At 10:00 a.m. on April 11, 2023, Digital Technology and Economic and Financial Frontier Forum (the 13th session) was successfully held in the offline and online Tencent conference. The speaker was Professor Zhang Shunming from the School of Finance and Banking, Renmin University of China, and the host was Associate Professor Sun Xianming from the School of Finance, Zhongnan University of Economics and Law. More than 100 students and teachers of the school participated in the lecture.

First of all, Professor Zhang Shunming introduced the topic of this paper with simple basic financial knowledge, introduced the fundamental differences between expected utility and unexpected utility theories, and focused his perspective on the basis of unexpected utility theory, namely, probability weighting function. On the basis of the two premises of the weighting function, Professor Zhang discussed the characteristics, historical development and application of the probability weighting function in asset pricing.
Then, Professor Zhang Shunming introduced the generalized King transform, including the specific function meaning, function shape type, about the intersection type, Professor Zhang put forward his own views, and pointed out the equivalent form of GWT through a simple transformation. Based on normal invariance, Professor Zhang Shunming proposed a new probability weighting function.

After that, Professor Zhang used the new probability-weighted model to prove the two types of CAPM models. First, he described the relevant hypotheses of the two types of CAPM models. Then, by summarizing the relevant evidence, he put forward the corresponding theorems and obtained some inferences, which proved that the CAPM model and SMLT model were valid under the conditions of this paper.
Finally, Professor Zhang Shunming introduced the risk aversion model and loss aversion model under skewed pricing and probability weighting, and listed relevant charts. After the cordial communication between Professor Zhang and the teachers and students present, Professor Zhang explained that the reasons for the selection of figures in the above chart were not introduced here, but we considered many factors, you can refer to relevant papers later for more information. Associate Professor Sun Xianming thanked Professor Zhang Shunming for his sharing. The forum was successfully concluded.

Speaker Introduction

Shunming Zhang, Professor, doctoral supervisor, School of Finance, Renmin University of China, Director, Institute of Financial Engineering, Renmin University of China, winner of National Science Fund for Outstanding Young People (2008), Special Professor of the Ministry of Education (2015). Bachelor of Mathematics, Department of Mathematics, Central China Normal University; Master and Doctor of Mathematical Economics, Institute of Systems Science, Chinese Academy of Sciences. He was a lecturer and associate professor at the School of Economics and Management of Tsinghua University, a visiting professor and postdoctoral researcher at the Department of Economics of the University of Western Ontario (Canada), a researcher at the School of Economics and Finance of Victoria University of Wellington (New Zealand), and Wang Yanan Distinguished Professor of Economics at Xiamen University (doctoral supervisor). He is currently a member of the editorial board of System Engineering Theory and Practice, and has presided over the National Natural Science Foundation Youth Project, National Social Science Foundation Key Project, National Outstanding Youth Science Foundation 4 projects, National Natural Science Foundation Key project, etc. Recently, I focused on the latest progress of uncertainty, and studied ambiguity and asset pricing, including the endogenous factors of ambiguity with limited participation in financial markets, ambiguity and diversified investment, ambiguity and pricing power, and other academic hot spots in behavioral finance. He has published more than 100 academic papers in mathematical economics, financial economics, economic theory and economic policy. Publications in international journals include Journal of Mathematical Economics (1996), Mathematical Finance (2002), Journal of Mathematical Analysis and Applications (2006), Journal of Development Economics (2007),  Economic Theory (2009), European Journal of Operational Research (2010), Journal of Banking and Finance (2011),  Journal of Financial Markets (2017, 2023) et al.

Frontier Forum for Digital Technology and Finance introduction

Recent years have witnessed a dramatic acceleration in a digital revolution in economic sectors and a rapid adoption of the new generation of information technologies, such as artificial intelligence, blockchain, cloud computing, big data, etc. These technologies effectively set off the digital economy. It has become a key driving force in creating global economic growth, improving the modernization level of governance capabilities, and promoting high-quality economic development in China. In particular, digital finance is the most important part of the digital economy. To explore the development direction of the cross-integration of digital technology and finance, the Innovation and Talent Base for Digital Technology and Finance is hosting the “Frontier Forum for Digital Technology and Finance”, in collaboration with the School of Finance, Wenlan School of Business, Economics School, School of Information and Safety Engineering, School of Statistics and Mathematics, School of Public Finance and Taxation of Zhongnan University of Economics and Law (ZUEL). This lecture series will invite the well-known scholars at home and abroad in digital technology, digital economy, digital finance, and other related fields as guest speakers, providing an open and cutting-edge academic exchange platform for interdisciplinary research on digital technology and finance.