勷勤数学•专家报告

题      目：Liquidation with trading constraints

报  告  人：傅冠兴 副教授  (邀请人：杨舟)

                                    香港理工大学       

时      间：3月16日  10：00-11：00

地     点：数科院西楼二楼会议室

报告人简介:

        傅冠兴现为香港理工大学应用数学系助理教授，主要研究金融数学，特别是最优交易问题。文章发表于Finance and Stochastics, Mathematical Finance, Mathematics of Operations Research, SIAM Journal on Control and Optimization。

摘      要：

       We consider both N-player and mean-field games of optimal portfolio liquidation in which the players are not allowed to change the direction of trading. Players with an initially short position of stocks are only allowed to buy while players with an initially long position are only allowed to sell the stock. Under suitable conditions on the model parameters we show that the games are equivalent to games of timing where the players need to determine the optimal times of market entry and exit. We identify the equilibrium entry and exit times and prove that equilibrium mean-trading rates can be characterized in terms of the solutions to a highly non-linear higher-order integral equation with endogenous terminal condition. We prove the existence of a unique solution to the integral equation from which we obtain the existence of a unique equilibrium both in the mean-field and the N-player game.

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