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毕秀春副教授学术报告

信息来源: 发布日期: 2018-05-21浏览次数:

报告题目:Continuous-Time Portfolio and Consumption Decisions under Loss Aversion

报 告 人:毕秀春副教授

报告时间:5月21日下午5:30-6:30

报告地点:统计学院213报告厅

主办单位:统计学院

报告摘要: We investigate continuous-time optimal portfolio and consumption problems under loss aversion in an infinite horizon. The investor's goal is to choose optimal portfolio and consumption policies to maximize total discounted S-shaped utility from consumption. The optimal consumption and portfolio policies are obtained through the martingale method and replication technique. Numerical results indicate the differences between the loss averse investor and the constant relative risk averse (CRRA) investor on the optimal consumption and portfolio policies: the loss averse investor likes consuming more money but exposing less to risk than that of the CRRA investor, and the optimal wealth, as a function of state price density, drops faster for the CRRA investor than that for the loss averse investor.

报告人简介:中国科学技术大学副教授.主要研究方向为随机模型及其在金融工程与保险中的应用。主要研究衍生品定价,最优消费与投资策略, 量化风险管理,金融与保险风险度量等。 主持一项国家自然科学基金青年项目,一项中央高校青年创新基金项目,参与多项国家基金项目.在金融及金融工程等期刊公开发表科研论文20余篇, 其中SCI索引10篇。