Bio

My name is Gleb Gertsman, and I am a second year Ph.D student (fourth year together with the Research Master). I currently hold a B.A. and M.A. degrees from Ben Gurion University (Israel) and a R.M. degree from Tilburg University (The Netherlands). My interest lies in Asset Pricing. The topics I work on include ambiguity aversion, beta uncertainty, stock-option market interactions and the effect of market incompleteness. 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. 

Recent publications

  1. Would Ambiguity Averse Investors Hedge Risk in Equity Markets?

    Gertsman, G., Frehen, R., & Werker, B. (2019). Would Ambiguity Averse Investors Hedge Risk in Equity Markets? (SSRN Journal). SSRN.

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