深圳大学管理科学前沿论坛(第60期)

来源: 发布时间:2018-03-08 09:26:21 浏览量:
讲座题目:Dynamic Kelly Strategy with Maximal Loss Guarantee for Downside Risk Control
主讲人:蓝颖杰 副教授 (北京大学汇丰商学院)             
时间: 2018年3月9日(周五) 
地点: 管理学院2423A资料室 10:00am-12:00pm
主持人:马利军 教授 管理科学系副主任
内容简介:                        
    The Kelly strategy works on the idea of risking only a fraction of the capital to ensure that even if things turn sour, there is still adequate capital left to take on future opportunities. Unlike the single-period modern portfolio theory by Markowitz, Kelly strategy is a multi-period model, taking into careful consideration that the end-of-period wealth will be reinvested. However, it is well known that the returns from Kelly strategy is highly volatile, therefore some measure of risk control is highly desirable. While downside risk controls have been studied for continuous time models, little is done for discrete time models, which are more pertinent to practical applications. This work considers a multi-period dynamic Kelly strategy with downside risk constrol, and derives closed-form solution to the problem, studies the structural properties, as well as its asymptotic behavior.
主讲人简介: 
    蓝颖杰,于美国马里兰大学RH Smith商学院获得博士学位,现任北京大学汇丰商学院副教授。曾以第一作者身份在Management Science,Manufacturing & Service Operations Management, Naval Research Logistics, Discrete Applied Mathematics等著名国际刊物发表研究文章。并为Operations Research,Transportation Science,Mathematical Operations Research等知名国际刊物审稿。研究兴趣有收益管理,单向交易,Kelly策略,稳健优化,和随机优化。
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