报告主题：Robustly dynamic tax evasion and consumption with recursive utility and preferences for cash

主讲嘉宾：马勇 副教授

时       间： 2019年9月5日14:30-16:30

报       点： 22号楼202课室

摘要：

In this paper, we develop a robustly optimal consumption and tax evasion model with recursive utility and preferences for cash. We derive the analytical solutions for the optimal consumption and portfolio rules. We find that in contrast to the agent without preferences for cash, the agent with preferences for cash will reduce the consumption-wealth ratio and sharply increase tax evasion. Furthermore, the optimal tax evasion is related to the volatility and the rate of return of the risky asset, as well as the ambiguity aversion and the elasticity of intertemporal substitution (EIS), which disagrees with the earlier studies. Our results can provide potential explanations for some empirical phenomena.

嘉宾简介：

马勇，湖南大学金融与统计学院副教授、管理学博士、博士生导师，威斯康辛大学麦迪逊分校访问学者，湖南省121创新人才培养工程人选。主要研究兴趣为衍生品定价、组合选择和信用风险。近年来已在Journal of Futures Markets、International Journal of Electronic Commerce、Computational Economics、《管理科学学报》、《系统工程学报》等国内外重要期刊上发表学术论文近20篇。主持国家自然科学基金项目、教育部人文社科基金项目和湖南省优秀基金科学项目等。