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美国匹兹堡大学 陈新富教授:Portfolio selection with capital gains tax, recursive utility, and regime switching

([西财新闻] 发布于 :2018-05-04 )

光华讲坛——社会名流与企业家论坛第4911期

主题:Portfolio selection with capital gains tax, recursive utility, and regime switching

主讲人:美国匹兹堡大学 陈新富教授

主持人:经济数学学院 王琪副教授

时 间:201854日(星期五)下午16:00

地 点:西南财经大学柳林校区通博楼B412

主办单位:经济数学学院  科研处

 

主讲人简介:

陈新富(Xinfu Chen,匹兹堡大学教授,国际著名数学家,偏微分方程领域一流学者。1980年至1986年在北京大学数学系读本科和硕士研究生,后就读美国明尼苏达大学,师从美国科学院院士、美国艺术与科学院院士Avner Friedman1991年博士毕业,论文获得Sloan1990-1991)。之后进入匹兹堡大学工作,2000年任正教授。曾获得Sloan研究奖(1991-1994)及多次美国自然科学基金。陈教授研究领域广泛,特别对偏微分方中的奇异摄动、自由边界、行波解、整体解与爆破、混沌理论等问题有极其深入的研究,在多项领域里取得了国际领先的成果,论文发表在包括Mathematische AnnalenArchive for Rational Mechanics and AnalysisJournal of Differential Geometry等国际顶尖杂志以及SIAM,J. Math. Anal., Journal of Computational Physics, Communications in Partial Differential Equations, Transactions of the American Mathematical Society, Mathematical Finance等国际一流杂志上。

近年来,陈教授开始从事金融数学方面的研究,特别是偏微分方程在美式期权定价问题中的应用,如最优执行价格边界问题、带分红的美式期权执行价格问题等,取得了一系列卓越的成果,相关论文发表在Management Science, Archive for Rational Mechanics and AnalysisMathematical FinanceSIAM Journal on Financial Mathematics等一流杂志中。

内容提要:

Capital gains taxation has important implications for investors’ portfolio choice decisions. To explore these implications, we develop a continuous time investment and consumption model with capital gains tax, Epstein–Zin recursive utility, and regime switching. We find that various factors, such as tax rate, risk aversion, interest rate, stock return, and volatility, jointly affect optimal portfolio allocation, whereas intertemporal substitution does not. In a regime switching market, investors may trade or stop trading purely because of a change in regime, and there is a distinct cross-regime effect on optimal portfolio allocation. In particular, investors tend to raise stock investment in a bear regime so as to reduce potential tax payments upon regime switching. Given reasonable parameter values, regime switching has a greater impact on optimal portfolio allocation in a bear regime than in a bull regime.  This talk is based on a joint work with Jiatu Cai and Min Dai appeared in Management Science.

 


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