敬邀參加 CRETA Workshop on Risk Theory 03_Prof. W. Henry Chiu (12 月 27 日)
國立臺灣大學計量理論與應用研究中心 (CRETA)、國立臺灣大學財務金融學系、國立政治大學商學院風險與保險研究中心及臺灣經濟計量學會 (TES) 於12 月 25 日 (三) 至 12 月 28日 (六) 很榮幸再次邀請到 Professor W. Henry Chiu (University of Manchester) 至本中心訪問，並於 CRETA Workshop on Risk Theory 03 進行專題演講。
*日期：2013 年 12 月 27 日 (五) 下午 1:30~17:20
*地點：國立臺灣大學管理學院一號館 2 樓冠德講堂 (台北市羅斯福路四段1號)
*演講主題：Correlation-Increasing Marginal Risk Increases and Financial Risk Taking in the Presence of Non-Financial Background Risks
Professor Chiu is currently Senior Lecturer of Economics at University of Manchester and also an Associate Editor of Management Science. Professor Chiu’s research interests focus on the Risk Theory and Risk Management. His research articles have been published in several prestigious journals, such as Management Science and Journal of Political Economy.
Economic decision making under uncertainty often takes place in settings where choices about endogenous risks must be made while simultaneously facing one or more exogenous background risks that are not under the control of the decision maker and that can potentially be correlated with the endogenous risks. While considerable effort has been devoted to characterizing in the Expected Utility (EU) framework the conditions on the utility function under which changes in financial background risks that are independent of the endogenous risk have a definitive effect on risk aversion, existing results on how non-financial background risks (such as health) affect financial risk taking are limited in scope and generality. In particular, the prominent literature on multivariate stochastic dominance notwithstanding, little is known about the characteristics of the overall risk change induced by taking a financial risk in the presence of potentially correlated non-financial background risks. As a result, there has been no characterization of a decision maker’s attitudes towards such risk changes that determine her optimal economic decisions.
In this lecture, we show that taking a zero-mean financial risk in the presence of a non-financial risk that is correlated with the financial risk in the sense of positive expectation dependence induces a bivariate stochastic deterioration, which we term “correlation-increasing marginal risk increase”. As well as identifying the necessary and sufficient condition on the distributions for such a stochastic deterioration, we show that it can always be decomposed into an increase in correlation and a marginal mean-preserving spread, and is disliked by all EU maximizers who are correlation-averse and marginal risk averse (i.e., with a utility function concave in wealth). We further characterize a measure of aversion to correlation-increasing marginal risk increase and the concept of decreasing aversion to correlation-increasing marginal risk increase and demonstrate their behavioral implications in the contexts of insurance purchasing and portfolio selection.
15:30-15:50: Tea Break
15:50-17:20: Students’ Presentation
a. Christine Wang, “A Portfolio Optimality Test Based on the Almost First Order Stochastic Dominance”
b. Yi-Chieh Huang, “Comparative Ambiguity Aversion and Downside Ambi- guity Aversion”
c. Eugene Huang, “Managerial Motivation When Effort Improves Higher Order Risk”
歡迎大家踴躍報名參加。欲參加者，請於 12 月 20 日 (五) 中午前至 CRETA 網站線上報名 http://www.creta.org.tw/events/view/67 。國立臺灣大學在學學生及現任教職員和臺灣經濟計量學會會員和臺灣風險與保險學會會員為免費參加，其他參加者報名費為 NT$600，活動當天亦開放現場繳交臺灣經濟計量學會 103 年度會費。