Cambridge Finance Workshop Series are usually held on Thursdays during term time. The workshops are an opportunity for those working in finance to present their latest results or papers.
Chiaki Hara (Kyoto University)
Title: Comparative Ambiguity Aversion for Smooth Utility Functions
Abstract] When a twice differentiable utility function represents an
ambiguity-averse preference relation over the set of acts on monetary
consequences, we define a measure of ambiguity aversion. The measure is
determined by the Hessian of the utility function and the subjective
probability derived from it, and allows us to compare two decision
makers' measure of ambiguity aversion even when they have different risk
attitudes and utility functions of forms that have been characterized by
different axioms in the literature. Implications on the numerical
analysis on portfolio
BIO
Chiaki Hara obtained a B.A. on 1987 and an M.A. on 1989, both in
economics, from Hitotsubashi University (Tokyo, Japan), and a Ph.D. in
economics on 1993 from Harvard University (Massachusetts, U.S.A.). He
was a University Lecturer at the Faculty of Economics and Politics (as
so called back then) at the University of Cambridge from 1995 to 2004
and also a Fellow at Churchill College. He has since been at the
Institute of Economic Research at Kyoto University (Kyoto, Japan). He
has been working on microeconomic theory and its applications to asset
pricing and portfolio selection. He has published papers in Journal of
Economic Theory, Journal of Mathematical Economics, Econometrica,
Mathematics and Financial Economics, and Social Choice and Welfare. His
current interest is mainly on Knightian uncertainty in financial markets
and exploration of dynamic stochastic cooperative game theory.