時   間：2025年5月20 日（周二）13：40 -14：20

報(bào)告人：馬成虎，復(fù)旦大學(xué)教授

地   點(diǎn)：普陀校區(qū)理科大樓A1514

主持人：周勇   華東師范大學(xué)教授

摘    要：

In this paper, we investigate whether Knightian uncertainty can be quantified and separated from the conventional risk when the underlying return process belongs to the class of set-valued location-scale (LS) models driven by independent and identically distributed Gaussian random seeds. We establish impossibility theorems demonstrating that no single uncertainty measure can be universally agreed among investors with general risk-and-uncertainty-averse preferences. Nevertheless, it is always possible to rank the degree of uncertainty between two return processes by examining their mean-average characteristic functions. Specifically, under a rectangular LS-range specification, we show that the uncertainty, characterized by the ranges of the LS coefficients, can be fully identified from the first, second, fourth, and sixth moments of the return process. We also correct the composite uncertainty measure proposed by Izhakian (2020). Using data on stock market indices in the U.S. (S&P 500) and China (CSI 300), we estimate the proposed uncertainty measures and confirm that uncertainty and risk are indeed distinct concepts and can be disentangled empirically.

報(bào)告人簡介：

馬成虎，加拿大多倫多大學(xué)經(jīng)濟(jì)學(xué)博士，復(fù)旦大學(xué)管理學(xué)院財(cái)務(wù)金融系教授、金融工程碩士項(xiàng)目學(xué)術(shù)主任。先后在山東大學(xué)數(shù)學(xué)系、加拿大McGi大學(xué)經(jīng)濟(jì)系、英國Essex大學(xué)財(cái)務(wù)金融管理系、廈門大學(xué)王亞南經(jīng)濟(jì)研究院、復(fù)旦大學(xué)管理學(xué)院任教;日本京都大學(xué)經(jīng)濟(jì)研究所訪問教授、新加坡國立大學(xué)經(jīng)濟(jì)系資深訪問學(xué)者。研究涉及資產(chǎn)定價理論、博弈論、決策論、風(fēng)險測量與管理等多個相關(guān)領(lǐng)域。主持國家自然科學(xué)基金、加拿大SSHRC和FCAR、英國ESRC等國家級研究課題5項(xiàng)，出版《金融經(jīng)濟(jì)學(xué)原理》、《高級資產(chǎn)定價理論》及“Advanced Asset Pricing Theory”等專著三部。發(fā)表學(xué)術(shù)論文30余篇，研究成果具有國際影響力。論文發(fā)表在包括 Economic Theory, Journal of Economic Dynamics & Control, Journalof Mathematical Economics, Mathematical Finance, social choice and Welfare等國際著名經(jīng)濟(jì)學(xué)和金融學(xué)期刊。