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ECONOMIC AND CORPORATE GROWTH,TECHNOLOGY,GOAL-BASED PORTFOLIOS AND ASSET PRICING

ECONOMIC AND CORPORATE GROWTH,TECHNOLOGY,GOAL-BASED PORTFOLIOS AND ASSET PRICING

讲座时间:5月21日12:30-14:00

讲座地点:博学楼925

主讲人:ROBERT SAVICKAS

美国乔治华盛顿大学商学院金融系主任、博士生导师

研究领域:

Asset Pricing;Mortgage Finance;Credit Risk;Derivatives

学术成就:

多次在Review of Financial Studies、Financial Management、Journal of Corporate Finance、Journal of Banking and Finance、Journal of Financial and Quantitative Analysis、Journal of Financial Research、Journal of Financial and Quantitative Analysis等一流金融学期刊发表文章,并著有《Portfolio Management:Modeling,Simulating,Allocation》

学术任职:

Adhoc referee for Review of Financial Studies,Management Science,Journal of Financial and Quantitative Analysis,Journal of Empirical Finance,Journal of Banking and Finance

社会任职:

美国金融协会会员、世界银行、美国房地美、房利美公司顾问

简介:

The traditional investment theory, introduced by the Nobel prize winning economist Harry Markowitz, describes optimal portfolio decisions based on the simplified framework of mean-variance optimization, in which risk-averse agents seek to maximize return in excess of the risk-free rate and minimize the total volatility of their portfolio returns. This view has given rise to the Capital Asset Pricing Model (CAPM) of Sharpe, Lintner, and Mossin, and a wide range of other asset pricing models.  Furthermore, many investment advisors, and even some robo-advisors, also rely on this traditional theory. However, more recently, another Nobel prize winning economist, Robert Merton, has been emphasizing the importance of goal-based investing (GBI), which prescribes optimal investment choices not so as to maximize total return and to minimize total volatility, but rather so as to maximize an investor's ability to meet specific goals, such as saving for retirement or children's education, while minimizing deviations from those goals.  As an generalization to this concept, Merton's collaborator Arun Muralidhar introduced an asset-pricing framework based on the maximization of the funded status of an investor, relative to his/her liabilities, rather than based on the maximization of the total wealth.  Based on this, Muralidhar and Shin have developed a heuristic for a "Liability-Relative Asset Pricing Model" (RAPM), and Muralidhar and Savickas are performing empirical tests of this model.  However, this raises an important question: what is the aggregate liability proxy that should enter the asset-pricing equation?  In the current paper, we show that the primary liability of the entire economy is to assure continued economic growth to exceed the population growth, so as to sustain a continuous improvement in living standards.  Such growth can come only from efficient investments in technology. Based on this insight, we develop a variant of Merton's Intertemporal Asset Pricing Model (ICAPM) that naturally incorporates the effect of technological efficiency and innovations into the pricing equation, and yields many new testable empirical implications.