深圳大学四十周年校庆暨数学学科四十周年庆

荔园学者Colloquium第三十期

讲座题目:Dynamic Trading with Realization Utility

主讲人：戴民 教授（香港理工大学）

讲座时间：2023年6月19日10：00-11：00

讲座地点：深圳大学粤海校区国际会议厅大厅

内容概述：We develop a model where a realization-utility agent can simultaneously invest in a risky asset and a risk-free asset. By saving in the risk-free asset the agent makes smaller trades at higher frequencies, spreading out his trades over time to reduce the downside risk. By using leverage, the agent trades larger than his budget and is thus more reluctant to realize losses. While leverage strengthens the disposition effect, imposing leverage constraints mitigates it. Our model generates a voluntary realization of deep losses, because of the interaction between downward asset-price jumps and the option to save in the risky asset. Our model predictions are consistent with empirical evidence. This work is joint with Cong Qin and Neng Wang.

主讲人简介：戴民教授于2000年于复旦大学获得数学博士，现任香港理工大学应用数学系讲席教授。在此之前，曾在新加坡国立大学、北京大学任教。其研究领域为数量金融和金融科技，在Journal of Econometrics, Journal of Economic Theory, Management Science, Mathematical Finance, Review of Financial Studies,  SIAM Journals等期刊发表论文40余篇。现任Digital Finance 的Co-editor和Finance and Stochastics, Journal of Economic Dynamics and Control, SIAM Journal on Financial Mathematics, Mathematics and Financial Economics, Digital Finance等期刊编委。

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2023年06月15日