Title: Robotic Advising: A Dynamic Mean-Variance Approach

Speaker: Prof Min DAI,National University of Singapore

Date: 2017/11/30, Thursday,3:00-5:00 PM

Venue: 览秀楼205

Abstract: Incontrast to the mean-variance criterion over terminal wealth that is widelyused in a continuous-time setting, we develop a dynamic portfolio choice modelwith the mean-variance criterion over portfolio''''s log-return. The model yieldsanalytical time-consistent optimal policies that comply with conventionalinvestment wisdom. Moreover, the model allows us to easily identify riskpreference of investors and thus can be used for robotic advising. We also linkthe dynamic mean-variance criterion to CRRA preferences. This work is jointlywith Hanqing Jin, Steven Kou, and Yuhong Xu.

报道人简介: 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 ofFinancial Studies等国际一流期刊。目前担任SIAM Journal on Financial Mathematics，Journal ofEconomic Dynamics & Control等期刊编委。