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ICEF/LFE Research Seminar by Kieran J. Walsh (University of Virginia)

Event ended
On Thursday, December 10 at 4.40 pm ICEF and LFE held the Research Seminar in Finance.
Speaker: Kieran J. Walsh (University of Virginia)
Theme: "A Theory of Portfolio Choice and Partial Default"

On
Thursday, December 10 at 4.40 pm International College of Economics and Finance and International Laboratory of Financial Economics will hold the Research Seminar in Finance.
Speaker: Kieran J. Walsh (University of Virginia)
Theme: "A Theory of Portfolio Choice and Partial Default"
Venue: Shabolovka st., 26, room 3211

AbstractI develop a portfolio choice model that accommodates partial default and trade in a rich set of assets. I characterize the solution to an infinite horizon, consumption/portfolio problem with Markov shocks, many assets, and a continuous state variable (the default limit). This facilitates a solution algorithm and allows me to establish properties of the model, such as how default responds to shocks. I define Recursive Default Equilibrium, which extends Dubey, Geanakoplos, and Shubik (2005) to include an infinite number of time periods and many assets. I prove existence for a tremble-refined equilibrium and discuss international finance applications.

Everyone interested is welcome to attend!

Pass can be ordered by:
Phone: (495)772-95-90*26090
e-mail: vzheleznov@hse.ru
contact: Zheleznov Slava 


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