Abstract:

We have developed a unified equilibrium framework that brings time-inconsistent preferences, background risk, and smooth ambiguity under one roof. The core technical machinery, measure-indexed PDE systems and an ambiguity-weighted extended HJB equation, extends the Bjork-Khapko-Murgoci paradigm beyond the single-measure setting. The most striking economic finding is that ambiguity aversion, rather than background risk, is the structural force breaking two-fund separation and driving the quantitative magnitude of household equity under-investment. (Joint work with Jiawen Gu, Shijing Si, Mogens Steffensen) 

 

Biography:

 

Harry Zheng is a professor of mathematics at Imperial College London. He received BSc in applied mathematics and MSc in control theory at Fudan University and PhD in mathematics at University of British Columbia. His research interest is in stochastic control, convex optimization, applied probability, and mathematical finance. This talk is part of his stream of research in modelling and analysis of continuous time portfolio optimization.

 

Everyone is welcome to attend the talk!

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