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讲座预告|Portfolio Optimization with Regime-Switching

发布时间:2019-04-24    来源:

讲座主题:Portfolio Optimization with Regime-Switching

讲座时间:429(周一)1000

讲座地点:25教学楼A区三楼C教室

主讲人:刘瑞华




主讲人简介:

刘瑞华,美国戴顿大学理学院金融数学教授,佐治亚大学应用数学博士,南开大学控制理论与应用博士,德克萨斯大学达拉斯分校管理学院博士后。研究领域为金融数学与计算金融,随机最优控制与应用,随机分析与应用。


讲座内容:

Regime-switching models have drawn considerable attention in recent years in mathematical finance  due to their capability of capturing the changes of macroeconomic conditions by allowing model parameters (e.g. stock volatility and interest rate) to depend on market regimes. In this setup, asset prices are dictated by a number of stochastic differential equations coupled by a finite-state Markov chain, which represents randomly changing economical factors. Model parameters are assumed to depend on the Markov chain and are allowed to take different values in different regimes. As a result, both continuous dynamics and discrete events are present in  the regime-switching models.

In this talk we present our recent results on portfolio optimization using regime-switching models for both stock price and interest rate.  Two portfolio optimization problems (a portfolio of stock and savings account and a portfolio of mixed stock, bond and savings account)  are considered and  closed-form solutions are obtained for a regime-switching power utility function. A class of stochastic optimal control problems with Markovian regime-switching is formulated for which a verification theorem is provided. Numerical results are provided to illustrate the impact of regime-switching on the optimal investment decisions. We also mention some recent and on-going work in this direction.

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