Rank-Dependent Utility and Risk Taking in Complete Markets

[SEEM5202 Seminar Announcement] (Monday, March 23, 2015, 11:00am - 12:30pm)


                Department of Systems Engineering and Engineering Management
                             The Chinese University of Hong Kong


Date: Monday, 11:00am - 12:30pm, March 23, 2015

Title: Rank-Dependent Utility and Risk Taking in Complete Markets 

Speaker: Xuedong He, Assistant Professor of Columbia University


We analyse the portfolio choice problem of investors who maximise rank-dependent utility in a single-period complete market. We propose a new notion of less risk taking: choosing optimal terminal wealth that pays off more in bad states and less in good states of the economy. We prove that investors with a less risk averse preference relation in general choose more risky terminal wealth, receiving a risk premium in return for accepting conditional-zero-mean noise (more risk). However, such general comparative static results do not hold for portfolio weights, which we demonstrate with a counter-example in a continuous-time model.


Xuedong He received his bachelor degree in Mathematics and Applied Mathematics from Peking University in 2005. He joined the Chinese University of Hong Kong as a Ph.D. student in 2005 and moved to the University of Oxford in 2008. After receiving his doctorate degree in Mathematical Finance from Oxford in 2009, he joined the Department of Industrial Engineering and Operations Research at Columbia and has been an assistant professor since then. 


Xuedong He's research interests include portfolio selection and asset pricing in behavioural finance and risk management. He has published papers in leading journals such as Management Science, Mathematical Finance, and Mathematics of Operations Research. He is serving as Associate Editor for Operations Research. He also organised clusters and sessions in international conferences such as the INFORMS Annual Meeting 2012--2014 and the SIAM Financial Mathematics and Engineering Conference 2014. 


Everyone is welcome to attend the talk!


Venue: Room 513,

      William M.W. Mong Engineering Building (ERB),

      (Engineering Building Complex Phase 2)

      The Chinese University of Hong Kong.

The talk will be hosted by:
Prof. Helen Meng,
Department of Systems Engineering and Engineering Management,
The Chinese University of Hong Kong,


SEEM-5202 Website:


Monday, March 23, 2015 - 03:00 to 04:30