主讲人：
1. 张丽宏教授（清华大学经济管理学院金融系副主任）
2. 何雪冬副教授（香港中文大学系统工程与工程管理系）
讲座时间：2018年11月20日（周二）下午14:00开始
讲座地点：yh86银河国际南校区院系办公楼401（yh86银河国际会议室）
题目：
1. How Fintech Affects Financial Market?
2.Dynamic Mean-Variance Efficient Fractional Kelly Portfolios in a Stochastic Volatility Model
主办单位：yh86银河国际yh86银河国际
广东省普通高校创新团队项目 “投资管理、期权定价和风险管理”
摘要:
1. Imperfections exist in financial markets. Assuming the existence of some market imperfections, we study market outcomes with a continuous-time model of feedback trading based on fintech. Without using arguments involving cognitive biases, the model allows us to examine the extent to which the market price deviates from the fundamental. Depending on the initial market imperfection in the form of under-or over-pricing, different feedback strategies may have very different impacts on insiders' profit, market depth, and instantaneous returns and volatilities. The model is able to endogenously generate bubbles and crashes and offers new insights on the relation between idiosyncratic volatility and returns.
2. A fractional Kelly strategy bets a fixed fraction of the amount recommended by Kelly and is widely used in practice. We improve the dynamic mean-variance efficiency of such a strategy in a continuous-time stochastic volatility model by studying a mean-variance portfolio selection problem in which an agent achieves an expected return of her investment as hight as that of the fractional Kelly strategy and miminizes the variance of her investment return. Because of time inconsistency, we study and solve in closed form the equilibrium strategy for the agent and find that its return rate has a smaller variance than that of the fractional Kelly strategy at every time. We also imply a risk aversion parameter from our model and show that the risk aversion degree is decreasing with respect to the stochastic volatility factor and exponentially decays with respect to the length of the evaluation period.
主讲人简介：
1. Lihong Zhang is a professor of Finance in the School of Economics and Management at Tsinghua University. She holds a Ph.D. in Probability and Mathematical Statistics from the Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Science, and an M.S. in Probability and Mathematical Statistics and a B.S. in Probability and Mathematical Statistics from Nankai University. Before joining Tsinghua University, she conducted postdoctoral research in the School of Mathematical Science at Peking University. Lihong’s research interests are on issues related to financial economics, stochastic calculus and its applications, actuarial science, and risk management. Her research has appeared in MIS Quarterly and Insurance: Mathematics and Economics.
2. Xuedong He received the B.Sc. degree in Mathematics and Applied Mathematics from Peking University in 2005 and the Ph.D. degree in Mathematical Finance from the University of Oxford in 2009. He was an assistant professor at Columbia University in 2009 - 2015 and joined the Chinese University of Hong Kong as an associate professor in 2016.
Xuedong He’s research interests include portfolio selection and asset pricing in behavioral finance and economics and risk management. He has published papers in leading journals such as Management Science, Operations Research, Mathematical Finance, and Mathematics of Operations Research. He is serving as Associate Editor for Operations Research. He also organized clusters and sessions in international conferences such as the INFORMS Annual Meetings and the SIAM Financial Mathematics and Engineering Conferences.
