时间：2019年4月12日(周五)，13:30-15:00
地点：理科大楼 A302 会议室（中北校区）
题目：When Prospect Theory Preference Meets Mean-Reverting Asset Returns: A Dynamic Asset Allocation Model
主讲人：姚京 副教授（复旦大学金融研究院）
主持人：龚冰琳 研究员
摘要：
We examine how the evidence of mean-reversion in stock returns affects dynamic trading behavior for investors with prospect-theory preferences. Particular attention is paid to the trading incentives created by the interaction between prospect-theory preferences and mean-reverting return dynamics. Under general assumptions for the continuous-time financial market, we develop the semi-analytical portfolio policy by inverse Fourier Transformation method. By the revealed policy, we find that a small degree of mean reversion can be sufficient to reverse the direction of the investors' trading patterns. Further simulation results demonstrate that the combination of prospect theory and mean reversion can generate the disposition effect close to the data at the reasonable values of the underlying parameters. The results suggest that trading behavior patterns can be seriously misleading if the prospect theory allocation framework ignores time-variation in expected returns such as mean reversion.
主讲人简介：
姚京副教授，经济学博士。复旦大学金融研究院副教授。研究涉及是行为金融学，金融风险管理，中西文化差异等多个相关领域。近年来，研究成果已在Journal of Economic Dynamics and Control， Journal of Banking and Finance， Operations Research等学术期刊发表。