Seminar by Prof. Andrea Buraschi: Difference in Beliefs, Uncertainty and Capital Markets

OzU and SPK will jointly host a seminar entitled "Difference in Beliefs, Uncertainty and Capital Markets: A New Approach and Its Implications "by Prof. Andrea Buraschi, Chair in Finance at Imperial College and Director of MSc Finance & Financial Engineering and Risk Management programs on 3 June 2010, Thursday.

Abstract:
Standard rational expectation asset pricing theories have difficulty explaining episodes that are not simply linked to market fundamentals. Notable examples in the dynamics of capital markets are the equity premium puzzle, the excess volatility and volatility risk premium puzzle. In this lecture, Buraschi will review the rapidly growing literature investigating the impact of uncertainty and whether accounting for the dispersion in investor beliefs is critical to explaining the dynamics of asset prices.

This literature assumes the rate of growth of the investment opportunities and dividends to be unknown and stochastic. As agents form expectations about these growth rates to build their optimal portfolios, agents weight information differently or have alternative priors leading to disagreement even when they share the same common observations. Thus, they select different optimal portfolios and trading occurs affecting asset prices and expected returns.

Professor Buraschi will explore the implications of these models; In particular with respect to the market risk premium, credit spreads, and both volatility and correlation risk premiums.

Date: 3 June 2010, Thursday
Time: 17:00-18:00 Seminar
           18:00-18:30  Q&A
           18:30-19:00   Reception
Venue: Auditorium 01
          
RSVP: bahar.gokpinarozyegin.edu.tr

The seminar shall be conducted in English.

Who is Prof. Andrea Buraschi?

Andrea Buraschi is a Professor, Chair in Finance, at Imperial College and Director of both the MSc Finance and MSc Financial Engineering and Risk Management. An accomplished teacher and scholar, he has joined Imperial after holding posts at Columbia University, The University of Chicago GSB, London Business School and IMD.

Andrea Buraschi is also the founding partner and CEO of Turningpoint, an advisory company that works with large international corporations on issues related to asset allocation, risk management, and optimal corporate financial decisions.

Professor Buraschi is the recipient of the 2006 Inquire Europe Award for his work on "Correlation Risk and Optimal Portfolio Choice", a 2009 Inquire Uk Grant-Award for his work on "Economic Uncertainty, Disagreement, and Credit Markets, the 1999 WFA Award for best paper in Investments, a Dean Teaching Award at Imperial College London (2007), and the Teacher of the Year Award at London Business School. His research interests include asset pricing, derivatives, fixed income, risk management, hedge funds, and corporate finance and his work has been published in all major finance journals including the Journal of Finance, the Review of Financial Studies, the Journal of Financial Economics, the Journal of Derivatives, the Journal of Banking and Finance.

Professor Buraschi has consulted for the Bank of Italy on regulation and risk management/measurement and a number of corporations, investment banks, hedge funds, and government departments. He regularly appears as invited speaker at the Ambrosetti Economic Forums.