时 间：2026年3月24日（周二）09：30 – 10：30
地 点：普陀校区理科大楼A1714室
报告人：阎冬 对外经济贸易大学助理教授
主持人：李丹萍 华东师范大学教授
摘 要：
We investigate a portfolio selection problem with transaction costs under a two-factor stochastic volatility structure, where volatility follows a mean-reverting process with a stochastic mean-reversion level. The model incorporates both proportional exogenous transaction costs and endogenous costs modeled by a stochastic liquidity risk process. Using an option-implied approach, we extract an S-shaped utility function that reflects investor behavior and apply its concave envelope transformation to handle the non-concavity. The resulting problem reduces to solving a five-dimensional nonlinear Hamilton Jacobi Bellman equation. We employ a deep learning-based policy iteration scheme to numerically compute the value function and the optimal policy. Numerical experiments are conducted to analyze how both types of transaction costs and stochastic volatility affect optimal investment decisions.
报告人简介：
阎冬，现任对外经济贸易大学统计学院数量金融系教师。其主要研究领域包括数理金融、金融衍生品定价、最优投资组合、随机过程与机器学习等。以第一作者或唯一通讯作者身份发表SCI/SSCI收录学术论文10余篇。主持人力资源和社会保障部外国专家交流项目一项，参与中国期货业协会相关课题研究三项。在校承担《数理金融学》和《运筹学》两门本科专业必修课的教学工作，指导本科生与研究生累计30余人。曾获对外经济贸易大学“优秀班主任”等荣誉称号。