Research Seminar
Speaker: Igor Evstigneev (University of Manchester)
January 17 at 4.40 pm, room 3211 (Shabolovka st., 26) International College of Economics and Finance and International Laboratory of Financial Economics held a Research Seminar in Finance
Speaker: Igor Evstigneev (University of Manchester)
Theme: «Mathematical Behavioural Finance», joint work with Rabah Amir, Thorsten Hens, Klaus R. Schenk-Hoppé.
Venue: Shabolovka st. 26, building 3, room 3211
Abstract: The purpose of the talk is to present a new interdisciplinary research area - Mathematical Behavioural Finance. Its characteristic feature is the systematic application of behavioural approaches combined with the rigorous mathematical modelling of financial markets. The focus of work is on the fundamental questions and problems pertaining to Finance and Financial Economics, especially those related to equilibrium asset pricing and portfolio selection. The models under study reflect the psychology of market participants and go beyond the traditional paradigm of fully rational utility maximization. They do not rely upon restrictive hypotheses (perfect foresight) and avoid using unobservable agents’ characteristics such as individual utilities and beliefs. The theory developed may be regarded as a plausible alternative to the classical general equilibrium theory (Walras, Arrow, Debreu, Radner, and others) responding to the challenges of today’s economic and financial reality.