报告 人：金含清 副教授

报告题目：Time Inconsistent Utility Maximisation with Regime-Dependent RiskAversion

报告时间：2017年9月21日上午10:00-11:00

报告地点：知新楼B座1238

主办单位：数学学院、金融研究院

报告内容摘要：We study the utility maximisation problem in a continuous timemarket with regime switching. The regime does not only enter into the marketparameters, but also changes the preference modelled by utility function. Withthe changing utility function, the utility maximisation problem is not timeconsistent. In this paper, we aims at the equilibrium trading strategy definedfor time-inconsistent dynamic decision problem. We find out explicit equilibriumtrading strategies for two types of utility functions. Surprisingly, theyhappen to be the same as the naive trading strategies, which are relativelyeasy to find but lack of  justificationin general.

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