|
|
Jacob S. Sagi |
|
Professor of
Finance Wood Center in Real Estate Studies Distinguished Scholar |
|
|
Kenan-Flagler
Business School The University
of North Carolina at Chapel Hill McColl 4109, CB
#3490, Room #4412 Chapel Hill, NC
27599-3490 Tel:
919.962.8399 Fax:
615.343.7177 |
|
|
|
|
RESEARCH INTERESTS
- Decision Theory: choice under risk/uncertainty, inter-temporal
choice, preference for flexibility, unforeseen contingencies, Knightian
decision theory
- Asset Pricing: equilibrium models, portfolio choice, derivatives, real options, real estate
As noted above, there are two focal
points to my research. The first concerns individual decision making, mainly
under uncertainty and through time. The second focuses on market phenomena and,
in particular, the understanding of economic “puzzles” through the lens of
theory. At the level of individual behavior my decision-theoretic work reflects
a view that certain standard “rationality” assumptions are systematically
violated and should be modified to reflect realistic human choice patterns. I do believe, however, that some discipline
must be exercised in determining the latitude of deviation from classical
assumptions. For instance, I take the stance that it is less worthwhile to
formally model behaviors that decision makers, in retrospect, would regret or
admit to being mistakes. This is why my
preferred approach to decision sciences is “axiomatic”, meaning that the
emphasis is on basic choice primitives that are transparent and can be
individually tested or studied. An axiomatic approach is also parsimonious in
that it allows one to work within a paradigm rather than a multitude of
contexts.
My work in asset pricing reflects the
more conservative view that neoclassical “competitive market” explanations
ought to first be convincingly ruled out before appealing to “behavioral”
rationale for observed phenomena. At first, it might appear as if the two
strands of my research are in philosophical opposition. This is not the case.
Empirical evidence in decision theory indisputably rejects the neoclassical
model. By contrast, our understanding of markets and other economic constructs
involving multiple actors is far less nuanced, and we have neither the data nor
the theoretical tools to fully investigate how and why the aggregate actions of
many players should necessarily force a departure from the neoclassical
paradigm.
Full
List of and Links to Papers
TEACHING
· MBA 853 – Real Estate
and Capital Markets
· MBA 853D – Real Estate
Macroeconomics and Securities Markets
· MBA 853E – Financing
Real Estate in Today’s Capital Markets
· BUSI 604 – Real Estate
and Capital Markets
· PHD 899 – Asset pricing
with non-standard preferences
Last updated May 30, 2017