学术报告-王天啸

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2020-01-10 15:27:00

学术报告


题      目:Dynamic mean-variance portfolio selection problems with random coefficients



报  告  人:王天啸   教授  (邀请人:杨舟 )

                                  四川大学




时      间:2020-01-10 16:30--17:30


地      点:学院401


报告人简介:

        13年博士毕业于山东大学,13年9月在四川大学做博士后,之后留校工作。分别于2011-2012,2017-2018访问美国雍炯敏教授(2014年国际数学家大会45分钟报告人),David Nualart教授(2006年国际数学家大会45分钟报告人)。相关工作发表在《SIAM J. Control Optim.》, 《IEEE Trans. Automat. Control》,《ESAIM Control Optim. Calc. Var.》,《Appl.Math. Optim》,《Insurance. Math. Econom》,《Stochastic Process Appl》等期刊

摘      要:

       We investigate dynamic mean-variance portfolio selection problems with random coefficients that are treated by time consistent equilibrium strategies. Systems of coupled backward stochastic differential equations are introduced and investigated, from which the closed-loop/feedback equilibrium investment strategies are represented explicitly for the first time. Several new interesting facts are revealed when the risk aversion is a constant. It is shown that the equilibrium strategies rely on initial wealth only when interest rates are random. In addition, our derived closed-loop equilibrium strategies and the existing open-loop equilibrium strategies that admit closed-loop representations have the same feedback connection with the equilibrium wealth process, even when all the coefficients are random. They happen to be equal to each other merely if interest rates are deterministic.