Photo of Gleb Gertsman
  • Warandelaan 2, Koopmans Building, room K 607

    5037 AB Tilburg



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Personal profile

Research interests

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. 


  • Asset Pricing
  • Stocks
  • Ambiguity Aversion
  • Beliefs formation
  • Behavioral Finance

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Research Output

  • 1 Working paper

Would Ambiguity Averse Investors Hedge Risk in Equity Markets?

Gertsman, G., Frehen, R. & Werker, B., Nov 2019, (In preparation) SSRN, 49 p. (SSRN Journal).

Research output: Working paperOther research output

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