时 间：2021年6月3日（周四）15:00-16:30
地 点：理科大楼A1514，腾讯会议ID: 871139774
主 题：How Endogenization of the Reference Point Affects Loss Aversion: A Study of Portfolio Selection
主讲人：Moris Simon Strub 南方科技大学商学院助理教授
主持人：石芸副教授
摘 要：
We study the implications of various models of reference point formation on optimal decision making in the context of portfolio optimization under loss aversion. Specifically, we first consider the partially endogenous model of De Giorgi and Post [Management Science 57 (6):1094--1110, 2011], where the reference point is determined in equilibrium but contains an exogenous component. We find that optimal trading behavior is as if the reference point were completely exogenous and that allowing for a mental adjustment of the reference point solely manifests itself in a lower degree of loss aversion. We then propose two novel models of reference point formation: A model of a reference point determined by optimal expectations, and a model of mental reference point updating. Our conclusions on the effect of an endogenized reference point on portfolio selection under loss aversion are also confirmed under these two models. These findings suggest that it is difficult to separately identify an agent's degree of loss aversion and his/her reference point, and may help to explain why experienced and sophisticated agents appear to be less loss averse than expected in some field settings. Our models also predict that displays of loss aversion are decreasing in the duration a decision maker is given to contemplate a decision.
报告人简介：
Moris Strub于2019年10月加入南方科技大学商学院。他的主要研究方向是投资组合选择、行为金融学和经济学、金融数学、风险管理和智能投顾。Moris特别乐于使用数学作为解决问题的工具，这些问题需要来自各个领域的真知灼见。他曾于苏黎世联邦理工学院取得数学理学士学位及应用数学理学硕士学位，并于香港中文大学取得金融工程博士学位。在加入南方科技大学之前，他曾在香港中文大学担任博士后研究员，并在哥伦比亚大学担任助理研究员。主要论文发表于 “Journal of Economic Dynamics and Control”和“Mathematical Finance”、“Finance and Stochastics”、“Operations Research”等高水平期刊。