报告题目： Time-Consistent Portfolio Selection for Rank-Dependent Utilities in an Incomplete Market

报告摘要： We investigate the portfolio selection problem for an agent with rank-dependent utility in an incomplete financial market. For a constant-coefficient market and constant-relative-risk-aversion utilities, we characterize the deterministic strict equilibrium strategies. In the case of time-invariant probability weighting function, we provide a comprehensive characterization of the deterministic strict equilibrium strategy. The unique non-zero equilibrium, if exists, can be determined by solving an autonomous ordinary differential equation (ODE). In the case of time-variant probability weighting functions, we observe that there may be infinitely many non-zero deterministic strict equilibrium strategies, which are derived from the positive solutions to a nonlinear singular ODE. By specifying the maximal solution to the singular ODE, we are able to identify all the positive solutions. In addition, we address the issue of selecting an optimal strategy from the numerous equilibrium strategies available.

报告时间：2024年11月22日 14：30：00-15：30

报告地点： 腾讯会议： 187-556-263

报告人简介： 危佳钦，现任华东师范大学统计学院教授，华东师范大学紫江青年研究员。 研究兴趣包括随机控制、最优投资组合、最优保险\再保险等。其学术论文发表在包括 Automatica、SIAM Journal on Control and Optimization(SICON)、Insurance: Mathematics and Economics(IME)、European Journal of Operational Research(EJOR)、Quantitative Finance(QF)等在内的国内外知名期刊。主持国家自然科学基金多项，获2019年上海市自然科学奖三等奖。