报 告 人：顾玲琪 副教授（福建师范大学）

报告时间：2021年11月26日16:00

报告方式：腾讯会议在线报告，会议ID：256149146

摘要：  In this talk, we will investigate the stability problem of the numéraire-based utility maximization problem in markets with transaction costs, where the stock price is not necessarily a semimartingale. Precisely, the static stability of primal and dual value functions as well as the convergence of primal and dual optimizers are presented when perturbations occur in the utility function and in the physical probability. Furthermore, this study focuses on the optimal dual process (ODP), which induces the dual optimizer and attains optimality for a dynamical dual problem. Properties of ODPs are discussed which are complement of the duality theory for this utility maximization problem. When the parameters of the market and the investor are slightly perturbed, both the dual optimizer and the associated optimal dual process are stable. Thus, a shadow price process is constructed based on the sequence of ODPs corresponding to problems with small misspecified parameters. 

报告人简介：顾玲琦，2017年博士毕业于维也纳大学，导师是欧洲科学院院士、德国科学院院士、著名的金融数学专家Walter Schachermayer。毕业后在维也纳大学继续从事博士后研究，也曾在法国巴黎综合理工学院访学。后作为福建省引进高层次C类人才入职福建师范大学。主要从事投资组合效用最大化和风险控制问题、量化金融等方向的研究。主持1项国家自然科学基金青年项目。研究成果发表在Applied Mathematics and Optimization, Stochastic Processes and their Application等期刊上。