报告题目: Monotone mean-variance portfolio selection under non-Markovian regime-switching models
报 告 人：Yang Shen， 加拿大约克大学PG电子
， 教授
报告时间：2019年6月20日（星期四），13:00—14:30
报告地点：龙赛理科楼，PG电子
116
报告摘要: In this talk, we discuss a continuous-time portfolio selection problem under the Monotone mean-variance preference proposed by Maccherouni et al. (2006, 2009), This new framework overcomes the non-monotonicity issue of the classical mean-variance framework. Within this framework, we consider non-Markovian regime-switching models for stock price processes. To solve the problem, we apply regime-switching backward stochastic differential equations. In the general case, we express the optimal strategies and value function to the problem in terms of unique solutions to BSDEs. When there is no Brownian randomness, we give explicit solutions for several special cases, including Markovian regime-switching model, regime-switching models with delay. Moreover, we find the link between the optimal solutions to the monotone and classical MV frameworks.
