- Date: 18 May (Thu.)
- Place: W.W. 6th-floor, Colloquium Room and on the Web (Zoom)
- Time: 16:30 – 18:00
- Speaker: Toru Igarashi (Chuo University)
- Title: Dually Flat Structure on Asset Pricing Models
- Abstract:
In this talk, we consider asset pricing models as dually flat manifolds and give financial interpretations to its geometric properties. We find that (1) the coefficients of dual connection correspond to the prudence of utility function; (2) a unique equilibrium is the intersection of two submanifolds (that represent investment strategies and prices); (3) the Hansen–Jagannathan distance of risk-neutral measures can be interpreted as a special case of a Bregman divergence that is a natural divergence on dually flat manifolds. We also provide a computational method for finding equilibrium numerically.
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