报告人:林 祥（浙江工商大学）

时  间:2018年 11月29日 上午10:00--11:00

地  点:理科楼 LD402

摘  要: In this talk we will investigate the optimal portfolio selection problems for n interacting investors in a continuous time framework. We first consider portfolio selection problem for agents when they take the performance of their peers into account. We provide tractable formulations of relative performance concerns between n risk averse agents in a continuous-time setting, and solve for their equilibrium policies in closed-form. Sensitivity analysis and numerical examples are also provided to illustrate how the Nash equilibrium policies and the utility loss change when some model parameters vary. Second we will consider the optimal portfolio selection problems for n interacting investors when they cooperate with each other. We also provide tractable formulations of cooperation between n risk averse agents in a continuous-time setting, and solve for their equilibrium policies in closed-form. We give the condition under which cooperation can improve agents' expected terminal wealth utility.

报告人简介:林祥，浙江工商大学金融学院，博士、教授、中国准精算师，日本大阪大学博士后。主要研究领域为数理金融（资产定价、最优投资组合、风险管理）、保险精算（破产理论、最优投资再保险、养老金精算）、微分博弈及其应用等。正主持承担国家自然科学基金面上项目、教育部人文社科一般项目、浙江省自然科学基金项目等。在《Scandinavian Actuarial Journal》、《Mathematical Methods of Operations Research》、《North American Actuarial Journal》等国内国际期刊发表学术论文四十多篇。

学院联系人:张志民 刘朝林 周国立

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