彩8彩票|官网登录

當前位置: 彩8彩票|官网登录 / English / Academics / 正文

A Dynamic Mean-Variance Analysis for Log Returns

作者:   時間:2019-09-25   點擊數:

Keynote Speaker: Dai Min


       Abstract:

We propose a dynamic portfolio choice model with the mean-variance criterion for log-returns. The model yields time-consistent portfolio policies and is analytically tractable even under some incomplete market settings. The portfolio policies conform with conventional investment wisdom (e.g. richer people should invest more absolute amount of money in risky assets; the longer investment time horizon, the more proportional amount of money should be invested in risky assets; and for long-term investment, people should not short sell major stock indices whose returns are higher than the risk-free rate), and the model provides a direct link with the CRRA utility maximization in a complete market. This work is jointly with Hanqing Jin, Steven Kou and Yuhong Xu.

Speaker Introduction:

Dai Min (National University of Singapore)

Inviter:

        Chen Zengjing, professor of School of Mathematics

Time:

        16:00-17:00, September 25 (Wednesday)

       Location:

Hall 1238, Block B, Zhixin Building, Central Campus

    Sponsored by: School of Mathematics, Shandong University





 

地址:中國山東省濟南市山大南路27號   郵編:250100  

電話:0531-88364652   投稿信箱:mathweb@sdu.edu.cn

Copyright@山東大學數學學院

微信公眾號
<acronym id="igsm0"></acronym>
<rt id="igsm0"></rt>
<tr id="igsm0"><code id="igsm0"></code></tr>
<rt id="igsm0"><xmp id="igsm0"><rt id="igsm0"></rt>
<option id="igsm0"><xmp id="igsm0">
<tr id="igsm0"><xmp id="igsm0">
<tr id="igsm0"><optgroup id="igsm0"></optgroup></tr><tr id="igsm0"><optgroup id="igsm0"></optgroup></tr>
<rt id="igsm0"></rt>
<option id="igsm0"><xmp id="igsm0">
<tr id="igsm0"><xmp id="igsm0">
<tr id="igsm0"><xmp id="igsm0">
彩8彩票|官网登录 澳发彩票|手机app下载 四川快乐12开奖结果 天王彩票|官网登录 广东36选7走势图 重庆快乐十分开奖结果 云南快乐十分开奖结果 山西21选5开奖结果 华东15选5走势图 河北福彩排列5开奖结果 青海快3基本走势图 河南福彩20选5开奖走势图 炫乐彩票|手机app下载 豪彩vip|手机app下载 baijiale|官网登录 河北福彩排列5开奖结果