报告专家：张德涛 教授（山东大学）

报告题目：Optimal Portfolio Selection and Consumption Problem with Fixed Assets under Partial information

报告地点：J9-425

报告时间：2020年11月28日15:10

报告简介：

       We consider a finite-time optimal consumption problem in a continuous-time mean-variance portfolio selection problem in a market with multiple stocks and a bonds. The investor cannot observe the factor process and uses only past information of risky assets. Only series of past price movements   are considered as historical information available to the investors. The problem is to maximize the expected utility of consumption and terminal wealth.

       We consider a model where the mean returns of risky assets depend linearly on underlying factors formulated as the solutions of stochastic equations. We derive the Hamilton–Jacobi–Bellman equation. Efficient strategies based on partial information are derived. We obtain an explicit form of the value function and the optimal strategy for this problem. Solutions  involve the optimal filter of the stock appreciation rate processes. Moreover, we run simulations. The main methodological contribution of the paper is to employ the Kalyan-Bucy filter to develop analytical and numerical approaches in obtaining the filter. The main contribution is also to solve the related backward stochastic differential equations.

      张德涛，山东大学经济学院教授，博士生导师，山东大学齐鲁青年学者，中国数学会会员，山东大学博士后联谊会理事，山东大学应用经济学博士后流动站秘书，SSCI权威学术期刊《Economic Modelling》等杂志匿名审稿人。学术研究涉及金融学、经济数学、金融数学、金融工程、数理经济学、概率论等多个领域, 主要研究方向为投资组合管理、风险管理、资产定价等问题及其根本原理，这既是重要的理论课题, 又在金融应用方面有很强的应用背景。与国际著名的金融数学家美国Jin Ma教授、Jianfeng Zhang教授、法国金融学家联合阿拉伯银行首席风险官Cergy大学M. Bellalah教授，香港理工大学Jianhui Huang副教授，以及长江学者、山东大学数学学院吴臻教授等合作, 取得了一定的科研成绩, 取得的某些成果具有学术上基本重要性, 研究成果得到了国内国际同行的一定的认同和了解。