时间：2019年6月21日(周五)上午10:00-11:00
地点：中北校区理科大楼A1716报告厅
题目：Monotone mean-variance portfolio selection under non-Markovian regime-switching models
报告人：沈洋 加拿大约克大学 助理教授
摘要：
In this talk, we discuss a continuous-time portfolio selection problem under the Monotone mean-variance preference proposed by Maccherouni et al. (2006, 2009), This new framework overcomes the non-monotonicity issue of the classical mean-variance framework. Within this framework, we consider non-Markovian regime-switching models for stock price processes. To solve the problem, we apply regime-switching backward stochastic differential equations. In the general case, we express the optimal strategies and value function to the problem in terms of unique solutions to BSDEs. When there is no Brownian randomness, we give explicit solutions for several special cases, including Markovian regime-switching model, regime-switching models with delay. Moreover, we find the link between the optimal solutions to the monotone and classical MV frameworks.
报告人介绍：Dr. Yang Shen is an Assistant Professor at Department of Mathematics and Statistics, York University. Before joining York, he was a (post-doctoral) research fellow at University of New South Wales, and obtained his Ph.D. degree in Actuarial Studies at Macquarie University. His main research areas are in actuarial science, financial mathematics, stochastic control and its applications. His research is currently supported by NSERC and SOA. So far, he has published over 40 papers in related fields, and some of his research publications appear in Insurance: Mathematics and Economics, ASTIN Bulletin, Scandinavian Actuarial Journal, Automatica, Quantitative Finance, European Journal of Operational Research, Annals of Operations Research, Applied Mathematics and Optimization, and etc.