金融工程研究中心学术报告：Sophisticated Investment of Rank-Dependent Utility Agents in Continuous Time

报告时间: 3 Apr, 2024, 16:00-17:00 报 告 人: 金含清，牛津大学教授 报告地点: 览秀楼105学术报告厅 报告摘要:  We study portfolio selection in a complete continuous-time 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 (subgame perfect) 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. 报告人简介: 金含清，牛津大学教授，彼得学院应用数学导师，牛津NIE金融大数据实验室主任。主要从事金融统计、金融数学、行为金融学等方面的研究，在Journal of Economic Theory、Mathematical Finance、SIAM Journal on Control and Optimization、Mathematics of Operations Research等高水平杂志上发表了数十篇高水平的论文，其中有多篇被高引，担任多个高级别金融数学杂志的编委。