报  告 人：Prof ZHENG HUIHENG， 帝国理工学院

报告时间：2026年4月14星期二16:00 --17:00

报告地点：览秀楼105学术报告厅

 

报告摘要: We study a dynamic Sharpe ratio optimization problem in the presence of unhedgeable background risk. We derive the time-consistent HJB equation and characterize the corresponding equilibrium strategy. For two economically relevant special cases—where the background risk follows an arithmetic or a geometric Brownian motion—we obtain semi-closed-form solutions. As a benchmark, we also present the equilibrium solution for the classical case without background risk. Our framework naturally applies to portfolio choice problems with non-tradable labour income, providing a unified explanation for two prominent household finance puzzles: limited stock market participation and underinvestment in equities. Furthermore, we characterize the general problem via BSDEs, which leads to a novel and computationally efficient numerical algorithm. Numerical experiments confirm the high accuracy and efficiency of our proposed method. (Joint work with Jiawen Gu, Shijing Si, Mogens Steffensen)

 

报告人简介:

ZHENG HUIHENG，英国帝国理工学院教授，从事随机控制、金融数学领域研究，在Operations Research, Mathematics of Operations Research, SIAM Journal on Control and Optimization, Finance and Stochastics, Mathematical Finance等top期刊发表数十篇论文。