Gleb Gertsman

My interest lies in asset pricing. The topics I work on include ambiguity aversion, beta uncertainty, the interaction between equity and derivative markets and beliefs formation models. I am currently working on three projects. The first one studies the effect of beta uncertainty on equilibrium outcomes (pricing, risk sharing) in a market with ambiguity averse investors. The second one looks at the effect of the introduction of an option on the underlying price in a market with parameter uncertainty. The last project is the development of a new model of belief formation. I believe that this model can reconcile some interesting puzzles in the literature and provide a new perspective on investors behavior.