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

Title: Consumption-based Behavioural Portfolio Selection in  Continuous Time

Speaker: Dr. Hanqing Jin (University of Oxford)

Date: Sep. 4th, 2012 (Tuesday)

Time: 4:30 p.m. - 5:30 p.m.

Venue: Room 513
            William M.W. Mong Engineering Building
            (Engineering Building Complex Phase 2)
            CUHK

Abstract:
We study the optimal consumption-investment problem in a  continuous-time financial market with  behavioural criteria  featured by $S$-shaped utility  function and probability distortions. Different formulations of the problem are studied. When  optimal  solution exists, we get explicit solutions based on some algebraic equations.

Biography:
　

Hanqing Jin is a University Lecturer in the University of Oxford. He  received his
Mphil. in Mathematics from Nankai University in 2001, and the PhD in  Financial
Engineering from SEEM in CUHK in 2004, and then moved to the National  University of Singapore in 2006. His research interests include  Mathematical Finance, Operations
Research, and Applied Stochastic Analysis. His research focuses on  portfolio selection, behavioural finance and time consistence in  financial decision making.
 

************************* ALL ARE WELCOME ************************

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