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Robust Portfolio Selection for Individuals: Minimizing the Probability of Lifetime Ruin

发布日期:2018-11-12点击数:

报告人:周明(中央财经大学)

 

 :2018年11月13日  14:00--15:00

 

 :理科楼LD202

 

  要: Robust portfolio selection is a popular problem in recent years. In this paper we study the optimal investment problem for an individual who carries a constant consumption rate but worries about the model ambiguity of _financial market. Instead of using the conventional value function like utility of terminal wealth maximization, we here focus on the purpose of risk control and seek to minimize the probability of lifetime ruin. This study is motivated by Bayraktar and Zhang (2015), but we use a standardized penalty for ambiguity aversion. The advantage of taking a standardized penalty is that we can obtain the closed-form solutions to both the optimal investment policy and the value function. By employing dynamic programming principle, we derive the Hamilton-Jacobi-Bellman (HJB) equation satisfied by the value function, and then obtain the closed-form solutions for the optimal investment strategy and the value function as well. More interestingly, we use \Ambiguity Derived Ratio" to characterize that the existence of model ambiguity that affects significantly the optimal investment policy. Finally, some numerical examples are also given to illustrate our results.


报告人简介: 周明,研究员,现任中央财经大学保险学院、中国精算研究院副经理,北美准精算师(ASA),中国精算师协会正会员,中国工业与应用数学学会保险精算青年工作委员会副主任。主要方向为资产负债管理、风险分析与决策。在《Quantitative Finance》《Insurance: Mathematics and Economics》《Astin Bulletin》《中国科学》等国内外知名期刊发表学术论文30余篇,主持国家、省部级等各类项目10余项。


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