Partial Information Breeds Systemic Risk in Mean-Variance Portfolio Selection

Explore the impact of partial information on systemic risk in financial markets through this webinar presented by Yu-Jui Huang from the University of Colorado Boulder. Delve into mean-variance portfolio selection among investors, focusing on relative performance criteria and the effects of limited information. Learn how trading strategies are chosen at the inter-personal level, influencing and being influenced by others' strategies, and how they must achieve an intra-personal equilibrium to address time inconsistency. Examine the Nash equilibrium in both full and partial information scenarios, and discover how limited information can significantly reduce investors' wealth, potentially contributing to systemic risk. The presentation is followed by a Q&A session, offering further insights into this cutting-edge topic in financial mathematics and engineering.