Совместный научный семинар МИЭФ и ЛФЭ, Kieran J. Walsh (University of Virginia)

В четверг, 10 декабря в 16.40 в ауд. 3211 (ул. Шаболовка 26, корпус 3) пройдет совместный научный семинар Международного института экономики и финансов.
Докладчик: Kieran J. Walsh (University of Virginia)
Тема доклада: "A Theory of Portfolio Choice and Partial Default"

Тезисы доклада: I 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.

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