报 告 人：金含清 副教授

报告题目：Time Inconsistent Utility Maximisation with Regime-Dependent Risk Aversion

报告时间：2017年9月21日上午：10:00—11:00

报告地点：知新楼B座1238

主办单位：数学学院、金融研究院

报告内容摘要：We study the utility maximisation problem in a continuous time market with regime switching.The regime does not only enter into the market parameters, but also changes the preference modelled by utility function. With the changing utility function, the utility maximisation problem is not time consistent. In this paper, we aims at the equilibrium trading strategy defined for time-inconsistent dynamic decision problem. We find out explicit equilibrium trading strategies for two types of utility functions. Surprisingly, they happen to be the same as the naive trading strategies, which are relatively easy to find but lack of justification in general.

金含清副教授简介：

牛津大学数学系副教授，2011年获南开大学硕士学位，2004年获香港中文大学博士学位，主要从事金融数学领域研究，在Mathematical Finance等著名学术期刊发表多篇论文，现是SIAM Journal on Control and Optimization 和 Mathematical Methods of Operations Research等国际学术期刊的编委。