主题：Utility-Risk Portfolio Selection
主讲人：Harry Zheng教授
主持人：经济数学学院 马敬堂教授
时间：2015年3月31日（星期二）下午4:00
地点：柳林校区通博楼B412
主办单位：经济数学学院 科研处
主讲人简介： Harry Zheng，英国帝国理工学院教授，Professor Zheng从事金融数学领域研究，在Finance and Stochastics，Journal of Banking and Finance等外A期刊及Quantitative Finance，Annals of Operations Research等外B期刊发表多篇论文。
内容提要：
Abstract: In this talk we discuss a utility-risk portfolio selection problem. By considering the first order condition for the objective function, we derive a primitive static problem, called Nonlinear Moment Problem, subject to a set of constraints involving nonlinear functions of “mean-field terms”, to completely characterize the optimal terminal wealth. Under a mild assumption on utility, we establish the existence of the optimal solutions for both utility-downside-risk and utility-strictly-convex-risk problems, their positive answers have long been missing in the literature. In particular, the existence result in utility-downside-risk problem is in contrast with that of mean-downside-risk problem considered in Jin-Yan-Zhou (2005) in which they prove the non-existence of optimal solution instead and we can show the same non-existence result via the corresponding Nonlinear Moment Problem. This is the joint work with K.C. Wong (UniversityofHong Kong) and S.C.P. Yam (ChineseUniversityofHong Kong).
