勷勤数学•专家报告

题      目：Life-time Portfolio and Consumption Choice with Defined Contribution Plans

报  告  人：钱帅杰   副教授  (邀请人：杨舟 )

                                     香港科技大学

时      间：6月11日  16：00-17：00

地     点：数科院西楼二楼会议室

报告人简介:

       Dr Shuaijie Qian is an Assistant Professor in Department of Mathematics, The Hong Kong University of Science and Technology. He obtained Ph.D. from National University of Singapore in 2020. His research interest falls into stochastic control problems arising from mathematical finance and financial engineering problems. His recent works cover portfolio selection with market frictions, non-standard utility maximization, and principle-agent contract design problem.

摘      要：

       We propose a model for examining optimal portfolio and consumption choice with Defined Contribution Plan (DCP) participation and taxation of labor and capital income. Using a space-truncating approach, we rigorously establish the connection between the participant’s value function and the associated Hamilton-Jacobi-Bellman equation. We decompose the value of the DCP participation option into several components, including the gains from deferring ordinary income taxes, from receiving employer’s matching, and from capital gains tax and diversification benefit of investing with the pension account. We find that suboptimal asset location will significantly reduce the option value, while suboptimal capital gains tax timing will not.

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