时 间：2023年12月27日10:00-11:00
地 点：普陀校区理科大楼A1514
报告人：Harry Zheng 英国帝国理工大学教授
主持人：李丹萍华东师范大学副教授
摘 要：
We investigate an optimal investment problem under S-shaped utility and with trading and Value-at-Risk (VaR) constraints faced by a defined contribution (DC) pension fund manager. We apply the concavification and dual control method to solve the problem and derive the closed-form representation of the optimal terminal wealth in terms of a controlled dual state variable. We propose a simple and effective algorithm for computing the initial dual state value, the Lagrange multiplier and the optimal terminal wealth. Theoretical and numerical results show that the VaR constraint can significantly impact the distribution of the optimal terminal wealth and may greatly reduce the risk of losses in bad economic states due to loss aversion.
报告人简介：
Harry Zheng，英国帝国理工学院教授，从事随机控制、金融数学领域研究，在Operations Research, Mathematics of Operations Research, SIAM Journal on Control and Optimization, Finance and Stochastics, Mathematical Finance,SIAM Journal on Financial Mathematics, Journal of Economic Dynamics and Control, Quantitative Finance等期刊发表数十篇论文。