The webinars will take place on Zoom and a link to the virtual room will be sent out to all those who registered at the registration page.
Speaker: Zeshu Xu (BI Norwegian Business School)
Title: No Short in Sight
Abstract: In our economy with short-sales constraints and learning from experience, constrained investors become nonparticipants and have reduced attention to the stock market. Fluctuations in the market view are elevated, learning is slower in the aggregate, the market price of risk and the real short rate of interest are more volatile than in an unconstrained economy. Exuberance-driven investors enter the stock market with high leverage in times of low market price of risk and exit in disappointment. If nonparticipants never reenter, the market price of risk can be higher, implying a large wedge between average returns for participants and nonparticipants.
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4283101
This series of webinars addresses all interested people in probability, stochastic analysis, control, risk evaluation, statistics, with a view towards applications, in particular to renewable energy markets and production. This series brings together the major research themes of the projects STORM, SCROLLER, and SPATUS.