Xinxi Song B X.Song@warwick.ac.uk Í http://www2.warwick.ac.uk/fac/soc/economics/staff/xsong Placement Director: Prof. Omer Moav Graduate Coordinator: Natalie Deven O.Moav@warwick.ac.uk N.S.Deven@warwick.ac.uk +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 References Prof. Herakles Polemarchakis Department of Economics University of Warwick Coventry, UK H.Polemarchakis@warwick.ac.uk Phone: +44 24 7615 0051 Dr. Andrés Carvajal Department of Economics University of Western Ontario London (Ontario), Canada ACarvaj@uwo.ca Phone: +1 519 661 2111 Prof. Valentina Corradi Department of Economics University of Surrey Guildford, UK V.Corradi@surrey.ac.uk Phone: +44 14 8368 3914 Dr. Pablo Beker Department of Economics University of Warwick Coventry, UK Pablo.Beker@warwick.ac.uk Phone: +44 24 7655 0588 Dr. John Stovall Department of Economics University of Warwick Coventry, UK J.Stovall@warwick.ac.uk Phone: +44 24 7652 8241 Prof. Jeremy Smith (teaching) Department of Economics University of Warwick Coventry, UK Jeremy.Smith@warwick.ac.uk Phone: +44 24 7652 3336 1/4 Doctoral Studies 2010–Present 2013–2014 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 2008–2010 2005–2008 2004–2008 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 2014–2015 2014–2015 2014 Summer 2012–2013 2011–2012 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 2010–2014 2009–2010 June 2008 2004–2008 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 2/4 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 3/4 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. 4/4