报告主题：多阶段随机变分不等式的求解
报告人：Kok Lay Teo 教授 （澳大利亚 Curtin University）
报告时间：2017年 10月20日（周五）10:30
报告地点：校本部G507
邀请人：余长君
报告摘要：In this talk, we consider the portfolio optimization problem for a pension fund consisting of various government and corporate bonds. The aim of the problem is to maximize the fund’s cash position at the end of the time horizon, while allowing for the possibility of bond defaults. We model this problem as a stochastic discrete-time optimal control problem with a chance constraint that ensures all future outgoing commitments can be met with sufficiently high probability. We then introduce a corresponding deterministic formulation that is a conservative approximation of the original stochastic optimal control problem. This approximate problem can be solved using gradient-based optimization techniques. We conclude the paper with a simulation study.
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