讲座主题：Topics on equilibrium portfolio selection for smooth ambiguity preferences
讲座时间：2024年10月18日（周五），14：00—16：00
讲座地点：伟德betvlctor体育官网沙河校区13号楼215会议室
主讲人：梁宗霞教授
主讲人简介：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。
Abstract: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. Thenwe introduce twonew topics relating to smooth ambiguity preferences.
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