题目：Investment Portfolio Management: Brief Introduction and New Results

报告人：王庆国博士（南非约翰内斯堡大学杰出教授）

时间：6月12日（周日）上午9:40

地点：致远楼102室

摘要：Part I will give the brief introduction to portfolio management problem, including importance of finance, financial bubbles, key factors of investment, theory and problems.

Part II will deal with a multi-period portfolio management problem over a finite horizon. The objective is to seek the optimal investment policy series which maximizes the weighted sum of a linear combination of the expected return and the variance of portfolio over all the investment periods. This formulation enables the investor to adjust weights for any period and have full freedom and control over their best tradeoff between return and risk over each period. We show that such a problem is a convex quadratic programming problem in terms of the decision variables, regardless of price dynamic nature (either linear or nonlinear cases). By solving the convex quadratic programming problem directly, an optimal solution is developed for its original problem without using dynamic programming. The solution is simplified for a general linear price model with high-order and coupled asset dynamics and shown to be implementable with historical price data. Simulation is carried out on USA and China stock markets with real data, which demonstrates feasibility and better performance of the proposed solution than the special case considered in the literature. In particular, the proposed solution with suitable non-zero weights on intermediate time periods offers higher return at the same risk level, compared with one involving the terminal wealth only in the objective function.

简介：王庆国1958年生于江苏省常熟县。在文革后的首次高考中录入浙江大学，并于1987年获得博士学位及“优秀毕业生”称号。1987年至1989年, 与浙大路甬祥教授从事博士后研究。1989年任浙大副教授。1990年获中国科协”青年科技奖”及国家教委“有突出贡献的博士学位获得者”称号。1990年至1992年, 获德国洪堡研究奖学金, 在杜伊斯堡大学和卡塞尔大学进行客座研究。1992年至2015, 任教于新加坡国立大学电气与计算机工程系, 2004为终身教授。现任南非约翰内斯堡大学杰出教授。学术上主要从事复杂系统的建模、估计、预测、控制及优化等方面研究，应用上涉及工业与环境过程、新能源设备、国防系统、医疗工程及金融市场等领域, 取得了卓越的研究成果。 发表了400多篇学术论文，累计引用近 11000 次，h-index 为58, 荣获国际自控界权威学报《Automatica》2006-2010最多引用论文奖, 名上Thomson Reuters list of highly cited researchers 2013榜, 荣获《控制理论与应用》创刊30周年最具影响力论文奖。由世界顶级科技出版社《Springer》出版6部学术专著。获美国等地专利5项(转让2项)。曾任美国电气与电子工程师协会新加坡控制分会主席(4次), 亚洲控制会议及若干IEEE国际会议总主席, 国际自动控制联合会学报《过程控制》编委。 现任《美国仪表学会会刊》副主编(Deputy Editor-in-Chief)，及多份国际学报编委。已培养博士及博士后各30名。

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