Faculty of Business Administration

FBE Brown Bag Seminar

How do changes in risk and risk aversion affect self-protection with Selden/Kreps–Porteus preferences?

Dr. YICK Ho Yin, Martin

Assistant Professor in the Department of Finance and Insurance

Lingnan University

Abstract

This paper examines the determinants of optimal effort in an intertemporal self-protection model. We separate attitude toward risk and attitude toward intertemporal substitution by adopting Selden/Kreps–Porteus preferences. We not only explore the sufficient conditions on risk preferences for guaranteeing the unambiguous effects of changes in risk on the optimal effort level but also show how a change in risk aversion alone affects the optimal effort level.

Date: 27 Dec 2019 (Fri)

Time: 15:00-16:30

Venue: E22-3011

Biography

Dr. YICK Ho Yin, Martin is an Assistant Professor in the Department of Finance and Insurance, Lingnan University. He obtained his PhD. at the University of Hong Kong (HKU). He is also a CFA charterholder and a certified holder of FRM. His research focuses on Corporate finance and risk management. His research studies were published in Management World, Journal of Business Ethics, Review of Quantitative Finance and Accounting, Economic Letters, and Insurance, Mathematics and Economics.