讲座题目：Topics on equilibrium portfolio selection for smooth ambiguity preferences
主讲人：梁宗霞 教授
主持人：危佳钦 教授
开始时间：2025-06-24 09:30
讲座地址：腾讯会议号: 330 483 675，会议密码: 409429
主办单位：统计学院
报告人简介：
梁宗霞，博士，清华大学数学科学系长聘教授, 博士生导师。主要从事精算科学、金融数学、概率论与随机分析、随机控制与优化等理论方面的研究。在这些领域的国际顶级学术期刊或一流学术期刊如Insurance: Mathematics and Economics (IME)、Scandinavian Actuarial Journal(SAJ)、 North American Actuarial Journal (NAAJ)等学术杂志上发表学术论文九十余篇，取得了系列具有国际影响力的原创性基础理论研究成果。
报告内容：
In this talk we first investigate the equilibrium portfolio selection for smooth ambiguity preferences in a continuous-time market. The investor is uncertain about the risky asset’s drift term and updates the subjective belief according to the Bayesian rule. A verification theorem is established, and an equilibrium strategy can be decomposed into a myopic demand and two hedging demands. When the prior is Gaussian, we provide a closed-form equilibrium solution. Moreover, a puzzle in the numerical results is interpreted via an alternative representation of the smooth ambiguity preferences. Then we introduce three new topics relating to smooth ambiguity preferences.
