时 间：2025年5月20日（周二）14：20 – 15：00
地 点：理科大楼A1514室
报告人：万相伟 上海交通大学副教授
主持人：周勇 太阳集团教授
摘 要：
We propose a general framework for portfolio optimization by using a new objective function: a weighted average of the probabilities of fullling multiple goals, including consumption goals at different times and concurrent goals with multiple partial fulllment alternatives. This objective function accommodates both standard and non-standard risk preferences and is relatively easy to be understood by non-experts. In the absence of portfolio constraints, the optimal strategy replicates a sequence of digital options, where each option's expiration and favorable payoff align precisely with a consumption goal. With portfolio constraints, wealth distribution tends to cluster around the goals at their deadline, leading to risk reduction near goals and increased risk-seeking when wealth is distant from goals. Consequently, a high-volatility portfolio, potentially off the efficient frontier, becomes locally optimal. Furthermore, it is optimal to prioritize current consumption goals when future goals are unlikely due to low wealth or when abundant wealth increases the likelihood of achieving both current and future goals, leading to multiple switches between immediate consumption and investing for future goals.
报告人简介：
万相伟，现为上海交通大学安泰经济与管理学院金融系副教授。于 2006 年获得中国科学技术大学数学学士学位、2010 年获得香港中文大学金融工程博士学位、2011 年加入上海交通大学安泰经济与管理学院。研究兴趣包括期权定价、投资组合优化、连续时间模型参数估计和机器学习在金融工程中的应用，相关成果发表于在Management Science, Journal of Econometrics, Mathematical Finance, Mathematics of Operations Research, Journal of Economic Dynamics and Control, Quantitative Finance 等期刊。