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교수진소개

교수정보의 상세 화면
원동철
이름
원동철
학력
박사
전공
금융공학전공(과)
정보
연구실 :
다산관 514호

연구실번호 :
2708

이메일 :
dcwon@ajou.ac.kr

연구관심분야 :
General equilibrium, financial innovation, asset pricing and poverty in incomplete markets

홈페이지 :
학력
졸업연도/학교/학위
1993.05 Rice University 박사
졸업연도/학교/학위
1988.05 State University of New York at Stony Brook 석사
경력 2016.9 : Visiting Professor, Institute of Economic Research, Seoul National University
2008.8 : Visiting Professor, Dept. of Economics, University of California, Davis
2004.6 : Visiting Professor, Dept. of Economics, University of Illinois, Urbana-Champagne.
2002.2 : Visiting Professor, Dept. of Economics, University of Illinois, Urbana-Champagne.
연구분야 Competitive equilibrium can exist only when the economy satisfies a survival assumption. The existing survival conditions are not compatible with the presence of poverty in equilibrium. In particular, the effect of financial innovation on poverty cannot be analyzed in the existing framework of equilibrium theory. Recently, I am working on new survival conditions that are useful in investigating the effect of financial innovation on poverty in incomplete-market economies. The poverty problem is more serious in the general equilibrium model with incomplete markets than in the Arrow-Debreu-McKenzie classical equilibrium model because risk-sharing opportunities are substantially limited in incomplete markets.   

Portfolio constraints often prevent financial derivatives from being synthetically created by primitive assets and thus, open a way for redundant assets to participate in expanding risk-sharing opportunities. They bring about peculiar portfolios, called link portfolios, which make no monetary payoff in equilibrium but may account for feasibility of optimal portfolios in constrained asset markets. I and Prof Guangsug Hahn (POSTECH) develop the fundamental theorem of portfolio decomposition to explicate the behavior of equilibrium asset prices and capture the risk-sharing role of link portfolios in equilibrium.
기타 Economics: equilibrium with poverty in incomplete markets, computation of equilibrium with real assets, fund separation and uniqueness of equilibrium.

Finance: asset pricing with market frictions, equilibrium asset pricing, interest rate models, credit risk


논문 및 연구활동
연구활동(주요논문)
  • [논문] 원동철, One-fund separation in incomplete markets with two assets , FINANCE RESEARCH LETTERS , pp.1 -7 (Nov, 2017)
  • [논문] 원동철, A New Characterization of Equilibrium in a Multi-period Finance Economy: A Computational Viewpoint , COMPUTATIONAL ECONOMICS , pp.1 -30 (Oct, 2017)
  • [논문] 원동철, A Characterization of Equilibrium in Incomplete Markets with Real Assets , 계량경제학보 , Vol.27 , No.2 , pp.39 -62 (Jun, 2016)
  • [논문] 원동철, Nicholas Yannelis, Equilibrium theory with satiable and non-ordered preferences , JOURNAL OF MATHEMATICAL ECONOMICS , Vol.2 , pp.245 -250 (Mar, 2011)
  • [논문] 원동철, Nicholas Yannelis, Equilibrium Theory with Unbounded Consumption Sets and Non-Ordered Preferences, Part I , Journal of Mathematical Economics , Vol.44 , No.11 , pp.1268 -1283 (Nov, 2008)
국제학술논문지
  • [논문] 원동철, One-fund separation in incomplete markets with two assets , FINANCE RESEARCH LETTERS , pp.1 -7 (Nov, 2017)
  • [논문] 원동철, One-Fund Separation and Uniqueness of Equilibrium in Incomplete Markets with Heterogeneous Beliefs , Seoul Journal of Economics , Vol.30 , No.4 , pp.471 -486 (Nov, 2017)
  • [논문] 원동철, A New Characterization of Equilibrium in a Multi-period Finance Economy: A Computational Viewpoint , COMPUTATIONAL ECONOMICS , pp.1 -30 (Oct, 2017)
  • [논문] 원동철, A New Approach to Computing Equilibrium in Incomplete Markets , Journal of Economic Theory and Econometrics , Vol.28 , No.3 , pp.1 -21 (Sep, 2017)
  • [논문] 원동철, Nicholas Yannelis, Equilibrium theory with satiable and non-ordered preferences , JOURNAL OF MATHEMATICAL ECONOMICS , Vol.2 , pp.245 -250 (Mar, 2011)
  • [논문] 이영훈, 원동철, Optimal Dynamic Pricing for Sports Games with Habitual Attendance , Managerial and Decision Economics (Wiley Interscience) , Vol.29 , No.8 , pp.639 -655 (Dec, 2008)
  • [논문] 원동철, Nicholas Yannelis, Equilibrium Theory with Unbounded Consumption Sets and Non-Ordered Preferences, Part I , Journal of Mathematical Economics , Vol.44 , No.11 , pp.1268 -1283 (Nov, 2008)
  • [논문] 원동철, 한광석, Nicholas Yannelis, Capital Market Equilibrium without Riskless Assets: Heterogeneous Expectations , Annals of Finance (Elsevier) , Vol.4 , No.2 , pp.183 -195 (Mar, 2008)
국내학술논문지
  • [논문] 원동철, A Characterization of Equilibrium in Incomplete Markets with Real Assets , 계량경제학보 , Vol.27 , No.2 , pp.39 -62 (Jun, 2016)
  • [논문] 원동철, 권준엽, 한광석, The Effects of Strategic Delegation on Price Competition with Product Compatibility and Network Externalities , KOREA AND THE WORLD ECONOMY , Vol.16 , No.1 , pp.25 -42 (Apr, 2015)
  • [논문] 원동철, 한광석, A New Survival Condition for Equilibrium with Financial Derivatives in Constrained Asset Markets , 경제연구 , Vol.31 , No.2 , pp.131 -153 (May, 2013)
  • [논문] 원동철, 한광석, Survival, Arbitrage, and Equilibrium with Financial Derivatives in Constrained Asset Markets , Seoul Journal of Economics , Vol.25 , No.4 , pp.441 -461 (Nov, 2012)
  • [논문] 원동철, 한광석, A Note on Equilibrium in Constrained Incomplete Markets with Non-Ordered Preferences , 계량경제학보 , Vol.22 , No.1 , pp.58 -72 (Mar, 2011)
  • [논문] 원동철, 한광석, Satiation and Equilibrium in Unbounded Exchange Economies , The Korean Economic Review , Vol.25 , No.2 , pp.349 -366 (Dec, 2009)
  • [논문] 원동철, Dynamic Arbitrage Pricing with Progressive Taxation , 한국경제통상학회 , Vol.27 , No.3 , pp.257 -272 (Sep, 2009)
  • [논문] 원동철, 한광석, Incomplete Markets with Cone Constraints , 계량경제학보 , Vol.19 , No.2 , pp.59 -76 (Jun, 2008)
  • [논문] 원동철, 한광석, Equilibrium in Financial Markets with Market Frictions , The Korean Economic Review , Vol.23 , No.2 , pp.267 -302 (Dec, 2007)
  • [논문] 원동철, Dynamic Arbitrage Pricing with Non-Proportional Transaction Costs and Taxes , 대한경영학회지 , Vol.20 , No.3 , pp.1361 -1382 (Jun, 2007)
  • [논문] 원동철, The Fundamental Theorem of Asset Pricing with Convex Transaction Costs , 계량경제학보 , Vol.17 , No.2 , pp.21 -53 (Jun, 2006)
  • [논문] 원동철, 한광석, Competitive Equilibrium with Short-Selling and Nontransitive Preferences , 한국경제학회 , Vol.22 , No.1 , pp.55 -67 (Jun, 2006)
  • [논문] 원동철, 최종범, 자본자산가격결정모형(CAPM)의 시장균형: 이질적 기대 , 증권학회지 , Vol.35 , No.1 , pp.41 -67 (Mar, 2006)
국제학술발표
  • [학술회의] 원동철, Limited Leverage and Nominal Debt Accounting in Dynamic Equilibrium , EEA & ESEM 2018 (Aug, 2018)
  • [학술회의] 원동철, Equilibrium with Limited Leverage: The Real Effect of Nominal Debt Accounting , SWUFE 2018 (Jul, 2018)
  • [학술회의] 원동철, Dynamic Equilibrium with Discretionary Credit Limits , AMES 2016 (Aug, 2016)
  • [학술회의] 원동철, A new approach to computing equilibria in incomplete asset markets , EWGET 2014 (Jun, 2014)
  • [학술회의] 원동철, 한광석, Robust Survival and Equilibrium in Incomplete Markets , AMES 2013 , pp.1 -2 (Aug, 2013)
  • [학술회의] 원동철, 한광석, Survival Assumptions for Competitive Equilibrium in Constrained Asset Markets , 12th SAET Conference (Jul, 2012)
  • [학술회의] 원동철, 한광석, Survival in Equilibrium with Other-Than-Me Welfare , International Research Forum- Models, Methods and Transfer , pp.117 -117 (Dec, 2010)
  • [학술회의] 원동철, Dynamic Arbitrage Pricing with Return-Related Market Frictions , Economic Theory (Jun, 2009)
  • [학술회의] 원동철, Guangsug Hahn, Constrained Asset Markets , IV Asian General Equilibrium Theory Workshop, GETA 2007 , Vol.2007 , No.1 , pp.1 -1 (Aug, 2007)
  • [학술회의] 원동철, Guangsug Hahn, Constrained Asset Markets , The 8th SAET Conference , Vol.1 , No.1 , pp.1 -1 (Jun, 2007)
  • [학술회의] 이영훈, 원동철, optimal stadium size with habitual attendance at sports games , International 80th Annual Conference , Vol.1 , No.1 , pp.1 -20 (Jul, 2005)
국내학술발표
  • [학술회의] 원동철, 한광석, A New Survival Assumption for Equilibrium in Incomplete Markets: Implications to Poverty and Financial Innovation , 글로벌 금융학회 , pp.1 -4 (Dec, 2013)
  • [학술회의] 원동철, Dynamic Arbitrage Pricing with Return-Related Market Frictions , 재무금융관련 5개학회 학술연구발표회 , Vol.1 , No.1 , pp.9 -9 (May, 2009)
  • [학술회의] 원동철, 한광석, N. Yannelis, Asset Market Equilibrium without Riskless Assets: Heterogeneous Expectations , 2006 경영관련학회 통합학술대회 , Vol.1 , No.1 , pp.1 -15 (Aug, 2006)
  • [학술회의] 한광석, N. Yannelis, 원동철, Competitive Equilibrium with Short-Selling and Nontransitive Preferences , 2005년 정기학술대회 , Vol.1 , No.1 , pp.1 -12 (Nov, 2005)
  • [학술회의] 원동철, The fundamental theorem of asset pricing with taxes and transaction costs , 2005년 4차 정기학술발표회 , Vol.1 , No.1 , pp.267 -284 (Oct, 2005)
  • [학술회의] 원동철, 한광석, Redundant assets and arbitrage under portfolio constraints , Asian Decentralizataion Conference , Vol.1 , No.1 , pp.1 -30 (May, 2005)
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