j9九游会

报告主题：默认风险下具有时机约束的退休年金投资组合问题研究
报告人：Kok Lay Teo 教授 （澳大利亚 Curtin University）
报告时间：2017年10月20日（周五）10:30
报告所在：校本部G507
约请人：余长君
主理部分：理学院数学系


报告摘要：In this talk, we consider the portfolio optimization problem for a pension fund consisting of various government and corporate bonds. The aim of the problem is to maximize the fund’s cash position at the end of the time horizon, while allowing for the possibility of bond defaults. We model this problem as a stochastic discrete-time optimal control problem with a chance constraint that ensures all future outgoing commitments can be met with sufficiently high probability. We then introduce a corresponding deterministic formulation that is a conservative approximation of the original stochastic optimal control problem. This approximate problem can be solved using gradient-based optimization techniques. We conclude the paper with a simulation study.


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