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ФКН

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

On Thursday, December 10 at 4.40 pm International College of Economics and Finance will hold the Research Seminar.
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.



Forthcoming seminars

Past seminar