数学科学学院学术报告[2024] 069号
(高水平大学建设系列报告949号)
报告题目: Asset Pricing with α-maxmim Expected Utility Model
报告人：何雪冬，教授，香港中文大学
报告时间：2024.07.24下午14:30-15:30
讲座地点：汇星楼（科技楼）514
报告内容：We study an asset pricing problem in which a representative agent trades a risky stock, a risk-free asset, and human capital to maximize her preference value of consumption represented by the α-maxmin expected utility model. This preference model is known to lead to time inconsistency, so we consider intra-personal equilibrium for the representative agent and define the market equilibrium to the set of asset prices under which the intra-personal equilibrium strategy clears the market. We prove that there exists a unique market equilibrium and the asset prices are determined by the solution to a second-order ordinary differential equation. Finally, we conduct comparative statics to study the effect of the agent's ambiguity attitude on the asset prices. This is a joint work with Jiacheng Fan and Ruocheng Wu.
报告人简历： Xuedong 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.
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邀请人：王寒霄
数学科学学院
2024年07月22日
