A Generalized Higher-Moment Capital Asset Pricing Model, Theoretical Implication, Legal Application
posted by Faculty of Law for HKU and Public
Event Type: Public Lecture/Forum/Seminar/Workshop/Conference/Symposium
Event Nature: Law and Politics
A Generalized Higher-Moment Capital Asset Pricing Model, with Theoretical Implications and Legal Applications
Speaker: Professor James Ming Chen
About the Lecture: The conventional capital asset pricing model (CAPM) remains the preferred approach to risk management in a wide range of economic settings. The neoclassical assumptions underlying the CAPM, however, have come under severe attack by behavioral economics. In sharp contrast with the purely rational agents of neoclassical economics, real humans make decisions under constraints imposed by innate heuristics. This presentation will express those heuristics in formal mathematical terms as a generalized higher-moment capital asset pricing model. I will explore this model’s implications for cumulative prospect theory, perhaps the best known expression of behavioral economics. Finally, I will apply generalized higher-moment CAPM to several issues within the law of financial institutions.
Date: 7 April 2017
Time: 1:30 – 2:30pm
Venue: Room 825, 8/F, Cheng Yu Tung Tower, HKU
About the Speaker: An attorney and professor of law with a quarter-century of experience in the law of regulated industries, economics, and regulatory policy, James Ming Chen holds the Justin Smith Morrill Chair in Law at Michigan State University College of Law. In addition, he is of counsel to the Technology Law Group, a Washington, D.C. Professor Chen is a highly productive and influential scholar whose works spans topics such as administrative law, agricultural law, behavioral and mathematical finance, constitutional law, economic regulation, environmental law, industrial policy, legislation, and natural resources law. He is the author of Postmodern Portfolio Theory: Navigating Abnormal Markets and Investor Behavior (2016) and Finance and the Behavioral Prospect: Risk, Exuberance, and Abnormal Markets (2016) and coauthor of Disaster Law and Policy (3d ed. 2015). Professor Chen is an elected member of the American Law Institute and has served since 2010 as a public member of the Administrative Conference of the United States.
|Venue||Room 825, 8/F, Cheng Yu Tung Tower, HKU|
Registration is open from 09/03/2017 12:00(HKT) to 07/04/2017 10:00(HKT) on a first-come-first-served basis. The registration quota for this event is 40.
Should you have any enquiries, please feel free to contact Coria Cheng by email at email@example.com