第17期:High-Water Marks Portfolio Choice with Transaction Costs

发布者:系统管理员发布时间:2020-07-07浏览次数:64

题目: High-Water Marks Portfolio Choice with Transaction Costs
主讲人:邵辉助理教授
时间:2020-07-09 2020年7月9日(周四) 14:00-15:00
地点:综合楼526 国际商学院
摘要:

The  portfolio choice of hedge fund managers with transaction costs under high-water mark contracts is studied in this paper. We first  consider the case when there are no transaction costs, and find that like CRRA investors in Merton problems, they invest a certain fraction of wealth in the mean-variance efficient portfolio. We then consider the situation where there are transaction cost, by transforming it into a singular control problem and then solve a numerical  variational partial differential equation (HJB equation)  by the penalty method. Mathematically, they are both singular stochastic control problems whose value function satisfies a parabolic variational inequality with gradient constraints. The problem gives rise to two free boundaries which stand for the optimal buying and selling strategies, respectively.


主讲人简介:

Dr. Hui Shao obtained his Ph.D in applied mathematics from Peking University in 2017. From 2015 to 2017, he was research assistant in Center for Quantitative Finance of National University of Singapore; From 2017 to 2019, he was a research fellow in Risk Management Institute of National University of Singapore. Dr. Hui Shao's research interests include quantitative finance and applied probability.