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          湖州師范學院黨委宣傳部、新聞中心主辦

          數學學科2020系列學術報告之一

          來源:理學院 發布日期:2020-01-02
          題目:Calibrating Equilibrium Mean Variance Strategy with Reinforcement Learning
          報告人:董玉超
          時間:2020年1月6日(周一)上午9:30-10:30
          地點:1-301
          報告人簡介:董玉超,2016年博士畢業于復旦大學數學科學學院,現為新加坡國立大學研究員,研究興趣為數學金融和隨機最優控制理論。
          報告摘要:In this talk, we consider the mean-variance problem for terminal log-return under incomplete market. In additional, an entropy term is included in the objective functional to encourage exploration of the strategy. As the problem is time-inconsistent, we characterize the equilibrium strategy with the help of extended HJB equation. Finally, we propose a learning process to obtain the strategy through the interaction with the market.


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