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교수진소개

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원동철
이름
원동철
학력
박사
전공
금융공학전공(과)
정보
연구실 :
다산관 514호

연구실번호 :
2708

이메일 :
dcwon@ajou.ac.kr

연구관심분야 :
Equilibrium, financial innovation, and asset pricing in incomplete markets

홈페이지 :
학력
졸업연도/학교/학위
1993.05 Rice University 박사
졸업연도/학교/학위
1988.05 State University of New York at Stony Brook 석사
경력 2008.8 : Visiting Professor, Dept. of Economics, University of California, Davis
2004.6 : Visiting Professor, Dept. of Economics, University of Illinois, Urbana-Champagne.
2002.2 : Visiting Professor, Dept. of Economics, University of Illinois, Urbana-Champagne.
연구분야 Competitive equilibrium can exist only when the economy satisfies a survival assumption. The existing survival conditions are not compatible with the presence of poverty in equilibrium. In particular, the effect of financial innovation on poverty cannot be analyzed in the existing framework of equilibrium theory. Recently, I am working on new survival conditions that are useful in investigating the effect of financial innovation on poverty in incomplete-market economies. The poverty problem is more serious in the general equilibrium model with incomplete markets than in the Arrow-Debreu-McKenzie classical equilibrium model because risk-sharing opportunities are substantially limited in incomplete markets.   

Portfolio constraints often prevent financial derivatives from being synthetically created by primitive assets and thus, open a way for redundant assets to participate in expanding risk-sharing opportunities. They bring about peculiar portfolios, called link portfolios, which make no monetary payoff in equilibrium but may account for feasibility of optimal portfolios in constrained asset markets. I and Prof Guangsug Hahn (POSTECH) develop the fundamental theorem of portfolio decomposition to explicate the behavior of equilibrium asset prices and capture the risk-sharing role of link portfolios in equilibrium.
기타 Finance: asset pricing with market frictions, equilibrium asset pricing, interest rate models, credit risk
Economics: general equilibrium with incomplete markets
Law and Economics: property rights, Coasean contracts, entitlements
Sports Economics
논문 및 연구활동
연구활동(주요논문)
  • [논문] A Characterization of Equilibrium in Incomplete Markets with Real Assets (계량경제학보) - 2016.06
    원동철
  • [논문] Equilibrium theory with satiable and non-ordered preferences (JOURNAL OF MATHEMATICAL ECONOMICS) - 2011.03
    원동철, Nicholas Yannelis
  • [논문] Equilibrium Theory with Unbounded Consumption Sets and Non-Ordered Preferences, Part I (Journal of Mathematical Economics) - 2008.11
    원동철, Nicholas Yannelis
  • [논문] Capital Market Equilibrium without Riskless Assets: Heterogeneous Expectations (Annals of Finance (Elsevier)) - 2008.03
    원동철, 한광석, Nicholas Yannelis
  • [논문] Equilibrium in Financial Markets with Market Frictions (The Korean Economic Review) - 2007.12
    원동철, 한광석
국제학술논문지
  • [논문] Equilibrium theory with satiable and non-ordered preferences (JOURNAL OF MATHEMATICAL ECONOMICS) - 2011.03
    원동철, Nicholas Yannelis
  • [논문] Optimal Dynamic Pricing for Sports Games with Habitual Attendance (Managerial and Decision Economics (Wiley Interscience)) - 2008.12
    이영훈, 원동철
  • [논문] Equilibrium Theory with Unbounded Consumption Sets and Non-Ordered Preferences, Part I (Journal of Mathematical Economics) - 2008.11
    원동철, Nicholas Yannelis
  • [논문] Capital Market Equilibrium without Riskless Assets: Heterogeneous Expectations (Annals of Finance (Elsevier)) - 2008.03
    원동철, 한광석, Nicholas Yannelis
국제학술발표
  • [학술회의] Survival Assumptions for Competitive Equilibrium in Constrained Asset Markets (12th SAET Conference) - 2012.07
    원동철, 한광석
  • [학술회의] Survival in Equilibrium with Other-Than-Me Welfare (International Research Forum- Models, Methods and Transfer) - 2010.12
    원동철, 한광석
  • [학술회의] Dynamic Arbitrage Pricing with Return-Related Market Frictions (Economic Theory) - 2009.06
    원동철
  • [학술회의] Constrained Asset Markets (IV Asian General Equilibrium Theory Workshop, GETA 2007) - 2007.08
    원동철, Guangsug Hahn
  • [학술회의] Constrained Asset Markets (The 8th SAET Conference) - 2007.06
    원동철, Guangsug Hahn
  • [학술회의] optimal stadium size with habitual attendance at sports games (International 80th Annual Conference) - 2005.07
    이영훈, 원동철
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