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        Department of Systems Engineering and Engineering Management

                            The Chinese University of Hong Kong

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Date: Friday, August 30, 2024, 4:30 pm to 5:30 pm HKT

Venue: ERB 513, The Chinese University of Hong Kong

Title: Portfolio Selection in Contests

Speaker: Dr. Alex Tse, University College London



Abstract:

In an investment contest with incomplete information, a finite number of agents dynamically trade assets with idiosyncratic risk and are rewarded based on the relative ranking of their terminal portfolio values. We explicitly characterize a symmetric Nash equilibrium of the contest and rigorously verify its uniqueness. The connection between the reward structure and the agents' portfolio strategies is examined. A top-heavy payout rule results in an equilibrium portfolio return distribution with high positive skewness, which suffers from a large likelihood of poor performance. Risky asset holding increases when competition intensifies in a winner-takes-all contest. This is joint work with Yumin Lu.



Biography:

Dr. Alex Tse is currently a Lecturer (Assistant Professor) in Financial Mathematics at University College London. His research areas include stochastic control, optimal stopping, and their applications to financial economics. He received his PhD from the University of Warwick in 2017 and has held positions at the University of Cambridge, Imperial College London, and the University of Exeter Business School. He has published in a variety of journals such as Operations Research, Journal of Financial and Quantitative Analysis, Journal of Economic Theory, Mathematical Finance, etc. Prior to his academic career, he has been a practitioner working in the equity derivatives trading team at the Australia and New Zealand Banking Group for several years.



Everyone is welcome to attend the talk!

SEEM-5201 Website: http://seminar.se.cuhk.edu.hk

Email: seem5201@se.cuhk.edu.hk