题目：Periodic Evaluation with Non-Concave Utility

报告人：秦聪 助理教授 （上海财经大学）

地点：致远楼101室

时间：2024年12月9日（星期一）14：00—15：00

摘要：A fund manager’s performance is often evaluated annually and compared with a benchmark, such as a market index. In addition, the manager may be subject to trading constraints, such as limited use of leverage, no short-selling, and a forced liquidation clause. We formulate this as a periodic evaluation problem with a non-concave utility, a stochastic reference point, and trading constraints. The value function is characterized as the unique fixed point of a Hamilton-Jacobi-Bellman equation with periodic terminal and boundary conditions, which must be imposed carefully due to possible discontinuities at the terminal time and/or on the liquidation boundary. We find that adding a stochastic reference point and/or trading constraints can offer distinct economic insights and implications, consistent with existing empirical findings.

报告人简介： 秦聪，上海财经大学金融学院助理教授，研究方向为金融工程、行为金融、投资组合等。先后主持和参与多项国家级和省部级科研项目，并担任中国运筹学会金融工程与金融风险管理分会常务理事、中国优选法统筹法与经济数学研究会量化金融与保险分会理事。2019年获得中国运筹学会金融工程与金融风险管理分会青年学者最佳论文奖，其研究成果发表或接受发表在Journal of Finance、Mathematical Finance、SIAM Journal on Financial Mathematics等国际一流期刊上。

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