Xinxi Song
B [email protected]
Placement Director: Prof. Omer Moav
Graduate Coordinator: Natalie Deven
[email protected]
[email protected]
+44 24 7652 3476
+44 24 7657 3452
Office Contact Information
Department of Economics, Room S2.110
University of Warwick
Coventry, CV4 7AL
United Kingdom
Mobile: +44 77 4139 8095
Personal Information
Year of Birth: 1987
Nationality: Chinese
Prof. Herakles Polemarchakis
Department of Economics
University of Warwick
Coventry, UK
[email protected]
Phone: +44 24 7615 0051
Dr. Andrés Carvajal
Department of Economics
University of Western Ontario
London (Ontario), Canada
[email protected]
Phone: +1 519 661 2111
Prof. Valentina Corradi
Department of Economics
University of Surrey
Guildford, UK
[email protected]
Phone: +44 14 8368 3914
Dr. Pablo Beker
Department of Economics
University of Warwick
Coventry, UK
[email protected]
Phone: +44 24 7655 0588
Dr. John Stovall
Department of Economics
University of Warwick
Coventry, UK
[email protected]
Phone: +44 24 7652 8241
Prof. Jeremy Smith (teaching)
Department of Economics
University of Warwick
Coventry, UK
[email protected]
Phone: +44 24 7652 3336
Doctoral Studies
PhD Candidate in Economics
University of Warwick, UK
Thesis Title: Identification and Estimation of Individual Preference under Ambiguity
Expected Completion Date: June 2015
Visiting graduate student
University of Western Ontario, Canada
Pre–Doctoral Studies
MA in Economics
Peking University, China
BA in Literature
Shandong Agricultural University, China
BA in Economics
Shandong Agricultural University, China
Research and Teaching Fields
Research Fields
Teaching Fields
Micro Theory, Behavioral economics, Household Finance, Asset Pricing, Econometrics
Microeconomics, Decision Theory, Financial Economics, Mathematical Economics, Econometrics
Teaching Experience
2014 Summer
Topics in Economic Theory, Undergraduate (Warwick)
Econometrics, Undergraduate (Warwick)
Introductory Mathematics and Statistics, Postgraduate (Warwick)
Mathematical Economics, Undergraduate (Warwick)
Statistical Techniques, Undergraduate (Warwick)
Fellowships, Honours, and Scholarships
June 2008
UK-China Scholarships for Excellence programme
University of Warwick
Outstanding Academic Scholarship
Peking University
President Fellowship
Shandong Agricultural University
First Class Scholarships for Academic Excellence
Shandong Agricultural University
Conference and Seminar Presentation
Theory Workshop
University of Warwick
October 2014
Department Seminar
University of Warwick
Septermber 2014 Department Seminar
University of Western Ontario
June 2012
21st European Workshop on General Equilibrium Theory
University of Exeter
March 2012
Pizza Workshop on Economic Theory
University of Warwick
October 2014
Working Papers
“Recovering risk and ambiguity aversion: theory and evidence," Job Market Paper.
Although ambiguity preference has been widely used in finance and macroeconomics, there
is only few experimental evidence on individual risk and ambiguity aversion. For the first
time, this paper systematically investigates the nature of household ambiguity preference using
household survey data. We derive an explicit solution in a two-period smooth ambiguity model
(Klibanoff, Marinacci and Mukerji, 2005), and show that time preference, risk aversion and
ambiguity aversion can be uniquely identified from a special panel dataset. Using the Bank of
Italy Survey on Household Income and Wealth (SHIW) 2008 and 2010, which contains detailed
information on household consumption, saving, portfolio, and stock return expectations, we
show, firstly, that individual expectation is very pessimistic, and is subject to much ambiguity;
secondly, that constant relative risk aversion and relative ambiguity aversion can be a good
approximation; thirdly, that the recovered preference parameters display quite heterogeneity,
the average relative risk aversion is much smaller than 1, and the average relative ambiguity
aversion is around 3 or larger; fourthly, that the overidentification restriction implied by the
subjective expected utility model rejects the null hypothesis that households are subjective
expected utility maximizers, in favor of the ambiguity model; and finally, that household
risk aversion and ambiguity aversion are not correlated, can not be explained by observable
household characteristics, and have a quantitatively significant effect on consumption and
portfolio holding.
“The identification of uncertainty and risk," with Herakles Polemarchakis and Larry Selden.
Uncertainty is not risk, and individuals behave differently when they know the objective probability (under risk) than when they are ignorant (under uncertainty). This paper establishes the
identifiability of individual risk and ambiguity preference from his consumption and/or portfolio choice. Assuming individuals are endowed with smooth ambiguity preference (Klibanoff,
Marinacci and Mukerji, 2005), we show that if there exists a riskfree and an ambiguityfree
asset, and the matrix of expected returns has full row rank, then individual risk aversion index
and uncertainty aversion index can be uniquely recovered from his portfolio choice. If there
does not exist an ambiguityfree asset, but we can observe individual consumption in addition
to portfolio choice, recovery can be restored. However, without a riskless asset, recovering
individual risk and ambiguity preference requires the underlying preferences to be analytic at
0 point.
“Testing empirical content of Pareto optimality and competitive equilibrium with public goods," with
Andres Carvajal.
In this paper, we test the empirical implications of Pareto optimal provision of public goods
and that of competitive equilibrium with public goods. The literature is full of theoretical
predictions that the competitive market will fail in the presence of public goods, and the resulting allocation will be Pareto suboptimal; however, to emprically test such prediction is
difficult and evidence is sparse. Based on Carvajal (2010) and Snyder (1999), we characterize
by Mixed-integer programming proposed by Cherchye et al (2009) necessary and sufficient
conditions for observable data consisting of market prices and individual endowments to be
consistent with Pareto optimal provision of public goods and competitive equilibrium with
public goods. Since these necessary and sufficient conditions consist of nonlinear inequalities,
Mixed-integer programming makes checking these conditions easier. Our test is nonparametric,
and is immune to misspecification of underlying preference and technology functions. From
the result of implementation, we can see whether the market mechanism fails in the presence
of public goods and whether there exist other mechanisms to achieve Pareto efficiency.
Work in Progress
“Set identification of risk preference," with Andres Carvajal.
In many cases, it is not possible to uniquely identify individual risk preference. In this paper,
we exploit the shape restriction from individual risk preference (i.e. monotonicity, concavity
and the third derivative of von Neumann-Morgenstern utility index) to identify bounds on individual risk aversion. We employ the techniques developed in, among others, Chernozhukov,
Hong and Tamer (2007) to establish the properties of the risk aversion bounds estimator.

Xinxi Song Í Office Contact Information