报告题目：Time-Consistent Portfolio Selection for Rank-Dependent Utilities in an Incomplete Market
时 间：2025年4月14日（星期一）上午9：00
地 点：科研楼18号楼1102
主 办：数学与统计学院
参加对象：感兴趣的老师和学生
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.
报告人简介：危佳钦，2011年获华东师范大学博士学位，现任华东师范大学统计学院教授、博士生导师。在此之前，其曾任澳大利亚麦考瑞大学博士后研究员、华东师范大学紫江青年研究员。其研究兴趣主要包括随机控制、最优投资组合、最优保险\再保险等。其学术论文发表在包括 SIAM Journal on Control and Optimization、 SIAM Journal on Financial Mathematics、 Automatica、Applied Mathematics and Optimization、 Insurance: Mathematics and Economics、European Journal of Operational Research、Quantitative Finance等在内的国内外期刊。并以第一完成人身份获得2020年上海市自然科学奖三等奖。