时 间：2020年11月23日(周一) 10:00-11:00
地 点：Zoom会议号：69194640501
题 目：Stackelberg mutual fund management game
主讲人：沈洋 新南威尔士大学高级讲师
摘 要：
This paper investigates a Stackelberg game between a mutual fund manager (she) and an individual investor (he), where the mutual fund manager manages an active fund and the investor can only allocate his wealth among a risk-free asset, the active mutual fund, and a passive index fund. The passive index fund is composed of a fixed portfolio of all securities in the market. Assume that the mutual fund manager faces portfolio constraint due to the investment style of the mutual fund under her management. The investor aims at maximizing the expected constant relative risk aversion (CRRA) utility of his terminal wealth, while the mutual fund manager's objective is to maximize the expected value of the accumulative discounted management fees from the investor. By applying the dynamic programming principle approach, we solve two associated Hamilton-Jacobi-Bellman (HJB) equations and obtain Stackelberg equilibrium strategies for both the mutual fund manager and the investor in closed-form expressions. Finally, we provide numerical examples to analyze the effects of some parameters on the equilibrium strategies.