讲座题目： Time Consistent Behavioral Portfolio Policy for Dynamic Mean-Variance Formulation
主讲人：李迅 副教授 (香港理工大学)
时间： 2015年12月9日（周三）10:00-12:00
地点： 文科楼1400会议室
主持人：马利军 副教授 管理科学系副主任
讲座内容：
When one considers an optimal portfolio policy under a mean-risk formulation, it is essential to correctly model investors' risk aversion which may be time variant, or even state-dependent. In this work, we propose a behavioral risk aversion model, in which risk aversion is a piecewise linear function of the current wealth level with a reference point at the discounted investment target, to reflect a behavioral pattern with both house money and break even effects. Due to the time inconsistency of the resulting multi-period mean-variance model with adaptive risk aversion, we investigate the time consistent behavioral portfolio policy by solving a nested mean-variance game formulation. We derive a semi-analytical time consistent behavioral portfolio policy which takes a piecewise linear feedback form of the current wealth level with respect to the discounted investment target. Finally, we extend the above results to time consistent behavioral portfolio selection for dynamic mean-variance formulation with a cone constraint.
主讲人简介：
Xun Li received his Ph.D. degree in 2000 from Department of Systems Engineering and Engineering Management at the Chinese University of Hong Kong, and he stayed with the same department as a postdoctoral research fellow until 2001. From 2001 to 2003, he was a postdoctoral fellow in the Mathematical and Computational Finance Laboratory at University of Calgary. From 2003 to 2007, he was a visiting fellow in the Department of Mathematics at the National University of Singapore. He joined the Department of Applied Mathematics at the Hong Kong Polytechnic University as an Assistant Professor in 2007 and is currently an Associate Professor. His main research areas are applied probability and stochastic control with financial applications and has published in journals such as SIAM Journal on Control and Optimization, Annals of Applied Probability, IEEE Transactions on Automatic Control, Automatica, Mathematical Finance and Annals of Finance.
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深圳大学 管理学院
管理科学系
2015年12月7日
