IRS 2018 RIGPEA

A distinctive feature of the laboratories within the IDEX-UGA network—particularly those outside the social sciences and humanities—is the presence of numerous postdoctoral researchers within these laboratories. CERAG must embrace this culture of postdoctoral research, which is clearly not sufficiently instilled within our laboratory. In particular, the postdoctoral program allows researchers to consolidate their work and showcase it through publications in high-impact journals, which is an asset both for future candidates for associate professor positions and for the laboratory itself. This program also provides a supportive “environment” for the research conducted by other laboratory members by fostering collaborations and building a network.

The proposed project focuses on analyzing the impact of information risk on active portfolio management as well as on the valuation of assets (financial and otherwise). The presence of information risk—generated by information asymmetries among economic agents—is one of the major factors cited to explain financial crises, including the subprime crisis. Economic agents’ failure to account for this type of risk leads to suboptimal decisions that are economically harmful. For example, the concept of risk diversification through investment in a market portfolio (such as the CAC 40), as posited by the Capital Asset Pricing Model (CAPM), is no longer valid in a context of information asymmetry. In such a context, investors must protect themselves against information risk by investing in specific portfolios. This line of reasoning can obviously be applied to fields other than finance and economics, such as user behavior in various contexts where some agents possess information that others do not.

Current research in the field of information risk prevention is insufficient and remains largely academic, lacking sufficient grounding in the real world. At CERAG, several articles in CNRS Tier 1 journals have been published in this field. These articles show that much remains to be done in terms of modeling this type of risk—as current models are designed within overly restrictive frameworks—but also (and above all) in terms of applying the results of these models by proposing concrete investment methodologies that are useful to portfolio managers and companies.

The postdoctoral position will enable the laboratory to continue its research in these areas—from theoretical, empirical, and practical perspectives—and will aim to propose investment models that mitigate information risks within a sufficiently general framework, applicable to fields other than finance.

The project will be at the heart of CERAG’s new “Risk Anticipation and Management” team and will benefit from a supportive environment comprising leading researchers in this field, as well as ongoing projects focused on risk management, such as the “Cross-Disciplinary Program” (CDP) project titled “RISK, ”which won this year’s IDEX-UGA grant and in which the CERAG laboratory is heavily involved.

Since information risk is, moreover, an eminently cross-functional concept, the project will foster genuine synergies within the newly formed CERAG team focused on risk, particularly among colleagues from the former finance and accounting teams—who have developed models based on rational expectations in a context of information asymmetry between investors— information systems and data flows, featuring cutting-edge research on risk monitoring and anticipation through weak signals, as well as the marketing team, with leading-edge research in the field of user behavior. 

Finally, it is worth noting that CERAG’s current research on the topic of information risk has led to a declaration of invention that paves the way for patenting a portfolio management technique capable of achieving returns that exceed those predicted by previous models. Filing patents is another way for CERAG to capitalize on its research and thus align itself with other laboratories within the UGA-IDEX network.