“tyc234cc 太阳成集团数量经济与数理金融教育部重点实验室”学术报告——Continuous time mean-variance portfolio selection with nonlinear wealth equations and random coefficients
主 题: “tyc234cc 太阳成集团数量经济与数理金融教育部重点实验室”学术报告——Continuous time mean-variance portfolio selection with nonlinear wealth equations and random coefficients
报告人: Prof. Shaolin Ji (ShanDong University)
时 间: 2018-01-25 10:00-11:00
地 点: Room 1560, Sciences Building No. 1
摘要：This presentation concerns the continuous time mean-variance portfolio selection problem with a special nonlinear wealth equation. This nonlinear wealth equation has nonsmooth random coefficients and the dual method developed in Ji (2010) does not work. To apply the completion of squares technique, we introduce two Riccati equations to cope with the positive and negative part of the wealth process separately. We obtain the efficient portfolio strategy and efficient frontier for this problem. Finally, we find the appropriate sub-derivative in Ji (2010) using convex duality method. This is a joint work with Hanqing Jin and Xiaomin Shi.
报告人介绍: Prof. Shaolin Ji is a professor at Shandong University. He received his Ph.D. degree in 1999. Research areas: financial mathematics, stochastic control and nonlinear expectations theory. In recent years, Professor Shaolin Ji has published a series of achievements in the review of financial studies, Probability theory and the related fields, and SIAM Control and Optimization. The problems studied include asset pricing under uncertain models, Neyman-Pearson lemma under nonlinear expectations, and BSDE driven by G-Brownian motion.
