活动时间：2025-11-07 15:00

活动地点：2号学院楼454会议室

主讲人：苗颖婷

主讲人简介：

苗颖婷：西交利物浦助理教授，毕业于香港城市大学数学系，曾在华南理工大学从事博士后研究工作。其主要研究方向为随机偏微分方程及带交易费的投资组合模型等，相关研究成果已被 J. Differential Equations、J. Math. Phys.、Stoch. Partial Differ. Equ. Anal. Comput.、Z. Angew. Math. Phys. 等多个学术期刊接收或发表。

内容摘要：

Transaction costs play a critical role in asset allocation and consumption strategies in portfolio management. This is also an important practical issue for fund managers. We present the closed-form solutions to this problem for a small arbitrary transaction cost structure by maximizing the expected constant relative risk aversion (CRRA) utility function. Additionally, we discuss in detail the common case which consists of both fixed and proportional transaction costs. Our method is based on dynamic programming and singular perturbation expansion.

主持人：吕吴俊