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金融工程研究中心学术报告:Dynamic Trading with Realization Utility

Speaker: Prof. Min Dai, Hong Kong Polytechnic University

Time: July 18 (Tuesday), 2023, 15:00-16:30

Venue: 览秀楼205

Abstract: An investor receives utility bursts from realizing gains and losses at the individual-stock level (Barberis and Xiong, 2009, 2012; Ingersoll and Jin, 2013) and dynamically allocates his mental budget between risky and risk-free assets at the trading-account level. Using savings, he reduces his stockholdings and is more willing to realize losses. Using leverage, he increases his stockholdings beyond his mental budget and is more reluctant to realize losses. While leverage strengthens the disposition effect, introducing leverage constraints mitigates it. Our model predicts that investors with stocks in deep losses sell them either immediately or after stocks rebound a little. This work is jointly with Cong Qin and Neng Wang.

 Biography: Min Dai is Chair Professor in Applied Statistics and Financial Mathematics, Department of Applied Mathematics, The Hong Kong Polytechnic University (HKPolyU). Prior to joining HKPolyU in 2021, he taught at National University of Singapore and Peking University after receiving his PhD degree from Fudan University in 2000. His research focuses on financial derivative pricing, portfolio selection with market imperfections, corporate finance, and financial technology. He published in peer-reviewed journals of different disciplines, such as Journal of Econometrics, Journal of Economic Theory, Management Science, Mathematical Finance, Review of Financial Studies, and SIAM Journals.  Currently he is a Co-editor of Digital Finance and serves in editorial boards of many academic journals, including Finance and Stochastics, Journal of Economic Dynamics and Control, SIAM Journal on Financial Mathematics, and Mathematics and Financial Economics.



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