学术报告-戴民

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2018-03-19 23:39:00

学术报告

    题      目:Robo-Advising: A Dynamic Mean-Variance Approach

报  告  人:戴民  教授  (邀请人:杨舟)

                      新加坡国立大学


时      间:2018-03-19 11:00--12:00

地      点:学院阶梯二楼报告厅

报告人简介:

        戴民教授现任职于新加坡国立大学数学系和金融风险管理中心,在金融风险管理中心担任副主任一职,国际上知名的金融数学专家,负责新加坡国立大学多个金融硕士招生工作。主要研究领域:金融数学、数值计算、偏微分方程。在多个国际权威的数学金融杂志上发表文章,任多个国际金融数学杂志的编委,如JEDC、MAFE等。


摘      要:

      In contrast to the traditional financial advising, robo-advising needs to elicit investors' risk profile via several simple online questions and to provide advice consistent with conventional investment wisdom, e.g. rich and young people should invest more in risky assets. We propose a dynamic portfolio choice model with the mean-variance criterion over portfolio log-returns that meets the two challenges. The model yields analytical and time-consistent optimal portfolio policies and can be used for robo-advising. This work is jointly with Hanqing Jin, Steven Kou, and Yuhong Xu.