【主 题】 Robust lifetime decisions with time-inconsistent preferences and model uncertainty

【报告人】 陈树敏, 副教授

广东工业大学

【时 间】 2019年12月18日   10:00-11:00

【地 点】 上海财经大学统计与管理学院大楼1208会议室

【摘 要】This paper considers the optimal investment, consumption and life insurance decisions for an investor who has time-inconsistent preferences and is ambiguous model aversive. The time-inconsistent preferences are modeled by a quasi-hyperbolic discount function, with which the investor is depicted as a sequence of successive selves. The investor is allowed to invest in the financial market, including a risk-free and a risky asset. Return of the risky asset is assumed to be predictable. We consider the optimization problem as a leader-follower game between successive selves and define the investor's strategies as subgame perfect equilibrium strategies. For a CARA investor, we obtain the optimal strategies explicitly and characterize various features for them. The utility losses from neglecting time-inconsistent preferences or model ambiguity are also explicitly derived. Our results show that model ambiguity reduces consumption and life insurance, while return predictability and time-inconsistent preferences lead to contrary effects.

【嘉宾简介】陈树敏,广东工业大学管理学院副教授、硕士生导师。主要从事金融工程、保险精算等领域的研究，目前已在 Siam Journal on Financial Mathematics、Journal of Economic Dynamics and Control、Insurance: Mathematics and Economics、ASTIN Bulletin、管理科学学报等期刊上发表论文二十余篇，主持国家自然科学基金青年/面上项目、中国博士后基金面上/特别资助项目、广东省自然科学基金等6项省部级以上基金项目。

【主持人】崔翔宇