On June 8, we continued our monthly online seminar series “Asset Allocation and Asset Pricing under Regulatory Uncertainty” with two presentations from our current project that sparked a lively and thought-provoking discussion.

Nicole Bäuerle opened the seminar with “Mean-Variance Optimization in Ambiguous Financial Markets with Learning”. Her talk extended the traditional optimal investment problems in the mean-variance framework by incorporating not only risk aversion but also ambiguity aversion. Through several numerical examples, she demonstrated how optimal investment choices vary across different levels of ambiguity aversion, providing valuable insights into how ambiguity influences portfolio decisions.

Laura Wiredu followed with “Real Effects of Option-Implied Dividend Tax Rate Expectations”. Her presentation addressed the question of how forward-looking tax expectations translate into real corporate decisions on investment and dividend payout, highlighting an especially interesting link between information from option markets and firms’ real economic choices.

Many thanks to both speakers for their excellent presentations and to everyone who joined the discussion. Another inspiring session with plenty of ideas to take forward.