교수 상세
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경력 |
2016.9 : Visiting Professor, Institute of Economic Research, Seoul National University 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 |
Economics: equilibrium with poverty in incomplete markets, computation of equilibrium with real assets, fund separation and uniqueness of equilibrium. Finance: asset pricing with market frictions, equilibrium asset pricing, interest rate models, credit risk |
논문 및 연구활동 |
연구활동(주요논문)
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특허 및 기타 |
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