5月4日云顶国际“商学大讲堂”——马敬堂：Monte-Carlo methods for optimal asset allocation in regime-switching markets

讲座题目：Monte-Carlo methods for optimal asset allocation in regime-switching markets

主 讲 人：马敬堂

时 间：2016年5月4日（星期三）下午14:30—16:30

地 点：云顶国际116报告厅

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云顶国际

2016年4月29日

主讲嘉宾简介：

马敬堂，现为西南财经大学教授、金融学博士生导师（数理金融方向），西南财经大学经济数学学院副院长，入选2012教育部新世纪优秀人才计划，主持国家自然科学基金面上项目。主要研究方向为金融衍生品定价及最优投资算法研究，在《Quantitative Finance》，《Economic Modeling 》， 《North American Journal of Economics and Finance》，《Journal of Computational Physics》，《Journal of Scientific Computing》，《Science China Mathematics》（中国科学）等SSCI、SCI国际期刊发表论文近40篇。

讲座摘要：

In this talk, I will present an efficient Monte-Carlo method based on the dual control for the optimal asset allocation problem in a continuous-time regime-switching market. In general, the dual approach can generate lower and upper bounds on the prime value of the target stochastic optimal control problem. By introducing an additional control to the dual process, the gap between the lower and upper bounds can be minimized by sampling the additional control. Monte-Carlo methods are used in the computations and implementations. The above idea is very simple to implement and works for a large class of problems with more general utility functions.

(This is joint work with Wenyuan Li (SWUFE) and Harry Zheng (Imperial College London))