Time: 7 Sep (Tuesday), 15:30-17:00

Speaker: Min Dai, National University of Singapore

Join Zoom Meeting：

https://nus-sg.zoom.us/j/88454814397?pwd=aHFhOWhSbEVJY3plaUxkcnJRaW85dz09

Meeting ID: 884 5481 4397

Passcode: 009765

Abstract: We develop a dynamic tractable model where an investor derives realization utility as in Barberis and Xiong (2012) and Ingersoll and Jin (2013), but importantly can dynamically rebalance her portfolio between a risky asset and a risk-free asset. We show that the option of investing in the risk-free asset is quite valuable, even though the investor only derives utility from realized gains and losses of trading the risky asset. This work is jointly with Cong Qin and Neng Wang.