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Seminar
Department of Systems Engineering and Engineering Management
The Chinese
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Title |
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Consumption-based Behavioural
Portfolio Selection in Continuous Time |
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Speaker |
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Dr. Hanqing Jin |
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Date |
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Sep. 4th, 2012 (Tuesday) |
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Time |
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4:30 p.m. - 5:30 p.m. |
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Venue |
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Room 513 |
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William M.W. Mong Engineering
Building |
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(Engineering Building Complex Phase 2) |
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CUHK |
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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. |
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Biography:
Hanqing Jin is a University Lecturer in the |
************************* ALL ARE WELCOME ************************
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Host |
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Prof. Xunyu Zhou |
Tel |
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(852) 3943-8320 |
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Enquiries |
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Prof. Nan Chen or Prof. Sean X. Zhou |
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Department of Systems Engineering and Engineering
Management |
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CUHK |
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