菲律宾环球360注册账号学术报告[2021] 073号

(高水平大学建设系列报573号)

报告题目: Time-consistent mean-variance portfolio selection problems

报告人：张建楠 博士（澳大利亚墨尔本大学）

报告时间：2021年08月09日13：30 –14：30pm

线上： 腾讯会议 675 754 841

报告内容：This paper studies time-consistent investment problems in a dynamic environment

from different perspectives. Under different settings, we derive explicit expressions for the optimal strategies and the corresponding objective functions. Firstly, we consider a continuous-time mean-variance portfolio selection problem based on a log-return model. The objective is to find the optimal investment proportion that achieves a trade-off between the mean and variance of return. Asset-Liability management is also a key topic in the field of finance. Then, we take into consideration a liability to the mean-variance problem. Finally, we obtain closed-form expressions for the optimal investment strategies.

报告人简历：张建楠，墨尔本大学精算系博士，本科硕士就读于吉林大学数学学院统计系。 长期以来一直从事精算研究工作，主要方向为随机控制，最优化，保险精算，投资策略组合等。目前在Journal of Computational and Applied Mathematics. Applied Mathematics and Computation. 杂志上发表论文。

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　　　　　　　　　　　　　　　　　　　　　　2021年8月9日