题   目：Two approaches for mean-variance portfolio selection problems with random nonlinear coefficients

报告人：嵇少林   山东大学教授，博士生导师

时    间：2019年4月23日下午15:00-16:00

地    点：览秀楼105学术报告厅

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. Applying the completion of squares method, we find that our problem can be solved by studying the positive and negative parts of the wealth process separately. By introducing two new generalized stochastic Riccati equations, we obtain the optimal portfolio and the efficient frontier in closed forms. In order to obtain the characterization of the optimal wealth directly, we employ the convex duality method and deduce the optimal terminal wealth. Finally, we show that the completion of squares method and the convex duality method are closely related. This is a joint work with Hanqing Jin and Xiaomin Shi.

报告人简介：嵇少林，山东大学教授，博士生导师，是彭实戈院士创新学术团队成员之一，2011年入选教育部新世纪优秀人才支持计划。研究领域：金融数学、随机控制和非线性期望理论。近年来，嵇少林教授在Review of financial studies, Probability theory and the related fields和SIAM Control and Optimization等杂志上发表了一系列的成果。研究的问题包括模型不确定下的资产定价公式、非线性期望下Neyman - Pearson基本引理和G-布朗运动驱动下的倒向随机微分方程理论。