报告题目: Dynamic Portfolio Selection and Asset Pricing under Neo-Additive Probability Weighting

报告人：何雪冬（the Chinese University of Hong Kong ）

时间：2024年4月2日上午10:00-11:00    地点：理科楼A304

摘要: We study a dynamic portfolio selection problem in which an agent trades a stock and a risk-free asset with the objective of maximizing the rank-dependent utility of her wealth at the terminal time of the investment horizon. Due to time inconsistency, we consider three types of agents, pre-committed, sophisticated, and naive agents, who differ from each other in whether they are aware of the time inconsistency and whether they have self-control. Assuming a neo-additive probability weighting function, we solve the strategies of these agents.We find that the pre-committed agent takes a loss-exit strategy, leading to a positively skewed terminal wealth, and that the sophisticated agent takes less risk at the initial time than the pre-committed and naive agents do. We also study equilibrium asset pricing and find that the stock return with a pre-committed representative agent exhibits a reversal effect and the initial stock price is lower than those in the case of a naive representative agent and in the case of a sophisticated representative agent. This is a joint work with Yu Sun.

报告人简介：Xuedong He is a professor in the Department of Systems Engineering and Engineering Management at the Chinese University of Hong Kong. He received the B.Sc. degree in Mathematics and Applied Mathematics from Peking University in 2005 and the Ph.D. degree in Mathematical Finance from the University of Oxford in 2009. He     was an assistant professor at Columbia University in 2009 – 2015 and joined the Chinese University of Hong Kong as an associate professor in 2016.

Xuedong He's research interests include behavioral finance and economics, risk management, stochastic control, and financial technology. He has published papers in leading journals such as Management Science, Operations Research, Mathematical Finance, and Mathematics of Operations Research. He is serving as Area Editor for Operations Research and Associate Editors for Mathematics and Financial Economics, Operations Research Letters, and Digital Finance. He also organized clusters and sessions in international conferences such as the INFORMS Annual Meetings and SIAM Financial Mathematics and Engineering Conferences.

邀请人：梁宗霞