Title: Non-ConcavePortfolio Optimization with Portfolio Constraints

Speaker: Prof Min DAI,National University of Singapore

Date: 2019/09/28, Friday, 3:30-5:00

Venue: 览秀楼205

Abstract: Localconvexities in the agent''s objective would alter his asset allocation to takemore weights on risky asset. Portfolio constraints, such as borrowing andshort-sales restrictions, limit the possibility of an unbounded risk-taking.However, we ?find that the agent tends to take more risk in anticipation offuture portfolio constraints. In case of under-performance, binding theshort-sale constraint to bet on the fluctuation of the risky asset would beoptimal despite its positive risk premium. The problem solved here applies tomany contexts with portfolio constraints that inherit the non-concave utility,such as goal problem, option compensation, and  S-Shapedutility. This work is jointly with Steven Kou, Shuaijie Qian, and XiangweiWan.

 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 EconomicTheory，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 EconomicDynamics & Control等期刊编委。