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  • 统计与管理学院2016年学术报告第39

     

    【主  题】Realization Utility with Adaptive Reference Points

    【报告人】 Xuedong He, Ph.D.

    香港中文大学

    【时  间】 2016年10月14日(星期五)15:00-16:00

    【地  点】 上海财经大学统计与管理学院大楼1208室

    【摘  要】We consider a dynamic trading problem in which an agent decides when to sell a stock to maximize her terminal wealth utility and realization utility with her reference point adapting to the stock's gain and loss asymmetrically. We study, both theoretically and numerically, the optimal trading strategies of the agent and find that the asymmetric reference point adaptation leads the agent to sell the stock less frequently. Finally, we calibrate our model to the statistics obtained in the empirical study of disposition effect by Odean (1998) and Dhar and Zhu (2006).

    【嘉宾简介】 Xuedong He received the B.Sc. degree in Mathematics and Applied Mathematics from Peking University in 2005 and the Ph.D. degree in Mathematical Finance from the University of Oxford in 2009. He was an assistant professor at Columbia University from 2009 to 2015 and joined the Chinese University of Hong Kong as an associate professor in 2016.

    Xuedong He's research interests include portfolio selection and asset pricing in behavioral finance and risk management. He has published papers in leading journals such as Management Science, Mathematical Finance, and Mathematics of Operations Research. He is serving as Associate Editor for Operations Research. He also organized clusters and sessions in international conferences such as the INFORMS Annual Meetings 2012--2014 and the SIAM Financial Mathematics and Engineering Conference 2014.

    【邀请人】 崔翔宇