文澜金融论坛（第266期）

Abstract:

We develop a model where a realization-utility investor (Barberis and Xiong, 2009, 2012; Ingersoll and Jin, 2013) optimally targets her liquid-illiquid wealth ratio at a constant w*. By saving in the risk-free asset (w*>0), she makes smaller bets in the illiquid asset and realizes gains/losses more frequently. By leveraging (w*<0), she makes bets larger than her equity and realizes gains/losses less frequently. For a discontinuous/jump-diffusion price process, the solution features four regions: loss-realization, gain-realization, and two disconnected (deep-loss and normal) holding regions. We generate a quantitatively significant non-monotonic propensity to realize losses consistent with evidence.

主讲人介绍：

秦聪，现任苏大金融工程研究中心副教授，苏州大学优秀青年学者。研究方向包括金融工程、金融科技、行为金融、投资组合、经济增长等。其研究结果发表在《Mathematical Finance》、《SIAM Journal on Financial Mathematics》等金融工程权威期刊上，2019年获得中国运筹学会金融工程与金融风险管理分会青年学者最佳论文奖。现任中国运筹学会金融工程与风险管理分会理事，中国优选法统筹法与经济数学研究会量化金融与保险分会理事，2021年入选苏州市区块链技术和产业协会专家智库。先后主持国家自然科学基金青年项目1项、江苏省自然科学基金青年项目1项、江苏省高校自然科学基金面上项目1项。