关于举行新加坡国立大学徐靖博士学术报告的通知

报告题目：A Portfolio Rebalancing Theory of Disposition Effect

报 告 人：徐靖博士（新加坡国立大学）

报告时间：10月21日 （周三） 上午10:00-11:00

报告地点：4号楼4318室

报告摘要：

Disposition effect has been widely documented and behavioral types of explanations have dominated in the literature. In this paper, we develop an optimal portfolio rebalancing model in the presence of transaction costs and return predictability. We show that almost all of the disposition effect patterns found in the existing literature are consistent with optimal trading strategies implied by our model. In addition, selling winners that subsequently  outperform held losers on average can be optimal. Therefore, it becomes an empirical question how much disposition effect cannot be explained by optimal portfolio rebalancing.

  欢迎广大师生前往!

                                                         数学学院

                          2015年10月19日