题目: Time-consistent mean-variance portfolio selection: a log-return model
时间:2018年10月11日(星期四)下午15:00
地点:南校区院系办公楼401室(yh86银河国际会议室)
主讲人:陈平(澳大利亚 墨尔本大学 经济系 精算中心高级讲师)
主办单位:yh86银河国际
“投资管理、期权定价和风险管理”科研创新团队
摘要:
This paper investigates a continuous-time mean-variance portfolio selection problem based on a log-return model. The financial market is composed of one risk-free asset and multiple risky assets whose prices are modelled by geometric Brownian motions. We derive a sufficient condition for an open-loop strategy via the forward backward stochastic differential equation (FBSDE) framework. The equilibrium strategy is derived by solving a system of FBSDEs. To illustrate our result, we consider a special case where the interest rate is given by the Vasicek model. We also derive the close-loop equilibrium strategy through the dynamic programming approach. A comparison between the open-loop and close-loop strategies are conducted.
主讲人简介:
陈平,澳大利亚墨尔本大学经济系高级讲师,香港大学哲学博士。研究领域包投资策略优化,养老金管理,精算风险理论等。在Insurance: Mathematics and Economics, Journal of industrial and management optimization, Economic Modelling, Operation research letters, Journal of optimization theory and application, Applied Mathematical Finance和Frontiers of Mathematics in China等国内外知名期刊发表过多篇学术论文。