题目：Social Networks, Mutually Targeted Reference Points, and Wealth Dynamics

主讲人：娄有成 博士（香港中文大学）

时间：2016年12月28日15:40-16:25

地点：主楼241会议室

主讲人介绍：

    娄有成，香港中文大学博士后。前几年的主要研究工作是分布式优化，主要是设计分布式优化算法使得网络中的个体通过局部优化和基于邻居规则的信息交互方式使得网络达到整体优化。关于分布式优化方面的工作已发表5篇第一作者期刊论文，其中包括运筹领域国际著名期刊European Journal of Operational Research，系统控制领域国际顶级期刊IEEE Transactions on Automatic Control和Automatica。今年以来的研究工作主要集中在复杂网络和经济金融的交叉方面，具体考虑网络中邻居个体之间的相互关系对微观层面个体经济决策的影响以及对宏观层面整个网络行为的影响。

内容介绍：

    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.

（承办：科研与学术交流中心）