Consistent Advices to Financial Advisors: Bridging Dynamic Mean-Variance and CRRA utility

发布时间:2017-5-15 16:42:17 浏览次数:1349   

Title: Consistent Advices to Financial Advisors: Bridging Dynamic Mean-Variance and CRRA utility
Speaker: Prof Min DAI, National University of Singapore
Date: 2017/05/15, Monday, 3:30-5:00 P
MVenue:
览秀楼205

Abstract: We develop a continuous-time mean-variance model that leads to the same trading strategy as in the Merton’s model with CRRA utility. We interpret the risk aversion as the trade-off between mean and variance. We also extend the result to incomplete markets. This is a joint work with Hanqing Jin, Steven Kou, and Yuhong Xu. 

报告人简介: Dai Min教授现任新加坡国立大学数量金融中心主任、风险管理研究所副所长。在金融衍生产品定价与对冲、动态投资策略、缺乏流动性的投资组合设计等领域做了很多深入的工作。文章发表在Journal of Economic TheoryManagement ScienceMathematical FinanceReview of Financial Studies等国际一流期刊。目前担任SIAM Journal on Financial MathematicsJournal of Economic Dynamics & Control等期刊编委。

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