报告时间：2025年5月23日，15: 30-16: 30

报告地点：统计楼 109

报告题目：  Equilibrium portfolio selection for smooth ambiguity preferences

报告摘要： In this talk we first investigate the equilibrium portfolio selection for smooth ambiguity preferences in a continuous-time market. The investor is uncertain about the risky asset’s drift term and updates the subjective belief according to the Bayesian rule. A verification theorem is established, and an equilibrium strategy can be decomposed into a myopic demand and two hedging demands. When the prior is Gaussian, we provide a closed-form equilibrium solution. Moreover, a puzzle in the numerical results is interpreted via an alternative representation of the smooth ambiguity preferences. Then we introduce two new topics relating to smooth ambiguity preferences.

报告人简介： 梁宗霞，博士, 清华大学数学科学系长聘教授,博士生导师.主要从事精算科学,金融数学,概率论与随机分析，随机控制与优化等理论方面的研究。在这些领域的国际顶级学术期刊或一流学术期刊如 Mathematical Finance(MF),  Finance and Stochastics (FS), SIAM Journal on Financial Mathematics(SIFIN), Quantitative Finance (QF), Insurance: Mathematics and Economics (IME), Scandinavian Actuarial Journal (SAJ), North American Actuarial Journal (NAAJ), Journal of Functional Analysis (JFA), Stochastic Processes and their Applications (SPA), Ann. Inst. Henri Poincare(B) Probab.Statist.(AIHP), Advances in Applied Probability(AAP), Mathematics of Operations Research (MOR), SIAM Journal on Control and Optimization (SICON), Annals of Operations Research (AOR), European Journal of Operational Research (EJOR)等学术杂志上发表学术论文八十余篇，取得了系列具有国际影响力的原创性基础理论研究成果。