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Dynamic mean–variance problem with frictions

  • 演讲者:马贵元(西安交通大学)

  • 时间:2022-08-22 10:00-11:00

  • 地点:腾讯会议ID 189-894-505,密码220822

AbstractWe study a dynamic mean–variance portfolio selection problem with return predictability and trading frictions from price impact. Applying mean-field type control theory, we provide a characterization of an equilibrium trading strategy for an investor facing stochastic investment opportunities. An explicit equilibrium strategy is derived in terms of the solution to a generalized matrix Riccati differential equation, and a sufficient condition is also provided to ensure the latter’s well-posedness. Our solution indicates that the investor should trade gradually towards a target portfolio which accounts for return predictability, price impact and time-consistency. Moreover, an asymptotic analysis around small liquidity costs shows that the investor’s target portfolio is an equilibrium portfolio without price impact in the first-order sense, and that her first-order approximated value function does not deteriorate significantly for sufficiently small liquidity costs. Finally, our numerical results demonstrate that the target portfolio is more conservative than an equilibrium portfolio without price impact.


报告人简介:马贵元,现任西安交通大学经济与金融学院助理教授。吉林大学数学学士学位,复旦大学运筹学与控制论方向研究生,澳大利亚 Wollongong 大学金融数学博士,香港中文大学博士后。主要研究领域为动态投资组合、金融工程、随机控制在经济与金融领域的应用等。目前在 European Journal of Operational Research、Finance and Stochastics、Economic Modelling、Quantitative Finance、JOTA 等国际期刊发表 SSCI、SCI 论文共 14 篇。主持国家自然科学基金青年项目一项,教育部产学合作协同育人项目一项,参与中国建设银行重大应急项目“金融支持科技自立自强战略研究”。