題目：Time Inconsistency in Dynamic Financial Investment Decision

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

時(shí)間：2019年9月28日上午9點(diǎn)開(kāi)始

地點(diǎn)：bwin必贏(yíng)唯一官網(wǎng)315會(huì )議室

歡迎廣大師生前來(lái)參加！

報告人簡(jiǎn)介：

李永武，北京工業(yè)大學(xué)經(jīng)濟與bwin必贏(yíng)唯一官網(wǎng)副教授，碩士生導師。曾先后在中國科學(xué)院數學(xué)與系統科學(xué)研究院、香港理工大學(xué)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(xué)習及其在金融中的應用。在金融資產(chǎn)配置與風(fēng)險管理，最優(yōu)分紅問(wèn)題，養老基金投資管理以及保險合約設計等方面的研究工作已發(fā)表在國內外著(zhù)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《系統工程理論與實(shí)踐》、《管理評論》等上。已主持完成一項國家自然科學(xué)基金青年項目，一項國家博士后科學(xué)基金一等資助項目?，F主持一項北京市自然科學(xué)基金面上項目，參與一項國家自然科學(xué)基金重點(diǎn)項目。兼任中國管理現代化研究會(huì )管理與決策科學(xué)專(zhuān)業(yè)委員會(huì )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.