時   間：2025年5月20 日（周二）14：20 -15：00

報告人：萬相偉，上海交通大學副教授

地   點：普陀校區(qū)理科大樓A1514

主持人：周勇   華東師范大學教授

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.

報告人簡介：

萬相偉，現(xiàn)為上海交通大學安泰經濟與管理學院金融系副教授。于 2006 年獲得中國科學技術大學數(shù)學學士學位、2010 年獲得香港中文大學金融工程博士學 位、2011 年加入上海交通大學安泰經濟與管理學院。研究興趣包括期 權定價、投資組合優(yōu)化、連續(xù)時間模型參數(shù)估計和機器學習在金融工程中的應用，相關成果發(fā)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。