學(xué)術(shù)信息
學(xué)術(shù)講座：Introduction to Cumulative Prospect Theory with Applications
日期：2017-06-20 | 訪問(wèn)量：
學(xué)術(shù)講座：Introduction to Cumulative Prospect Theory with Applications
講座題目：Introduction to Cumulative Prospect Theory with Applications 主講人：鄒斌 時(shí)間：2017年7月7日, 下午16:00 – 17:00 地點(diǎn)：博學(xué)樓925 講座人簡(jiǎn)介： 鄒斌博士，康涅狄格大學(xué)數(shù)學(xué)系助理教授（tenure track Assistant Professor at the University of Connecticut），目前為華盛頓大學(xué)應(yīng)用數(shù)學(xué)系訪問(wèn)助理教授（Acting Assistant Professor at the University of Washington）。 2007年獲北京理工大學(xué)學(xué)士，2009年獲北京理工大學(xué)碩士，2014年獲加拿大阿爾伯特大學(xué)（University of Alberta）博士。 2015月5月至2016年8月，德國(guó)慕尼黑工業(yè)大學(xué) (Technical University of Munich) 數(shù)學(xué)系金融數(shù)學(xué)博士后。 所著論文發(fā)表在International Journal of Theoretical and Applied Finance, Mathematica and Financial Economics, Insurance: Mathematics and Economics等國(guó)外期刊。 擔(dān)任SIAM on Financial Mathematics, Mathematics of Operations Research, Journal of Banking and Finance等知名期刊的審稿人。 個(gè)人主頁(yè)： https://sites.google.com/site/zoubin19 講座內(nèi)容簡(jiǎn)介： Through a comparison with the classical Expected Utility Theory (EUT), we review the characteristics and framework of Cumulative Prospect Theory (CPT), proposed by Tversky and Kahneman (1992). We then apply CPT to study optimal hedge fund management problems for a loss averse manager. Explicit optimal policies are obtained under special conditions. We also conduct a sensitivity analysis to investigate the impact of various factors on the fund risk.