Title:  Calibrating Equilibrium Mean Variance Strategy with Reinforcement Learning

Reporter:  DONG Yuchao

Date:  2019.12.27    10：00-11：00

Place:  School of Science Building 212

Abstract:  In this talk, we consider the mean-variance problem for terminal log-return under incomplete market. In additional, an entropy term is included in the objective functional to encourage exploration of the strategy. As the problem is time-inconsistent, we characterize the equilibrium strategy with the help of extended HJB equation. Finally, we propose a learning process to obtain the strategy through the interaction with the market.

Reporter Background:  Yuchao Dong received Ph.D degree in 2016 from School of Mathematical Sciencea, Fudan University. Now he is a research fellow in the department of mathematics, NUS. His major research interest includes mathematical finance and stochastic optimal control theory.