讲座题目:Time Inconsistency in Dynamic Financial Investment Decision2019-09-24


题目:Time Inconsistency in Dynamic Financial Investment Decision

主讲人:北京工业大学经济与188滚球网站 李永武副教授

时间:2019年9月28日上午9点开始

地点:188滚球网站315会议室

欢迎广大师生前来参加!


报告人简介:

李永武,北京工业大学经济与188滚球网站副教授,硕士生导师。曾先后在中国科学院数学与系统科学研究院、香港理工大学从事博士后研究工作。研究兴趣主要包括金融工程,随机最优控制、机器学习及其在金融中的应用。在金融资产配置与风险管理,最优分红问题,养老基金投资管理以及保险合约设计等方面的研究工作已发表在国内外著名SSCI,SCI检索期刊《Insurance: Mathematics and Economics》、《Journal of Optimization Theory and Applications》、《IEEE Systems Journal》、《Applied Stochastic Models in Business and Industry》 及《系统工程理论与实践》、《管理评论》等上。已主持完成一项国家自然科学基金青年项目,一项国家博士后科学基金一等资助项目。现主持一项北京市自然科学基金面上项目,参与一项国家自然科学基金重点项目。兼任中国管理现代化研究会管理与决策科学专业委员会理事, 美国《Mathematical Reviews》评论员。


Abstract: As a powerful tool, Dynamic Programming method can be used to solve many dynamic optimization problems. There are many time inconsistent stochastic control or dynamic optimization problems in the economics and finance. The time-inconsistency means that the Bellman Optimality Principle does not hold, as a consequence, Dynamic Programming cannot be applied. Therefore, it is very necessary and important to study the time-inconsistent stochastic control problems. In this talk, we will discuss three time-inconsistent stochastic control problems. First, we study the time consistent investment strategy for a mean-variance portfolio selection model under partial information. Second, we consider the time consistent investment strategy for a DC plan with partial information and mean-variance criterion. Finally, we discuss the time consistent investment and reinsurance strategies for loss-aversion insurers.