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主講人：李端教授    香港中文大學

時  間：1月15日下午2：30—4：30

地  點：中心教學樓1003

主講人簡介：

    Duan Li was born in Shanghai, China. He graduated from Fudan University, received his M.E. degree in automatic control from Shanghai Jiaotong University, and obtained his Ph.D. degree in systems engineering from Case Western Reserve University. From 1987 to 1994, he was a Faculty Member at Department of Systems Engineering, the University of Virginia and also served as Associate Director, Center for Risk Management of Engineering Systems. He joined the Department of Systems Engineering and Engineering Management, the Chinese University of Hong Kong, in December 1994, where he is currently Chair Professor and Department Chairman. Duan Li’s research interests include optimization and control, financial engineering and management science. Duan Li was an Associate Editor of IEEE Transactions on Automatic Control and has been a member of the editorial board or a guest editor for many other journals, including Journal of Global Optimization, IIE Transactions on Operations Engineering and Control-Theory and Advanced Technology. He is currently the vice president of Chinese Society of Mathematical Programming.

內容簡介：

    As the dynamic mean-variance portfolio selection formulation does not satisfy the principle of optimality of dynamic programming, phenomena of time inconsistency occur, i.e., investors may have incentives to deviate from the pre-committed optimal mean-variance portfolio policy during the investment process under certain circumstances. By introducing the concept of time inconsistency in efficiency and defining the induced trade-off, we further demonstrate in this paper that investors behave irrationally under the pre-committed optimal mean-variance portfolio policy when their wealth is above certain threshold during the investment process. By relaxing the self-financing restriction to allow withdrawal of money out of the market, we develop a revised mean-variance policy which dominates the pre-committed optimal mean-variance portfolio policy in the sense that, while the two achieve the same mean-variance pair of the terminal wealth, the revised policy enables the investor to receive a free cash flow stream (FCFS) during the investment process. The analytical expressions of the probability of receiving FCFS and the expected value of FCFS are derived.