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学术报告七十三:Time-consistent mean-variance portfolio selection problems

时间:2021-08-09 14:40

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数学与统计学院学术报告[2021] 073

(高水平大学建设系列报573)

报告题目: Time-consistent mean-variance portfolio selection problems

报告人:张建楠 博士澳大利亚墨尔本大学

报告时间:202108091330 1430pm

线上: 腾讯会议 675 754 841

报告内容:This paper studies time-consistent investment problems in a dynamic environment

from different perspectives. Under different settings, we derive explicit expressions for the optimal strategies and the corresponding objective functions. Firstly, we consider a continuous-time mean-variance portfolio selection problem based on a log-return model. The objective is to find the optimal investment proportion that achieves a trade-off between the mean and variance of return. Asset-Liability management is also a key topic in the field of finance. Then, we take into consideration a liability to the mean-variance problem. Finally, we obtain closed-form expressions for the optimal investment strategies.

报告人简历:张建楠,墨尔本大学精算系博士,本科硕士就读于吉林大学数学学院统计系。 长期以来一直从事精算研究工作,主要方向为随机控制,最优化,保险精算,投资策略组合等。目前在Journal of Computational and Applied Mathematics. Applied Mathematics and Computation. 杂志上发表论文。

数学与统计学院

                      2021年89