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Value-at-risk under ambiguity aversion

Financial Innovation 2018年第1期4卷 161-174页

作者： Rossella Agliardi Department of Mathematics University of BolognaViale Filopanti5BolognaItaly

This study explored the effects of ambiguity on the calculation of Value-at-Risk(VaR)using a mathematical model based on the theory of Choquet-Brownian processes.It was found that while a moderate degree of ambiguity aversion yields a higher value for VaR and Expected Shortfall(ES),the result can be reversed in a deeply ambiguous environment.Additionally,some sufficient conditions are provided for the preservation of this effect under various forms of risk aggregation.This study offers a new perspective to full awareness on capital requirement calculation as requested by international regulation.

关键词： Choquet-Brownian motion Risk measures ambiguity aversion

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Correlation ambiguity,listing choice,and market microstructure

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Journal of Management Science and Engineering 2022年第1期7卷 67-97页

作者： Junyong He Helen Hui Huang Shunming Zhang School of Economics Beijing International Studies UniversityBeijing100024China Faculty of Business Administration University of ReginaReginaSKS4S 0A2Canada School of Finance Renmin University of ChinaBeijing100872China

This paper investigates the implication of correlation ambiguity to investor behavior,asset pricing and issuers'listing choices from a market microstructure perspective.We introduce two markets to a multi-asset model:Market A is transparent and Market B is opaque,or Market A with low and Market B with high ambiguity perceived by investors.Each firm can choose only a unique market to list its stock.Due to ambiguity aversion,a naïve investor's demand function demonstrates piecewise linear.Such trading behavior may lead to different equilibria and hence different market-clearing prices for each listing outcome.Rational entrepreneurs make optimal listing decisions depending on asset prices in alternative markets.We further demonstrate that a crafted design of specific features of the microstructure,such as listing standards and disclosure requirements,can effectively reduce the perceived ambiguity and induce more naïve investors'participation to improve market liquidity,maintain greater volume,and lower the cost of capital,so as to attract more new listings.

关键词： ambiguity aversion General equilibrium Listing cost Market transparency Disclosure requirement

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Uncertainty aversion and farmers' innovative seed adoption:Evidence from a field experiment in rural China

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Journal of Integrative Agriculture 2023年第6期22卷 1928-1944页

作者： WU Hai-xia SONG Yan YU Le-shan GE Yan Institute of Agricultural Resources and Regional Planning Chinese Academy of Agricultural SciencesBeijing 100081P.R.China Sino-Danish College University of Chinese Academy of SciencesBeijing 101408P.R.China School of Public Policy and Management University of Chinese Academy of SciencesBeijing 100040P.R.China International Business School Shaanxi Normal UniversityXi’an 710100P.R.China School of Public Finance and Taxation Central University of Finance and EconomicsBeijing 100081P.R.China

Based on the microdata of 705 wheat farmers in the Loess Plateau, this study empirically analyzes the impact of uncertainty on farmers' adoption of innovative seeds using a field experiment. The results indicate that farmers are generally ambiguity-averse and risk-averse. In addition, farmers with higher ambiguity aversion and risk aversion are less likely to adopt innovative wheat seeds, where their risk aversion plays a dominant role. Enhancing information access will alleviate the negative influence of ambiguity aversion on farmers' adoption of innovative seeds, and interlinked insurance and credit contracts will be beneficial to ease the adverse effect of risk aversion on the adoption of innovative wheat seeds. Meanwhile, heterogeneity analysis reveals that the inhibitory effects of ambiguity aversion and risk aversion on innovative seed adoption are more significant among farmers with lower education and household income.The government can establish both ex-ante and ex-post relevant guarantee mechanisms to help farmers preferably cope with various uncertainties in the production process, remitting farmers' ambiguity aversion and risk aversion to enhance new agricultural technology adoption rates.

关键词： ambiguity aversion risk aversion technology adoption field experiment

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Correlation uncertainty, limited participation, and flight to quality

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Journal of Management Science and Engineering 2023年第1期8卷 83-127页

作者： Helen Hui Huang Yanjie Wang Shunming Zhang Faculty of Business Administration University of ReginaReginaSKS4S 0A2Canada School of Finance Southwestern University of Finance and EconomicsChengdu611130China School of Finance and China Financial Policy Research Center Renmin University of ChinaBeijing100872China

This study extends the multi-asset model of Huang et al.(2017),who examine only two types of investors,by adding a new investor type with partial information on the correlation coefficient and re-explores the limited participation phenomenon under correlation ambiguity.We investigate whether asset allocations depend on incomplete information under market equilibrium—specifically,whether investors with less information might hold greater equilibrium positions than investors with more information.We find that,as the true correlation coefficient(and the maximum correlation coefficient for ambiguity-averse investors)increases and asset quality increases,investors with less information escape from low-to high-quality assets,thus exhibiting a flight-to-quality trading pattern in equilibrium.

关键词： Correlation ambiguity ambiguity aversion Limited participation Flight to quality CAPM analysis

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The Stochastic Cash Balance Problem with Fixed Costs: The Risk-averse Case

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Journal of Systems Science and Information 2014年第6期2卷 520-531页

作者： Shuren LIU Pei TANG Xiangtan University School of Mathematics and Computational Science

This paper discusses multi-period stochastic cash balance problem with fixed costs when the decision maker is risk averse. By using the consumption model introduced by Chen et al, we characterize the structure of the optimal policy for the stochastic cash balance problem under the general increasing concave utility function and exponential utility function, respectively. We show that the structure of the optimal policy for a decision maker with exponential utility function is almost identical to the structure of the optimal risk-neutral operations policy. Furthermore, we extend the results for the exponential utility function to the ambiguity aversion case.

关键词： stochastic cash balance problem risk aversion ambiguity aversion stochastic dynamic programming

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