统计与管理学院2015年学术报告第2期
【主 题】 Render onto Hotelling or to Knight: Equilibrium Exhaustible Resource Price Dynamics with Volatility Ambiguity
【报告人】 林晨 副教授
山东大学
【时 间】 2015年1月5日（星期一）10:30－11:30
【地 点】 上海财经大学统计与管理学院大楼1208室
【语 言】 英文
【摘 要】 Uncertainty can be partitioned into risk and ambiguity (or Knightian uncertainty). Risk refers to uncertainty with a known probability, whereas ambiguity refers to uncertainty without a known probability. Most of the resource extraction and pricing models considers only risk. However, empirical studies have shown that we need an implausibly high degree of risk diversification to rationalize a Hotelling/Capital-Asset-Pricing model of exhaustible resources. Considering ambiguity can potentially solve this problem, since many choice situations feature ambiguity in addition to pure risk. Ambiguity consists of mean and volatility ambiguity. Previous studies model ambiguity so as to retain the property that all priors are equivalent, where only mean ambiguity is allowed. We present an exhaustible resource pricing model admitting volatility ambiguity to demonstrate the effect of ambiguity aversion on resource extraction and pricing. Our results show that besides the famous Hotelling rule, ambiguity aversion also contributes to exhaustible resource pricing. This explains the relatively high excess returns empirically observed in the Hotelling/Capital-Asset-Pricing model of exhaustible resources. In other words, render unto Hotelling what belongs to Hotelling, and render unto Knight what belongs to him. To differentiate the effect of mean and volatility ambiguity, based on the resource pricing model, we also analyze the real option price of a mine lease. It illustrates that the consideration of volatility ambiguity can rationalize the gap between upper and lower arbitrage prices of a mine lease, but mean ambiguity fails to do this. In addition to explaining the general phenomena of resource economics, the conclusions can also explain many phenomena of resource extraction in China, especially why does the extraction rate of the small coal pit is faster than the state-owned mine.
Key words: Volatility Ambiguity, Exhaustible resource, Recursive multi-priors utility
【邀请人】 朱利平
