Title: Consistent Advices toFinancial 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 acontinuous-time mean-variance model that leads to the same trading strategy asin the Merton’s model with CRRA utility. We interpret the risk aversion as thetrade-off between mean and variance. We also extend the result to incompletemarkets. This is a joint work with Hanqing Jin, Steven Kou, and YuhongXu. 

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 Theory，Management Science，Mathematical Finance，Review of Financial Studies等国际一流期刊。目前担任SIAM Journal on Financial Mathematics，Journal of Economic Dynamics & Control等期刊编委。