*********************************************************************

Seminar

Department of Systems Engineering and Engineering Management

The Chinese University of Hong Kong

----------------------------------------------------------------------------------------------

Title: Continuous-time Mean-Variance Portfolio Selection

Speaker: Dr. Li Xun

Department of Mathematics

National University of Singapore

Date : December 14th, 2006 (Thursday)

Time : 4:00p.m. - 5:00p.m.

Venue : Room 513

MMW Engineering Building(Engineering Building Complex Phase 2)

CUHK

--------------------------------------------------------------------------------------------

Abstract:

This works studies a continuous-time market where an agent, having

specified an investment horizon and a targeted terminal mean return,

seeks to minimize the variance of the return under the constraint

that short-selling of stocks is prohibited. The optimal portfolio of

such a problem is called mean--variance efficient of Markowitz. It

is shown that, under very mild conditions, a mean--variance

efficient portfolio realizes the (discounted) targeted return on or

before the terminal date with a probability greater

than 80%. This account is universal irrespective of the market parameters,

the targeted return, and the length of the investment horizon.

--------------------------------------------------------------------------------------------

Biography:

Li Xun completed his Ph.D. degree in Operations Research and

Financial Engineering in November 2000, in the Department of Systems

Engineering and Engineering Management at the Chinese University of

Hong Kong (CUHK), and he stayed with the department as a

postdoctoral research fellow until August 2001. From October 2001 to

August 2003, he served as a postdoctoral research fellow in the

Mathematical and Computational Finance Laboratory at the University

of Calgary. Since August 2003, he have been a fellow (Visiting

Assistant Professor Position) in the Department of Mathematics at

the National University of Singapore.

Currently, his research interests mainly focus on financial

engineering, operations research, stochastic controls with financial

applications. Most of his current research is motivated by financial

projects in areas where traditional log-normal models are no longer

suitable, for example, energy and commodity markets. He, together

with colleagues, is developing energy derivative models to capture

the term structure of forward energy prices. However, things become

more complicated for gas, as storage is limited and trading is

subject to volume constraints and transit through pipelines. The

situation is even worse for electricity, as it cannot be stored at

all. The aim of his research is to explore methodologies to value

assets and derivatives in these incomplete markets.

*********************** ALL ARE WELCOME ************************

Host : Professor Li, Duan

Tel : (852) 2609-8323

Email : dli@se.cuhk.edu.hk

Enquiries: Peixiang Zhao or Jeffrey Xu Yu,

Department of Systems Engineering and Engineering Management

CUHK

Website: http://www.se.cuhk.edu.hk/~seg5810

Email: seg5810@se.cuhk.edu.hk

********************************************************************