题目：Utility Maximization with Periodic Evaluations

报告人：Prof. Harry Zheng  (Imperial College)

时间：2023年7月4日（星期二）15：00—16：00

地点：致远楼101室

摘要：We present a continuous-time portfolio selection problem faced by an agent with S-shaped preference who maximizes the utilities derived from the portfolio's periodic performance over an infinite horizon. The periodic reward structure creates subtle incentive distortion. In some cases, local risk aversion is induced which discourages the agent from risk taking in the extreme bad states of the world. In some other cases, eventual ruin of the portfolio is inevitable and the agent underinvests in the good states of the world to manipulate the basis of subsequent performance evaluations. We outline several important elements of incentive design to contain the long-term portfolio risk. (Joint work with Alex S.L. Tse)

报告人简介：Harry Zheng, Profess of Imperial College, London, UK. He is well known in the researches on stochastic control and optimization and financial mathematics. He has published many important papers on top journals such as Mathematics of Operations Research, SIAM Journal on Control and Optimization, Finance and Stochastics, SIAM Journal on Financial Mathematics, Journal of Economic Dynamics and Control, Quantitative Finance etc.  He has visited our school for many times.

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