The internal seminar series of the DFG Research Unit “Asset Allocation and Asset Pricing under Regulatory Uncertainty” (FOR 5583) officially kicked off with a successful first session.

Presentations:

Presenter: An Chen
Title: Green or Brown? Investing under Climate Risk and Uncertainty
Short abstract:
This paper (joint work with Immacolata Oliva and Ilaria Stefani) studies portfolio choice when investors can allocate across green and brown assets. The analysis shows how higher transition and carbon costs tilt optimal allocations away from brown assets. Ambiguity aversion dampens overall risk-taking, with adjustments occurring not only via greener positions but also through a stronger shift into the risk-free asset, highlighting how uncertainty in climate regulation can reshape portfolios and influence asset prices.

Presenter: Shihao Zhu
Title: Nonconcave Portfolio Choice under Smooth Ambiguity
Short abstract:
This paper (joint work with Emanuele Borgonovo, An Chen, and Massimo Marinacci) provides a unified perspective on portfolio choice under ambiguity and learning, even when the optimization problem is nonconcave. A central message is that beliefs and ambiguity attitudes jointly drive investment decisions, particularly in uncertain regulatory environments where ambiguity concerns not only returns but also the underlying model.

The seminar featured active discussion among Principal Investigators, PhD researchers, and postdoctoral researchers, marking a strong and promising start to the FOR 5583 seminar series.