题目: Ergodic BSDE Representation of Forward Performance Processes.

报告人: Dr. Gechun LIANG

时间👮🏽‍♂️：2016年4月7日 15:00

地点：致远楼107室

Title: Ergodic BSDE representation of forward performance processes.

Abstract: Forward performance processes were introduced by Musiela and Zariphopoulou, which complement the classical expected utility paradigm where the utility is a deterministic function chosen at maturity, and there is little flexibility to incorporate updating of risk preferences, rolling horizons, learning and other realistic "forward in nature" features. Forward performance processes alleviate these shortcomings and offer a construction of a genuinely dynamic mechanism for evaluating the performance of investment strategies as the market evolves. In this talk, we show how to representant forward performance processes in terms of ergodic BSDE, and their connection with ergodic stochastic control.

个人简介

Education

2007-2011, D.Phil. (Ph.D.) Mathematics, University of Oxford.

2005-2007, M.Sc. Mathematics, Tongji University.

2001-2005, B.Ec. Finance, Jilin University, (3/122, with distinction).

Employment

June 2013–present, Lecturer, Department of Mathematics, King’s College London.

November 2010–June 2013, Postdoctoral Research Fellow, Oxford-Man Institute, University of Oxford.