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Cambridge Finance

 

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.

Date: 
Thursday, 15 October, 2020 - 13:00 to 14:00
Contact name: 
Kat Tali
Contact email: 
Subject: 
Event location: 
Online
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