Kong Baptist University
演講者 Professor Pierre-Olivier Weill
演講者簡介 Professor Weill received his Ph.D. in Economics from Stanford University in 2004. He is currently a Professor of Economics at University of California Los Angeles. His research fields are Finance, Macroeconomics, and Monetary Economics.
摘要 Incentive problems make securities’ payoffs imperfectly pledgeable. This limits agents’ ability to issue liabilities. We analyze the general equilibrium consequences of such endogenous incompleteness in a dynamic exchange economy. Because markets are endogenously incomplete, agents have different intertemporal marginal rates of substitution in equilibrium, so that they value assets differently. Consequently, agents hold different portfolios. This leads to endogenous markets segmentation, which we characterize relying on Optimal Transport methods. Moreover, there is a basis going always in the same direction: the price of any security is lower than that of any replicating portfolio. Finally, in line with empirical evidence, equilibrium expected returns are concave in factor loadings.