应兰州大学数学与统计学院邀请，英国牛津大学金含清副教授将于2024年9月16日举办学术报告。

报告题目：Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time

时间：2024年9月16日(星期一)上午10:00

地点：腾讯会议(会议ID：573-603-989 密码：123456)

报告摘要：We studyportfolio selection in a complete continuoustime market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the investment behavior of sophisticated consistent planners who seek (sub-gameperfect) intra-personal equilibrium strategies. We provide sufficient conditions under which an equilibrium strategy is a replicating portfolio of a final wealth. We derive this final wealth profile explicitly, which turns out to be in the same form as in the classical Merton model with the market price of risk process properly scaled by a deterministic function in time. We present this scaling function explicitly through the solution to a highly nonlinear and singular ordinary differential equation, whose existence of solutions is established. Finally, we give a necessary and sufficient condition for the scaling function to be smaller than one corresponding to an effective reduction in risk premium due to probability weighting.

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报告人简介

Dr. Jin (金含清) is an associate professor in the Mathematical Institute at the University of Oxford. He received his MSc in Mathematics from Nankai University in 2001, and the PhD in Financial Engineering from Chinese University of Hong Kong in 2004. He staved in the department as a postdoctoral fellow for two years after graduation, and then worked in the Math department in the National University of Singapore as an assistant professor. In Jan 2008, he moved to the University of Oxford. His research interests include Mathematical Finance, Operation Research, and Stochastic Analysis. Recently his research expanded to Digital Economics and Decentralised Finance.

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数学与统计学院

2024年9月13日