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Mean-Variance Portfolio Selection in Contagious Markets

  • 演讲者:邹斌(康涅狄格大学)

  • 时间:2022-01-14 10:30-11:30

  • 地点:腾讯会议 ID 537 356 208

Abstract

We consider a mean-variance portfolio selection problem in a financial market with contagion risk. The risky assets follow a jump-diffusion model, in which jumps are driven by a multivariate Hawkes process with mutual excitation effect. The mutual excitation feature of the Hawkes process captures the contagion risk in the sense that each price jump of an asset increases the likelihood of future jumps not only in the same asset but also in other assets. We apply the stochastic maximum principle, backward stochastic differential equation theory, and linear-quadratic control technique to solve the problem and obtain the efficient strategy and efficient frontier in semi-closed form, subject to a non-local partial differential equation. Numerical examples are provided to illustrate our results.


个人简介:邹斌目前为美国康涅狄格大学(University of Connecticut)数学系的助理教授,主要研究方向为随机控制在精算和金融数学中的应用。他博士毕业于加拿大阿尔伯塔大学,硕士和学士均就读于北京理
工大学。他曾在德国慕尼黑工业大学(2015年5月至2016年8月)和美国华盛顿大学(2016年9月至2017年8月)进行博士后科研工作。更多信息请参见 个 人 网 站 : https://sites.google.com/site/zoubin019/ 或https://math.uconn.edu/person/binzou/。