December 10 at 4.40 pm - Research seminar by Kieran J. Walsh (University of Virginia) "A Theory of Portfolio Choice and Partial Default"

Venue: Shabolovka st. 26, Room 3211

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) <Curriculum Vitae>
Theme: "A Theory of Portfolio Choice and Partial Default"
Venue: Shabolovka st. 26, Room 3211              

Abstract: 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.

Everyone interested is welcome to attend!

See the web-page of the seminar < http://icef.hse.ru/en/announcements/167541914.html >
Pass can be ordered by:
tel. +7 (495) 772-95-90 ext. 26090
e-mail: vzheleznov@hse.ru
contact: Slava Zheleznov