主題：Robustly Strategic Consumption-Portfolio Rules with Informational Frictions（信息摩擦情形下的穩健戰略性消費投資組合規則）

主講人：羅雨雷，香港大學經濟與金融學院經濟學副教授

日期：2015年11月18日（周三）

時間：下午2:00-3:30

地點：清華Betvictor中文版4号樓101教室

語言：英文

摘要：

This paper provides a tractable continuous-time constant-absolute-risk averse (CARA)-Gaussian framework to explore how the interactions of fundamental uncertainty, model uncertainty due to a preference for robustness (RB), and state uncertainty due to information-processing constraints(rational inattention or RI) affect strategic consumption-portfolio rules and precautionary savings in the presence of uninsurable labor income. Specifically, after solving the model explicitly, I compute and compare the elasticities of strategic asset allocation and precautionary savings to risk aversion, robustness, and inattention. Furthermore, for plausibly estimated and calibrated model parameters, I quantitatively analyze how the interactions of model uncertainty and state uncertainty affect the optimal share invested in the risky asset, and show that they can provide a potential explanation for the observed stockholding behavior of households with different education and income levels.

主講人簡介:

Yulei Luo is the Associate Professor in Economics at the School of Economics and Finance, the University of Hong Kong. Previously, he was also a Research Fellow at the Hong Kong Institute for Monetary Research. He received a Ph.D. in Economics from Princeton University in 2005. Professor Luo’s research interests include the macroeconomics, asset pricing and international finance. He has articles published in the Review of Economic Dynamics, the Macroeconomic Dynamics, the Journal of Money, Credit and Banking, the Journal of International Economics, and the Journal of Macroeconomics, among others.