岭南学术论坛-金融学系列Seminar-How Endogenization of the Reference Point Affects Loss Aversion: A Study of Portfolio Selection
第590期岭南学术论坛(金融学系列Seminar)
报告题目:How Endogenization of the Reference Point Affects Loss Aversion: A Study of Portfolio Selection
报 告 人:Moris Simon Strub(南方科技大学,助理教授)
主 持 人:Christian Hilpert(中山大学岭南学院,助理教授)
时 间:2021年10月29日(周五)14:00-16:30
地 点:MBA楼201
语 言:英文
摘要:
We study the implications of various models of reference point formation on optimal decision making in the context of portfolio optimization under loss aversion. If the reference point is exogenously given, then the predictions of any such model crucially depend on the choice of the reference point. On the other hand, if the reference point were fully endogenously determined, then loss aversion would not affect choice behavior, which is in violation of the empirical evidence. We thus consider the partially endogenous model of De Giorgi and Post [Management Science 57 (6):1094–1110, 2011], where the reference point is determined in equilibrium but contains an exogenous component. We find that optimal trading behavior is as if the reference point were completely exogenous and that allowing for a mental adjustment of the reference point solely manifests itself in a lower degree of loss aversion. We then propose two novel models of reference point formation: A model of a mentally optimal reference point and a model of mental reference point updating. Our conclusions on the effect of an endogenized reference point on portfolio selection under loss aversion are also confirmed under these two models.
报告人简介:
Dr. Moris Simon Strub于2019年10月加入南方科技大学商学院。他的主要研究方向是投资组合选择、行为金融学和经济学、金融数学、风险管理和智能投顾。Moris特别乐于使用数学作为解决问题的工具,这些问题需要来自各个领域的真知灼见。他曾于苏黎世联邦理工学院取得数学理学士学位及应用数学理学硕士学位,并于香港中文大学取得金融工程博士学位。在加入南方科技大学之前,他曾在香港中文大学担任博士后研究员,并在哥伦比亚大学担任助理研究员。
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中山大学岭南学术论坛分经济、金融和管理三个系列,是定期邀请国内外优秀学者前来开展学术交流的平台。每系列每个月定期举办2-3次。目前已经成功举办多期,并得到了各界的高度评价。