报 告人：Harry Zheng教授

时   间：2023年7月11星期二 15：00 --16:30

地   点：览秀楼105室

报告摘要:

We present a continuous-time portfolio selection problem faced by an agent with S-shaped preference who maximizes the utilities derived from the portfolio's periodic performance over an infinite horizon. The periodic reward structure creates subtle incentive distortion. In some cases, local risk aversion is induced which discourages the agent from risk taking in the extreme bad states of the world. In some other cases, eventual ruin of the portfolio is inevitable and the agent underinvests in the good states of the world to manipulate the basis of subsequent performance evaluations. We outline several important elements of incentive design to contain the long-term portfolio risk. (Joint work with Alex  S.L. Tse)

个人简介:

Harry Zheng，英国帝国理工学院教授，Professor Zheng从事随机控制和优化、金融数学领域研究，在Operations Research，Mathematics of Operations Research, SIAM Journal on Control and Optimization, Finance and Stochastics, SIAM Journal on Financial Mathematics, Journal of Economic Dynamics and Control, Quantitative Finance等top期刊（SCI或SSCI）发表数十篇论文。