【题目】Multi-stage portfolio selection problem with dominance constraints

【时间】2022年5月5日（周四）15:00

【地点】腾讯会议：282-120-163（会议密码内部通知，参会人员请输入“实名+单位”进入会场，会场谢绝一切广告信息！）

【主讲人】陈志平

【主持人】张鹏

【摘要】

We study the multi-stage portfolio selection problem where the utility function of an investor is ambiguous. The ambiguity is characterized by dynamic stochastic dominance constraints, which are able to capture the dynamics of the random return sequence during the investment process. We propose a multi-stage dynamic stochastic dominance constrained portfolio selection model, and use a mixed normal distribution with time-varying weights and the K-means clustering technique to generate a scenario tree for the transformation of the proposed model. Based on the scenario tree representation, we derive two linear programming approximation problems, using the sampling approach or the duality theory, which provide an upper bound approximation and a lower bound approximation for the original nonconvex problem. The upper bound is asymptotic tight with infinitely many samples. Numerical results illustrate the practicality and efficiency of the proposed new model and solution techniques。

【主讲人简介】

陈志平，剑桥大学博士后，西安交通大学西安数学与数学技术研究院常务副院长、国家天元数学西北中心副主任、西安交通大学数学与统计学院教授、博士生导师。长期从事随机规划理论及其应用、分布式鲁棒优化、金融风险度量、保险精算与投资分析等领域的学术研究，在SIAM Journal on Optimization、Journal of Optimization Theory and Applications、European Journal of Operational Research、Journal of Banking ＆ Finance、Journal of Economic Dynamics and Control、Insurance: Mathematics and Economics、Scandinavian Actuarial Journal等运筹学、经济与金融期刊发表SCI（SSCI）检索论文80余篇。现为《OR Spectrum》、《MDPI Mathematics》、《西安交通大学学报》和《工程数学学报》等国内外期刊的编委。现任中国运筹学会常务理事，中国运筹学会金融工程与金融风险管理分会副理事长，中国优选法统筹法与经济数学研究会量化金融与保险分会常务理事，中国管理科学与工程学会金融计量与风险管理研究会常务理事。