时间：2021年9月30日（周四）14:00-16:00

腾讯会议：371 716 937

主题：Investment-consumption Decision with a Quasi-hyperbolic Discount Function and Dynamic Evaluations of Exit Probability

主讲人：伍慧玲教授（中央财经大学）

主讲人简介

伍慧玲，中央财经大学教授，博士生导师，主持3项国家自然科学基金项目和教育部人文社科项目以及1项中央财经大学创新团队项目，参与多项国家级自然科学基金面上项目、北京市哲学社会科学重点项目、教育部人文社科基地重大项目，以及国家社科基金重点项目；在系统工程理论与实践，中国管理科学学报，管理评论，Insurance: Mathematics and Economics, Economic Modelling, OR Spectrum, Journal of Optimization Theory and Applications等国内外杂志发表了三十多篇论文；担任国内外多个知名学术期刊的匿名审稿人；担任中国现场统计研究会风险管理与精算分会理事以及中国优选法统筹法与经济数学研究会量化金融与保险分会理事。

摘要:

This paper investigates a multi-period investment-consumption problem where the discount function is quasi-hyperbolic and the exit probability is dynamically evaluated over time in view of the subjective information of the decision-maker. The problem is time-inconsistent due to the quasi-hyperbolic discount function and the updated exit probability over time, so we obtain the investment-consumption strategy under the framework of Nash equilibrium. We find that the quasi-hyperbolic discount function can essentially change the consumption pattern, and the investors with low risk aversion and low bequest utility are sensitive to the change of the quasi-hyperbolic discount function. For the effects of the exit probability, we obtain the conditions under which the consumption proportion is increasing along with the exit probabilities evaluated at the current time. By numerical analysis, the effects of the exit probabilities evaluated at each time on the consumption strategy and the expected wealth process are studied.