数字技术与经济金融前沿论坛（第13期）

摘要：

We propose a new weighting function, generalized Wang transform, derived from normality invariance. This function takes various shapes, including concave, convex, S-shaped and inverse S-shaped functions, depending on the range of parameters and distinguishes the curvature and elevation of probability weighting. With this function, we prove the CAPM and Security Market Line Theorem under probability weighting by assuming risk aversion and loss aversion, respectively. Moreover, we find the overpricing of skewness through numerical analysis and provide intuitive explanations from the perspective of perceived distributions.

主讲人介绍：

张顺明，中国人民大学财政金融学院教授，博士生导师，中国人民大学金融工程研究所所长。华中师范大学数学系数学学士，中国科学院系统科学研究所数理经济学硕士和博士。曾任清华大学经济管理学院讲师和副教授，(加拿大)西安大略大学经济学系访问教授和博士后研究员，(新西兰)惠灵顿维多利亚大学经济金融学院研究员，厦门大学王亚南经济学特聘教授(博士生导师)。近期专注不确定性的最新进展，研究暧昧性与资产定价，包括金融市场有限参与的暧昧性内生因素、暧昧性与分散化投资、暧昧性与定价能力等行为金融学学术热点。在数理经济学、金融经济学、经济理论和经济政策等方面发表学术论文100多篇，发表国际期刊论文包括Journal of Mathematical Economics (1996), Mathematical Finance (2002), Journal of Mathematical Analysis and Applications (2006), Journal of Development Economics (2007), Economic Theory (2009), European Journal of Operational Research (2010), Journal of Banking and Finance (2011), Journal of Financial Markets (2017, 2023)等。