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

    5037 AB Tilburg

    Netherlands

20192019

Research output per year

If you made any changes in Pure these will be visible here soon.

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. 

Keywords

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

Fingerprint Dive into the research topics where Gleb Gertsman is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

  • 2 Similar Profiles

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

File
  • 21 Downloads (Pure)