Die Vorträge im Sommersemester 2017 finden in der Regel mittwochs von 18:00 - 20:00 im Raum S06 S00 A16 (Wegbeschreibung) auf dem Campus Essen statt.
Termine und Vortragende:
17.05: Dr Luca Taschini, London School of Economics and Political Science (LSE), London
Multilateral & Costly Linkages between Emissions Trading Systems
Linkages between Emissions Trading Systems (ETSs) are crucial for ensuring cost- effectiveness in the fragmented global climate policy landscape engendered by the Paris Agreement. Research has hitherto focused on the simpler case of bilateral linkages, in part because a rigorous analysis of multilateral linkages poses significant challenges. We propose a language and a theoretical model that allow us to describe and study multilateral linkages between ETSs under uncertainty analytically. We show how every multilateral linkage can be decomposed into its internal bilateral linkages, and demonstrate that linkage is superadditive. We provide a formula for the gains from linkage coalitions of ETSs as a function of the constituent coalitions’ sizes and shock characteristics. While the global market is socially efficient, we show that it may not be the most preferred outcome for individual jurisdictions, even in the absence of linkage costs. When we introduce linkage costs which are increasing in both the number and aggregate size of partnering jurisdictions we find that efficient linkage coalition structures may differ from the global market. Finally, we study several alternative cost- sharing rules to check if they render the globally efficient coalition structure a Pareto improvement with respect to autarky. We find that several intuitively appealing rules do not meet this criterion for individual jurisdictions. We demonstrate our theoretical results using a calibrated quantitative example.
21.6: Anne G. Balter, Tilburg School of Economics and Management, Tilburg
Time-consistency of optimal investment under smooth ambiguity and is a joint work with Antje Mahayni and Nikolaus Schweizer.
We study portfolio choice in a Black-Scholes world under drift uncertainty. Preferences towards risk and ambiguity are modeled using the smooth ambiguity approach under a double CRRA assumption and a normal distribution assumption on the unknown drift. Optimal investment in this setting is time-inconsistent: While utility is maximized by a strategy resembling the classical Merton solution, the investor's future selves prefer to constantly adjust this strategy. We derive a closed-form expression for the dynamically consistent investment strategy which accounts for variations in the perceived severity of drift uncertainty. Finally, we provide a detailed comparative analysis of the mechanics and interplay of ambiguity, myopia and optimal decisions in this setting.