“Of course I remember him,” said Professor John Donaldson, director of the CBS Doctoral Program, of Vikram Pandit, PhD ’86, the new CEO of Citigroup. Donaldson knew the then 20-something-year-old Pandit from serving as his dissertation sponsor (along with former CBS professors Rajnish Mehra, now at UC Santa Barbara, and Dave Nachman).
“We suggested a very difficult problem to him,” said Donaldson of Pandit’s dissertation, “and he made substantial progress on it.”
“His topic was to assess whether an appropriately structured dynamic heterogeneous agent model could shed light on the equity premium puzzle. The puzzle points out the implausibly high risk aversion necessary for standard homogeneous agent models to reconcile the high historical returns of stocks versus risk-free T-bills.”
A full resolution of the equity premium puzzle has yet to be found.
“In terms of theoretical explorations, he was way ahead of the curve,” said Donaldson. “His choice of dissertation topic shows that he is willing to think very carefully about complex equilibrium questions.”