勷勤数学•专家报告

题      目：Equilibrium Mean-Variance Strategy with Transaction Costs

报  告  人：戴民   教授  (邀请人：杨舟)

                                   香港理工大学

时      间：7月26日  10：30-11：30

地     点：数科院西楼二楼会议室

报告人简介:

       Min Dai is Chair Professor in Applied Statistics and Financial Mathematics, Department of Applied Mathematics and School of Accounting and Finance, The Hong Kong Polytechnic University (PolyU). Prior to joining PolyU in 2021, he taught at National University of Singapore and Peking University after receiving his PhD degree from Fudan University in 2000. His research focuses on financial derivative pricing, portfolio selection with market imperfections, corporate finance, and financial technology. He published in peer-reviewed journals of different disciplines, such as Journal of Econometrics, Journal of Economic Theory, Journal of Finance, Management Science, Mathematical Finance, Review of Financial Studies, and SIAM Journals.  Currently he is a Co-editor of Digital Finance and serves in editorial boards of some academic journals, including Operations Research, Finance and Stochastics, Journal of Economic Dynamics and Control, SIAM Journal on Financial Mathematics, etc.

摘      要：

       We study continuous-time mean-variance portfolio selection in the presence of proportional transaction costs, which can be formulated as a time-inconsistent singular stochastic control problem. We provide a novel definition of equilibrium solutions for the singular control problem and characterize them by a system of HJB equations. We reveal that the standard mean-variance criteria with a constant risk preference may yield absurd equilibrium strategies in the presence of transaction costs. We find that a time-varying risk preference yields a reasonable and stable equilibrium strategy. This work is jointly with Yanwei Jia and Hanqing Jin. 

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