报 告 人：董迎辉，苏州科技大学数学科学学院教授

报告时间：10月27日下午2:30-3:30

报告地点：览秀楼105学术报告厅

报告摘要：We consider the optimal portfolio selection problem faced by a fund manager under the performance ratio and limited expected loss  constraint. The performance ratio is defined as the ratio between two expectations  containing both the upside and downside deviations from a  benchmark. The goal of the fund manager is to maximize the performance ratio of the terminal wealth under the limited expected loss constraint. This setting leads to a highly  non-concave utility maximization problem. We  derive the explicit forms of the optimal wealth process and the optimal investment strategy  by  combining the linearization method, the martingale  method and the concavification technique.

报告人简介：董迎辉，苏州科技大学数学科学学院教授，主要从事风险管理，金融风险量化分析，衍生品定价以及最优投资组合方面的研究工作，入选江苏省“第六期333高层次人才培养工程”第三层次培养对象、江苏省“青蓝工程”中青年学术带头人和优秀骨干青年教师培养对象，发表学术论文60余篇，主持完成3项国家级科研项目，5项省部级科研项目。