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                                                     Seminar

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

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Title

:

Optimal investment and consumption strategies with finite horizon and transaction costs

　

　

　

Speaker

:

Prof. DAI Min

　

　

Dept of Math, National University of Singapore

　

　

　

　

　

Date

:

May 27th, 2009 (Wednesday)

　

　

　

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:
　

Optimal decisions with transaction costs have been extensively studied, but most theoretical analyses are confined to the infinite horizon case.
Recently, Liu and Loewenstein (2002) and Dai and Yi (2009) provide a thorough characterization on the optimal strategies for a finite horizon investment problem with transaction costs. In this talk, we are concerned with the finite horizon investment and consumption decisions with transaction costs. Relying on a partial differential approach developed by Dai and Yi (2009), we entirely characterize the optimal investment and consumption strategies. An efficient numerical algorithm and numerical results are presented as well. The talk is based on three of my recent works joint with L. Jiang, P. Li and F. Yi (2009), Z. Yang (2009), Y.F. Zhong (2009).


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Biography:
　

Dr DAI Min is an assistant professor at Dept of Math, National University of Singapore (NUS). He got his Ph.D. in mathematics from Fudan University in 2000 and joined NUS in 2004. His interest of research is mathematical finance. He has been working on optimal stopping problems and singular stochastic control problems arising from option pricing and portfolio selection.


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

　

　

　

Host

:

Prof. Chen Nan & Prof. Leung, Kwai Sun, Philip

Tel

:

(852) 2609-8237 or (852) 2609-8307

Email

:

nchen@se.cuhk.edu.hk or ksleung@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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