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：APortfolio 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 effecthas been widely documented and behavioral types of explanations havedominated in the literature. In this paper, we develop an optimalportfolio rebalancing model in the presence of transaction costs andreturn predictability. We show that almost all of the dispositioneffect patterns found in the existing literature are consistent withoptimal trading strategies implied by our model. In addition, sellingwinners that subsequently  outperform held losers on average canbe optimal. Therefore, it becomes an empirical question how muchdisposition effect cannot be explained by optimal portfoliorebalancing.

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                         2015年10月19日