華師經(jīng)管學術講座第378期（管理）
時間：2021年9月30日（周四）14:00-16:00
騰訊會議：371 716 937
主題：Investment-consumption Decision with a Quasi-hyperbolic Discount Function and Dynamic Evaluations of Exit Probability
主講人：伍慧玲教授（中央財經(jīng)大學）
主講人簡介
伍慧玲，中央財經(jīng)大學教授，博士生導師，主持3項國家自然科學基金項目和教育部人文社科項目以及1項中央財經(jīng)大學創(chuàng)新團隊項目，參與多項國家級自然科學基金面上項目、北京市哲學社會科學重點項目、教育部人文社科基地重大項目，以及國家社科基金重點項目；在系統(tǒng)工程理論與實踐，中國管理科學學報，管理評論，Insurance: Mathematics and Economics, Economic Modelling, OR Spectrum, Journal of Optimization Theory and Applications等國內(nèi)外雜志發(fā)表了三十多篇論文；擔任國內(nèi)外多個知名學術期刊的匿名審稿人；擔任中國現(xiàn)場統(tǒng)計研究會風險管理與精算分會理事以及中國優(yōu)選法統(tǒng)籌法與經(jīng)濟數(shù)學研究會量化金融與保險分會理事。
摘要:
This paper investigates a multi-period investment-consumption problem where the discount function is quasi-hyperbolic and the exit probability is dynamically evaluated over time in view of the subjective information of the decision-maker. The problem is time-inconsistent due to the quasi-hyperbolic discount function and the updated exit probability over time, so we obtain the investment-consumption strategy under the framework of Nash equilibrium. We find that the quasi-hyperbolic discount function can essentially change the consumption pattern, and the investors with low risk aversion and low bequest utility are sensitive to the change of the quasi-hyperbolic discount function. For the effects of the exit probability, we obtain the conditions under which the consumption proportion is increasing along with the exit probabilities evaluated at the current time. By numerical analysis, the effects of the exit probabilities evaluated at each time on the consumption strategy and the expected wealth process are studied.