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华盛顿州立大学 尹洪明教授:Portfolio Optimization: Problems and Challenges

作者:西南财经大学    发布:2017-06-12   

光华讲坛——社会名流与企业家论坛第4581期

 

主题:Portfolio Optimization: Problems and Challenges

主讲人:华盛顿州立大学 尹洪明教授

主持人:工商管理学院院长 陈滨桐教授

时间:2017614日(周三)上午1000

地点:柳林校区弘远楼109会议室

主办单位:工商管理学院 科研处

 

主讲人介绍:

尹洪明,美国华盛顿州立大学数学与统计系教授、著名金融数学与偏微分方程专家。Research Interests: Financial Engineering and Portfolio Management; Applied Mathematics; Partial Differential Equations, Inverse and Ill-posed problems; Electromagnetic Fields and Semiconductor/Superconductor modeling. Current Emphasis: Asset-Pricing modeling; Portfolio Optimizations; Inverse and Ill-posed problems.

内容提要:

   In this talk I will discuss the basic strategies for portfolio optimization. I will review the classical discrete cases and illustrate how the mathematical tools are used to obtain the Markowitz bullet curve. Then I will generalize the method to continuous case which leads to stochastic differential equations (Merton theory). Some current problems and challenges in security trading industry will be also discussed in the talk.