时 间：2026-05-08 15:30 - 16:30
地 点：普陀校区理科大楼A1714
报告人：王文元 福建师范大学教授
主持人：李丹萍 华东师范大学教授
摘 要：
This paper studies a type of periodic utility maximization problem for portfolio management in incomplete stochastic factor models with convex trading constraints. The portfolio performance is periodically evaluated on the relative ratio of two adjacent wealth levels over an infinite horizon, featuring the dynamic adjustments in portfolio decision according to past achievements. Under power utility, we transform the original infinite horizon optimal control problem into an auxiliary terminal wealth optimization problem under a modified utility function. To cope with the convex trading constraints, we further introduce an auxiliary unconstrained optimization problem in a modified market model and develop the martingale duality approach to establish the existence of the dual minimizer such that the optimal unconstrained wealth process can be obtained using the dual representation. With the help of the duality results in the auxiliary problems, the relationship between the constrained and unconstrained models as well as some fixed point arguments, we derive and verify the optimal constrained portfolio process for the original problem over an infinite horizon.
报告人简介：
王文元，男，博士，福建师范大学数学与统计学院教授、博士生导师、博士后合作导师。兼任中国工业与应用数学学会金融数学与工程和精算保险专业委员会常务委员等。主要研究方向有保险金融数学、概率论与随机过程、随机控制与优化。已在保险精算期刊IME/SAJ，运筹学期刊MOR，随机控制期刊SICON/AMO /JOTA，理论与应用概率期刊JTP/APR/JAP/Extremes等上发表论文50余篇。主持国家、省部级课题与横向课题共计10余项。曾先后入选厦门市高层次人才、福建省新世纪优秀人才支持计划、福建省高层次人才、福建师范大学高端人才计划。