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                                                     Seminar

             Department of Systems Engineering and Engineering Management
                                  The Chinese University of Hong Kong

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Title

:

Continuous-Time Portfolio Selection with Ambiguity

　

　

　

Speaker

:

Prof. Hanqing Jin

　

　

University of Oxford

　

　

　

　

　

Date

:

September 1st, 2008 (Monday)

　

　

　

Time

:

4:30 p.m. - 5:30 p.m.

　

　

　

Venue

:

Room 513

　

　

William M.W. Mong Engineering Building

　

　

(Engineering Building Complex Phase 2)

　

　

CUHK

　

　

　

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Abstract:
　

In a financial market, the appreciate rate is statistically very difficult to estimate precisely, and in general only some confidence interval will be estimated. This paper is devoted to the portfolio selection with the appreciation rates being in a certain closed set rather than some precise point. We study the problem in both expected utility framework and mean-variance framework, and robust solutions are given explicitly in both frameworks.


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Biography:
　

Dr. Jin received his MS in Mathematics from Nankai University in 2001, and the PhD in Financial Engineering from SEEM in CUHK in 2004. After then, he worked in the Department for another two years, and then moved to the National University of Singapore in 2006. Now he is a University Lecturer in University of Oxford. His research interests include Mathematical Finance, Operation Research, and Applied Stochastic Analysis. His publication includes 4 papers in Mathematical Finance and one in Annals of Institute of Henri Poncare.


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

　

　

　

Host

:

Prof. Chen Nan

Tel

:

(852) 2609-8237

Email

:

nchen@se.cuhk.edu.hk

　

　

　

Enquiries

:

Prof. Nan Chen or Prof. Sean X. Zhou

　

:

Department of Systems Engineering and Engineering Management

　

　

CUHK

Website

:

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

Email

:

seg5810@se.cuhk.edu.hk

　

　

　

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