报告题目：带交易成本的动态资产组合问题

报告人：马贵元助理教授

时间：2020年11月30日（周一）16:00-17:30

地点：西安交通大学中国西部创新港涵英楼5-8088

报告人简介：

马贵元 西安交通大学经济与金融学院金融科技系助理教授。 本科毕业于吉林大学数学学院。后保送至复旦大学数学科学院从事随机控制与金融数学研究。2017年于澳大利亚University of Wollongong取得博士学位，并继续担任助理研究员。2019年加入香港中文大学统计系，从事博士后研究工作。研究领域包括最优投资消费问题，期权衍生品定价问题以及随机控制在经济与金融中的应用。目前在《Automatica》、《European Journal of Operational Research》、《Journal of Optimization Theory and Applications》、《Economic Modelling》、《Quantitative Finance》和《Computational Economics》等国际知名期刊上共发表SCI,SSCI文章9篇。2019年正式获得注册风险管理师（FRM）认证。

讲座摘要：We derive a closed-form solution to a continuous-time optimal portfolio selection problem with return predictability and transaction costs. Specifically, we assume that asset returns are predicted by stochastic signals, and that transaction costs are of quadratic form. The agent chooses a trading strategy to maximize the expected exponential utility of his terminal wealth. Our feedback trading strategy indicates that the agent should trade gradually toward a dynamic aim portfolio, which is a weighted sum of the expected future Merton portfolios. The agent’s aim portfolio converges to the Merton portfolio as time approaches the terminal date. Our analysis offers new insights to the existing literature. First, our optimal trading strategy is affected by the volatility of return-predicting factors, while such an effect is absent in Gârleanu and Pedersen (2016). Secondly, the agent invests more into the assets with more persistent signals and with less transaction costs.

经金学院

2020年11月26日