華師經(jīng)管學(xué)術(shù)講座第408期（經(jīng)濟(jì)）
【題目】Multi-stage portfolio selection problem with dominance constraints
【時(shí)間】2022年5月5日（周四）15:00
【地點(diǎn)】騰訊會(huì)議：282-120-163（會(huì)議密碼內(nèi)部通知，參會(huì)人員請輸入“實(shí)名+單位”進(jìn)入會(huì)場，會(huì)場謝絕一切廣告信息?。?/span>
【主講人】陳志平
【主持人】張鵬
【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。
【主講人簡介】
陳志平，劍橋大學(xué)博士后，西安交通大學(xué)西安數(shù)學(xué)與數(shù)學(xué)技術(shù)研究院常務(wù)副院長、國家天元數(shù)學(xué)西北中心副主任、西安交通大學(xué)數(shù)學(xué)與統(tǒng)計(jì)學(xué)院教授、博士生導(dǎo)師。長期從事隨機(jī)規(guī)劃理論及其應(yīng)用、分布式魯棒優(yōu)化、金融風(fēng)險(xiǎn)度量、保險(xiǎn)精算與投資分析等領(lǐng)域的學(xué)術(shù)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等運(yùn)籌學(xué)、經(jīng)濟(jì)與金融期刊發(fā)表SCI（SSCI）檢索論文80余篇?，F(xiàn)為《OR Spectrum》、《MDPI Mathematics》、《西安交通大學(xué)學(xué)報(bào)》和《工程數(shù)學(xué)學(xué)報(bào)》等國內(nèi)外期刊的編委?，F(xiàn)任中國運(yùn)籌學(xué)會(huì)常務(wù)理事，中國運(yùn)籌學(xué)會(huì)金融工程與金融風(fēng)險(xiǎn)管理分會(huì)副理事長，中國優(yōu)選法統(tǒng)籌法與經(jīng)濟(jì)數(shù)學(xué)研究會(huì)量化金融與保險(xiǎn)分會(huì)常務(wù)理事，中國管理科學(xué)與工程學(xué)會(huì)金融計(jì)量與風(fēng)險(xiǎn)管理研究會(huì)常務(wù)理事。