題目：Social Networks, Mutually Targeted Reference Points, and Wealth Dynamics
主講人：婁有成 博士（香港中文大學）
時間：2016年12月28日15:40-16:25
地點：主樓241會議室
主講人介紹：
婁有成，香港中文大學博士后。前幾年的主要研究工作是分布式優化，主要是設計分布式優化算法使得網絡中的個體通過局部優化和基于鄰居規則的信息交互方式使得網絡達到整體優化。關于分布式優化方面的工作已發表5篇第一作者期刊論文，其中包括運籌領域國際著名期刊European Journal of Operational Research，系統控制領域國際頂級期刊IEEE Transactions on Automatic Control和Automatica。今年以來的研究工作主要集中在復雜網絡和經濟金融的交叉方面，具體考慮網絡中鄰居個體之間的相互關系對微觀層面個體經濟決策的影響以及對宏觀層面整個網絡行為的影響。
內容介紹：
We formulate a multi-agent infinitely repeated portfolio choice model in a network consisting of multiple investors in a financial market under the framework of Kahneman and Tversky's Cumulative Prospect Theory (CPT). Every investor' reference point is dynamic and is taken as a weighted average of this investor' current wealth level and the maximum of her neighbors' current wealth levels. The weight in the reference point adaptation is referred to as the coefficient of aggressiveness over wealth maximization. In this paper we focus mainly on the impact of the coefficient of aggressiveness on wealth gap among investors. We first establish a threshold of the coefficient of aggressiveness for complete graphs and it reveals that below this threshold the network will achieve common prosperity, and above this threshold polarization will arise. Then for general graphs we provide some sufficient conditions for common prosperity and polarization. Besides the wealth gap problem, we also establish the piecewise linearity of the optimal investment strategy of the existing single-agent single-period portfolio choice problem, and specify the market conditions for longing or shorting the risky asset.
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