Speaker:Prof Min DAI, National University of Singapore

Date:2019/06/04, Tuesday, 4:00-5:30

Venue:览秀楼105

Abstract: The problems of non-concave utility maximization appear in many areas, such as in behavior economics, incentive schemes, and goal problems. The standard approach to solving these problems is to use the concavification principle. We provide a framework for solving non-concave utility maximization problems, where the concavification principle may not hold and the utility functions can be discontinuous. In particular, we find that adding portfolio constraints, which makes the concavification principle invalid, can significantly affect economic insights in the existing literature. Theoretically, we show that a monotone, stable, and consistent finite difference numerical scheme still converges to the value function under the framework. This work is jointly with Steven Kou, Shuaijie Qian, and Xiangwei Wan

报告人简介:

Dai Min教授现任新加坡国立大学数量金融中心主任。在金融科技、金融衍生产品定价与对冲、动态投资策略等领域做了很多深入的工作。文章发表在Journal of Economic Theory，Management Science，Mathematical Finance，Review of Financial Studies等国际一流期刊。目前担任SIAM Journal on Financial Mathematics，Journal of Economic Dynamics & Control等期刊编委。