題目：Time Inconsistency in Dynamic Financial Investment Decision

主講人：北京工業(yè)大學經(jīng)濟與bwin必贏唯一官網(wǎng) 李永武副教授

時間：2019年9月28日上午9點開始

地點：bwin必贏唯一官網(wǎng)315會議室

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報告人簡介：

李永武，北京工業(yè)大學經(jīng)濟與bwin必贏唯一官網(wǎng)副教授，碩士生導(dǎo)師。曾先后在中國科學院數(shù)學與系統(tǒng)科學研究院、香港理工大學從事博士后研究工作。研究興趣主要包括金融工程，隨機最優(yōu)控制、機器學習及其在金融中的應(yīng)用。在金融資產(chǎn)配置與風險管理，最優(yōu)分紅問題，養(yǎng)老基金投資管理以及保險合約設(shè)計等方面的研究工作已發(fā)表在國內(nèi)外著名SSCI，SCI檢索期刊《Insurance: Mathematics and Economics》、《Journal of Optimization Theory and Applications》、《IEEE Systems Journal》、《Applied Stochastic Models in Business and Industry》 及《系統(tǒng)工程理論與實踐》、《管理評論》等上。已主持完成一項國家自然科學基金青年項目，一項國家博士后科學基金一等資助項目。現(xiàn)主持一項北京市自然科學基金面上項目，參與一項國家自然科學基金重點項目。兼任中國管理現(xiàn)代化研究會管理與決策科學專業(yè)委員會理事, 美國《Mathematical Reviews》評論員。

Abstract: As a powerful tool, Dynamic Programming method can be used to solve many dynamic optimization problems. There are many time inconsistent stochastic control or dynamic optimization problems in the economics and finance. The time-inconsistency means that the Bellman Optimality Principle does not hold, as a consequence, Dynamic Programming cannot be applied. Therefore, it is very necessary and important to study the time-inconsistent stochastic control problems. In this talk, we will discuss three time-inconsistent stochastic control problems. First, we study the time consistent investment strategy for a mean-variance portfolio selection model under partial information. Second, we consider the time consistent investment strategy for a DC plan with partial information and mean-variance criterion. Finally, we discuss the time consistent investment and reinsurance strategies for loss-aversion insurers.