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Макаров Дмитрий Сергеевич

Международный институт экономики и финансов

Профиль на hse.ru ↗ тел.: +7 (495) 772-95-90 | 27065
Публикаций
6
Языков
1
Наград
2
Конференций
0
Профиль Публикации (6) Курсы (6)

Должности

  • доцент — Международный институт экономики и финансов

Био

  • · Начал работать в НИУ ВШЭ в 2011 году.
  • · Научно-педагогический стаж: 18 лет.

Образование

  • 2007 · PhD: Лондонская школа бизнеса
  • 2001 · Магистратура: Московский физико-технический институт, специальность «Прикладные математика и физика», квалификация «Магистр прикладной математики и физики»

Опыт работы

  • · 2011: Начал работать в НИУ ВШЭ в году

Награды и поощрения

  • · Благодарность Международного института экономики и финансов НИУ ВШЭ (июнь 2022)
  • · Лучший преподаватель — 2022

Идентификаторы исследователя

Публикации (6)

Different measurement unit, same finance model

2025 в печати · ARTICLE · en

Changing the measurement unit of a quantity in an existing finance model and re-expressing the results accordingly does not yield a new model with novel economic properties or implications. We reexamine the pricing models developed in Carr and Wu (2020) and Carr and Wu (2023), which are presented as new frameworks. In contrast, we show that these models are fundamentally equivalent to an existing framework in terms of the underlying mechanisms and pricing implications, differing only in how they measure asset value. We outline several undesirable consequences for academics and practitioners that may arise if the equivalence is overlooked.

DOI ↗ PDF ↗

Optimal portfolio under ambiguous ambiguity

2021 · ARTICLE · en

A prominent approach to modelling ambiguity about stock return distribution is to assume that investors have multiple priors about the distribution and these priors are distributed according to a certain second-order distribution. Realistically, investors may also have multiple priors about the second-order distribution, thus allowing for ambiguous ambiguity. Despite a long history of debates about this idea (Reichenbach (1949), Savage (1954)), there seems to be no formal analysis of investment behavior in the presence of this feature. We develop a tractable portfolio choice framework incorporating ambiguous ambiguity, characterize analytically the optimal portfolio, and examine its properties.

DOI ↗

Security design with status concerns

2020 · ARTICLE · en

This paper provides a status-based explanation for convertible securities. An entrepreneur with status concerns inducing risk-taking decides how to finance the firm and how to dynamically manage it. Solving analytically for the optimal security, we find that it is substantially similar to a convertible security. Our model can explain why convertible securities are mainly issued by start-ups and small firms, as we show that their salient characteristics, higher volatility and dynamic flexibility, accentuate incentives to issue convertible securities. We also provide analytical results relevant to quantifying how status concerns affect credit risk, an established factor behind security choice.

DOI ↗

Strategic Asset Allocation in Money Management

2014 · ARTICLE · en

This article analyzes the dynamic portfolio choice implications of strategic interaction among money managers, arising as they compete for fund flows. We study such interaction between two risk-averse managers in continuous time, characterizing analytically their unique equilibrium investments. Driven by chasing and contrarian mechanisms when one is well ahead, they gamble in the opposite direction when their performances are close. We also discuss multiple and mixed-strategy equilibria. Equilibrium policy of each crucially depends on the opponent's risk attitude. Hence, client investors, concerned about how a strategic manager may trade on their behalf, should also learn competitors' characteristics.

Difference in interim performance and risk taking with short-sale constraints

2012 · ARTICLE · en

Absent much theory, empirical works often rely on the following informal reasoning when looking for evidence of a mutual fund tournament: If there is a tournament, interim winners have incentives to decrease their portfolio volatility as they attempt to protect their lead, while interim losers are expected to increase their volatility so as to catch up with winners. We consider a rational model of a mutual fund tournament in the presence of short-sale constraints and find the opposite: Interim winners choose more volatile portfolios in equilibrium than interim losers. Several empirical works present evidence consistent with our model. However, based on the above informal argument, they appear to conclude against the tournament behavior. We argue that this conclusion is unwarranted. We also demonstrate that tournament incentives lead to differences in interim performance for otherwise identical managers and that mid-year trading volume is inversely related to mid-year stock return.

DOI ↗

A note on wealth effect under CARA utility

2010 · ARTICLE · en

There is a simple but overlooked way of capturing the wealth effect under CARA utility via making the absolute-risk aversion parameter wealth-dependent. We implement this approach in the asymmetric information setting of Verrecchia (1982), and compare it with the alternative approach of changing the utility function (Peress, 2004). Ours is a straightforward tractable extension of Verrecchia, while Peress has to resort to approximate methods. Importantly, our closed-form solution reveals that the relation between wealth and wealth share invested in a risky asset can be negative, while Peress’s main result is that this relation is uniquely positive.

DOI ↗

Курсы (6)