Abstract

In this talk, the speaker will present a dynamic mean-variance portfolio choice model that yields a strategy consistent with the advice of financial advisors. In particular, this model allows him to easily identify risk preference of investors. Analytical optimal policies are available even in some incomplete markets. He also links his mean-variance criterion to CRRA (constant relative risk aversion) preferences.

This is a joint work with Hanqing Jin, Steven Kou, and Yuhong Xu.

About the speaker

Prof Min Dai received his PhD in Mathematics from Fudan University in 2000. He then joined Peking University and moved to the National University of Singapore in 2004. He is currently a Professor of Mathematics and Director of the Center for Quantitative Finance at the National University of Singapore.

Prof Dai’s research focuses on financial mathematics, which includes portfolio selection, derivative pricing, applied & numerical partial differential equations and stochastic control. He serves on the editorial boards of the Journal of Economic Dynamics and Control, the Asia-Pacific Journal of Operational Research, the SIAM Journal on Financial Mathematics, and Mathematics and Financial Economics.

For attendees’ attention

The seminar is free and open to all. Seating is on a first come, first served basis.

HKUST Jockey Club Institute for Advanced Study
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