时 间：2023年12月5日14:00-16:00
地 点：腾讯会议ID:175-642-945
报告人：关国卉中国人民大学副教授
主持人：李丹萍华东师范大学副教授
摘 要：
This paper investigates 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. The verification theorem is established and an equilibrium strategy can be decomposed into a myopic demand and two hedging demands. When the prior is Gaussian, the closed form equilibrium solution is obtained. A puzzle in the numerical results is interpreted via an alternative representation of the smooth ambiguity preferences.
报告人简介：
关国卉，中国人民大学统计学院副教授，应用统计科学研究中心研究员。主要研究领域包括最优再保险，最优资产配置和养老金管理等。在Insurance: Mathematics and Economics、Scandinavian Actuarial Journal、North American Actuarial Journal、European Journal of Operational Research、Journal of Economic Dynamics and Control等期刊发表多篇论文，主持国家自科面上项目一项，主持并完成国家自科青年项目、博士后基金面上一等资助等。