题目：Mean-Variance Portfolio Selection with Stochastic Dominance Constraints

摘要：This talk is concerned with a mean-variance portfolio selection problem with first and second order stochastic dominance constraints in complete markets. The problem is studied by Lagrangian multipliers in its quantile formulation. To get the efficient solution, some interesting sub-problems are investigated, such as mean-SD problems, global variance minimizing problem with SD constraints. A special case with closed-form solution and numerical examples are also provided.

报告人简介：危佳钦，现任华东师范大学统计学院教授、博士生导师。研究兴趣包括随机控制、最优投资组合、最优保险\再保险等。已在包括Automatica、SIAM Journal on Control and Optimization、Insurance: Mathematics and Economics、Scandinavian Actuarial Journal、European Journal of Operational Research、Quantitative Finance等在内的国内外期刊发表学术论文40余篇。并以第一完成人身份获得2020年上海市自然科学奖三等奖。

报告时间：2022年11月18日 10:00-11:00

报告地点：腾讯会议848 238 885