5月4日商學院“商學大講堂”——馬敬堂：Monte-Carlo methods for optimal asset allocation in regime-switching markets

講座題目：Monte-Carlo methods for optimal asset allocation in regime-switching markets

主 講 人：馬敬堂

時 間：2016年5月4日（星期三）下午14:30—16:30

地 點：江南大學商學院116報告廳

歡迎感興趣的師生前來聆聽！

江南大學商學院

2016年4月29日

主講嘉賓簡介：

馬敬堂，現為西南财經大學教授、金融學博士生導師（數理金融方向），西南财經大學經濟數學學院副院長，主持國家自然科學基金面上項目。主要研究方向為金融衍生品定價及最優投資算法研究，在《Quantitative Finance》，《Economic Modeling 》， 《North American Journal of Economics and Finance》，《Journal of Computational Physics》，《Journal of Scientific Computing》，《Science China Mathematics》（中國科學）等SSCI、SCI國際期刊發表論文近40篇。

講座摘要：

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))