报告题目：Topics on portfolio selection for smooth ambiguity preferences
时 间：2024年11月15日（星期五）14：30
地 点：腾讯会议：109219357
主 办：数学与统计学院、分析数学及应用教育部重点实验室、福建省分析数学及应用重点实验室、福建省应用数学中心（福建师范大学）、福建师范大学数学研究中心
参加对象：感兴趣的老师和学生
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 an equilibrium solution in closed form. Moreover, a puzzle in the numerical results is interpreted via an alternative representation of the smooth ambiguity preferences. Then we introduce two new topics on 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), Mathematics and Financial Economics (MFE), Insurance: Mathematics and Economics (IME), Scandinavian Actuarial Journal (SAJ), Annals of Applied Probability (AAP), Journal of Functional Analysis (JFA), Stochastic Processes and their Applications (SPA), Ann. Inst. Henri Poincare(B) Probab.Statist.(AIHP), Mathematics of Operations Research (MOR), SIAM Journal on Control and Optimization (SICON), 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。