Title: Penalty Method for Portfolio Selection with Capital Gains Tax

Speaker:Prof Min DAI, National University of Singapore

Date:2019/05/08, Wednesday, 3:30-5:00

Venue:览秀楼205

Abstract: We consider a singular stochastic control problem arising from continuous-time investment and consumption with capital gains tax, where the associated Hamilton-Jacobi-Bellman (HJB) equation admits infinitely many solutions. We show that its penalized equation has a unique solution and the penalty method can be employed to find the value function that corresponds to the minimal viscosity solution of the HJB equation. This work is jointly with Baojun Bian, Xinfu Chen, and Shuaijie Qian.

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。在金融科技、金融衍生产品定价与对冲、动态投资策略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。