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（金融学院会议室）

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：金融学院

      “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。