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                                                     Seminar

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

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Title

:

Hope, Fear and Aspiration

　

　

　

Speaker

:

Xuedong He

　

　

Assistant Professor

　

　

Columbia University

　

　

　

Date

:

Aug 14th, 2009 (Friday)

　

　

　

Time

:

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

　

　

　

Venue

:

Room 513

　

　

William M.W. Mong Engineering Building

　

　

(Engineering Building Complex Phase 2)

　

　

CUHK

　

　

　

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Abstract:
　

In this paper, we propose a new portfolio choice model in continuous time which features three key human incentives in making choices: hope, fear and aspiration. By applying recently developed quantile formulation, we solve this model completely. Three quantitative indices: fear index, hope index and lottery-likeness index are proposed to study the impact of hope, fear and aspiration respectively on the investment behavior. We find that the extreme fear would prevent the agent from risking too much and consequently he has to set a secured payoff level he must reach even in the poor market.
However, once the fear is sufficient strong, it does not matter how strong it is and the investment strategies remain unchanged.
On the other side, the hope will drive the agent to be aggressive, and the more hopeful he is, the more aggressive he will be. Finally, a high aspiration will lead to a lottery-like terminal payoff, indicating that the agent will risk much. The higher the aspiration is, the more risk the agent would or have to take.


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Biography:
　

Xuedong He received the BSc degree in Mathematics and Applied Mathematics in Peking University in 2005. He joined the Chinese University of Hong Kong as a PhD student in 2005 and then moved to the University of Oxford in 2008. In July 2009, He received DPhil in Mathematical Finance in University of Oxford. From September 2009, He will work as the assistant professor in Columbia University.

His research interests include behavioral finance, portfolio choice and stochastic control.


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

　

　

　

Host

:

Prof. Chen Nan

Tel

:

(852) 2609-8237

Email

:

nchen@se.cuhk.edu.hk

　

　

　

Enquiries

:

Prof. Nan Chen or Prof. Sean X. Zhou

　

:

Department of Systems Engineering and Engineering Management

　

　

CUHK

Website

:

http://www.se.cuhk.edu.hk/~seg5810

Email

:

seg5810@se.cuhk.edu.hk

　

　

　

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