报告题目：Calibrating Equilibrium Mean Variance Strategy with Reinforcement Learning
报告人：董玉超
报告时间：2019年12月27日（周五）10：00-11：00
报告地点：理学院212会议室
报告摘要：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.
教授简介：Yuchao Dong received Ph.D degree in 2016 from School of Mathematical Sciencea, Fudan University. Now he is a research fellow in the department of mathematics, NUS. His major research interest includes mathematical finance and stochastic optimal control theory.