Optimal Capital Growth with Convex Shortfall Penalty
讲座名称：
Optimal Capital Growth with Convex Shortfall Penalty
讲座时间：
2014-09-28
讲座人：
Yonggan Zhao
形式：
校区：
兴庆校区
实践学分：
讲座内容：
应数学与统计学院邀请，国际著名的金融优化专家、加拿大Dalhousie大学Yonggan Zhao教授将于2014年9月28日访问我院，并做如下学术讲座。
题目：Optimal Capital Growth with Convex Shortfall Penalty
时间：2014年9月28日，16:30—18:00
地点：理科楼407
讲座内容：The optimal capital growth strategy, or Kelly strategy, has many desirable properties such as maximizing the asymptotic long run growth of capital. However, it has considerable short run risk since the utility is logarithmic, with essentially zero Arrow-Pratt risk aversion. Most investors favor a smooth wealth path with high growth. In this paper we provide a method to obtain the maximum growth while staying above a predetermined ex-ante discrete time smooth wealth path with high probability, with shortfalls below the path penalized with a convex function of the shortfall so as to force the investor to remain above the wealth path. This results in a lower investment fraction than the Kelly strategy with less risk, and lower but maximal growth rate under the assumptions. Abstract A mixture model with Markov transitions between several normally distributed market regimes is used for the dynamics of asset prices. The investment model allows the determination of the optimal constrained growth wagers at discrete points in time in an attempt to stay above the ex-ante path.
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