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学术讲座:Introduction to Cumulative Prospect Theory with Applications

 

讲座题目:Introduction to Cumulative Prospect Theory with Applications
主讲人:邹斌
时间:201777, 下午16:00 17:00
地点:博学楼925
 
讲座人简介:
邹斌博士,康涅狄格大学数学系助理教授(tenure track Assistant Professor at the University of Connecticut),目前为华盛顿大学应用数学系访问助理教授(Acting Assistant Professor at the University of Washington)。 2007年获北京理工大学学士,2009年获北京理工大学硕士,2014年获加拿大阿尔伯特大学(University of Alberta)博士。 20155月至20168月,德国慕尼黑工业大学 (Technical University of Munich) 数学系金融数学博士后。 所著论文发表在International Journal of Theoretical and Applied Finance, Mathematica and Financial Economics, Insurance: Mathematics and Economics等国外期刊。 担任SIAM on Financial Mathematics, Mathematics of Operations Research, Journal of Banking and Finance等知名期刊的审稿人。 
 
讲座内容简介:
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.