通知讲座

7月19日:Quan Yang | A Genetic Algorithm for Investment-Consumption Optimization with Value-at-Risk Constraint and Information-Processing Cost

时间:2019年7月19日(周五)14:00-15:00

地点:中北校区理科大楼A1716报告厅

题目:A Genetic Algorithm for Investment-Consumption Optimization with Value-at-Risk Constraint and Information-Processing Cost

主讲人:Quan Yang (Assistant Professor, Ball State University)


摘要:

This study focuses on the optimal investment and consumption strategies in a two-asset model. A dynamic Value-at-Risk constraint is imposed to manage the wealth process. By using Value at Risk as the risk measure during the investment horizon, the decision maker can dynamically monitor the exposed risk and quantify the maximum expected loss over a finite horizon period at a given confidence level. In addition, the decision maker has to filter the key economic factors to make decisions. Considering the cost of filtering the factors, the decision maker aims to maximize the utility of consumption in a finite horizon. By using the Kalman filter, a partially observed system is converted to a completely observed one. However, due to the cost of information processing, the decision maker fails to process the information in an arbitrarily rational manner and can only make decisions on the basis of the limited observed signals. A genetic algorithm was developed to find the optimal investment, consumption strategies, and observation strength. Numerical simulation results are provided to illustrate the performance of the algorithm.


发布者:王璐瑶发布时间:2019-07-15浏览次数:34