报告 人：Kok Lay Teo教授

澳大利亚科廷大学(Curtin University)

报告题目：Chance-constrained Optimization for Pension Fund Portfolios in the Presence of Default Risk

报告时间：2017年 04月01日下午16:30

报告地点: 海韵数理楼661

摘要: In this talk, we consider the portfolio optimization problem for a pension fund consisting of various government and corporate bonds. The aim of the problem is to maximize the fund’s cash position at the end of the time horizon, while allowing for the possibility of bond defaults. We model this problem as a stochastic discrete-time optimal control problem with a chance constraint that ensures all future out- going commitments can be met with sufficiently high probability. We then introduce a corresponding deterministic formulation that is a conservative approximation of the original stochastic optimal control problem. This approximate problem can be solved using gradient-based optimization techniques. We conclude the paper with a simulation study.

报告人简介：Kok Lay Teo 1974年在加拿大渥太华大学电子工程系获得博士学位。1996年任澳大利亚科廷大学数学与统计系教授；1999-2004年任香港理工大学应用数学系主任。2005-2010年任澳大利亚科廷大学数学与统计系主任，并在2011年被授予“John Curtin Distinguished Professor”。2010-2015年任澳大利亚基金会数学、信息和计算科学研究评价委员会的会员。已出版5部专著，发表400多篇论文，其中多篇发表在自动化顶级刊物Automatica, SIAM Journal on Control and Optimization, IEEE Transactions on Automatic Control上。担任Journal of Industrial and Management Optimization,  Numerical Algebra, Control and Optimization的主编，以及 Automatica, Journal of Global Optimization, Journal of Optimization Theory and Applications, Optimization and Engineering, Discrete and Continuous Dynamic Systems, Optimization Letters, and Applied Mathematical Modelling的编委。目前研究兴趣是计算最优控制及其应用、金融利率优化，通信工程的信号处理。

联 系 人：李安副教授

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