时 间：2023年11月21日 14:00-16:00
地 点: 腾讯会议ID:669-190-025
报告人：伍慧玲 中央财经大学研究员
主持人：李丹萍 华东师范大学 副教授
摘 要：
This paper studies a multi-period investment-consumption problem where the discount function is quasi-hyperbolic and the exit probability is dynamically evaluated over time. Specifically, we allow the flexibility that at any time between the current time and the terminal time, an investor can adjust the exit probabilities from the investment according to her belief on factors influencing investment decisions such as health status. To articulate the time-inconsistency, the optimal investment-consumption problem is formulated into a game theoretic problem between the investor and her future selves (or successors), and a sub-game perfect Nash equilibrium investment-consumption strategy is obtained. The essential effects of the quasi-hyperbolic discount function and the dynamically evaluated exit probabilities on the optimal investment-consumption
strategy and the optimal expected wealth are analyzed for investors with different risk aversion and bequest motivation. It is found that that the quasi-hyperbolic discount function may alter certain important properties of the investment-consumption proportion and the well-documented “hump saving” phenomenon. Moreover, we find that in most cases the investor will increase consumption if she or her successors increases the exit probabilities from the investment prior to the terminal time. When the current self of the investor does not allow the successors to adjust their exit probabilities, this autocratic behavior can reduce the value functions of the successors.
报告人简介：
伍慧玲，教授，博士生导师，主持多项国家自然科学基金项目，教育部人文社科项目以及中央财经大学创新团队项目，参与多项国家级自然科学基金面上项目、北京市哲学社会科学重点项目、教育部人文社科基地重大项目，以及国家社科基金重点项目。研究方向为最优投资组合、养老金管理，其研究成果发表在系统工程理论与实践，中国管理科学学报，系统科学与数学，管理评论，运筹与管理，管理科学学报，Insurance: Mathematics and Economics, Economic Modelling, OR Spectrum, Journal of Optimization Theory and Applications，International Review of Financial Analysis和Journal of System Science and Complexity等国内外杂志。担任国内外多个知名学术期刊的匿名审稿人；担任中国现场统计研究会风险管理与精算分会理事以及中国优选法统筹法与经济数学研究会量化金融与保险分会理事。