报告题目：Bayesian Online Portfolio Selection with Exploitation Information and Distributional Robustness

报告人：Yang Liu (The Chinese University of Hong Kong, Shenzhen)

时间：7月4日（周五）下午2:30-4:30

地点：理科楼A404

摘要：Online learning enables continuous adaptation and exploitation, aligning well with high-dimensional portfolio selection. We propose an exploitation information model within a Bayesian learning framework in Merton's problem, where exploitation represents machine insights, expert knowledge, or market information. Assuming an observable Brownian motion and a cross-covariance matrix, we derive an optimal closed-form control strategy. To address potential inaccuracies from the Gaussian prior assumption and limited financial system knowledge, we conduct a distributionally robust (DR) formulation by perturbing the posterior distribution. Furthermore, we formulate a Bayesian DR portfolio selection problem and propose an equilibrium control strategy. This ongoing work is in collaboration with Jose Blanchet (Stanford).  

Bio:   Yang Liu (刘杨) is an Assistant Professor of Financial Mathematics in the School of Science and Engineering (SSE) at The Chinese University of Hong Kong, Shenzhen (CUHKSZ). Before this role, he worked consecutively as a postdoctoral researcher at Stanford University and the University of Waterloo. Dr. Liu earned his Ph.D. and Bachelor’s degree in Mathematics from Tsinghua University. His research spans financial mathematics, actuarial science, operations research, and applied probability, focusing on quantitative risk management, robust analysis and optimization, and non-concave utility theory in portfolio selection. His work has been published in leading journals, including Operations Research, Mathematical Finance, Finance and Stochastics, SIAM Journal on Control and Optimization, and Insurance: Mathematics and Economics. In 2024, Dr. Liu was awarded the First Place in the Best Paper Prize for Young Scholars at the Annual Conference of the Operations Research Society of China (Financial Engineering and Risk Management Branch).  

邀请人：梁宗霞