报告题目：Learning an Optimal Investment Policy with Transaction Costs via a Randomized Dynkin Game

报告人：Prof. Min Dai ( The Hong Kong Polytechnic University)

时间：2026年4月14日（星期二）上午10:00-12:00

地点：清华大学双清综合楼304

摘要：This paper addresses the challenge of developing optimal investment strategies in the presence of transaction costs and uncertain market conditions—an issue of critical importance for portfolio managers and financial decision-makers. We reformulate the classical continuous-time portfolio selection problem as a Dynkin game, a strategic framework that captures the timing of buy and sell decisions under market frictions. To overcome the computational difficulties posed by the discontinuous nature of stopping decisions, we introduce a randomized Dynkin game approach that incorporates entropy regularization to balance exploration and exploitation. Building on this formulation, we develop an interpretable reinforcement learning algorithm capable of learning near-optimal trading policies directly from market data without requiring explicit knowledge of model parameters. Our theoretical analysis establishes convergence guarantees and quantifies the trade-offs involved in the exploration-exploitation balance. Through extensive numerical experiments and empirical tests on simulated and real market data, we demonstrate that our method effectively approximates optimal trading boundaries and outperforms benchmark strategies, offering a practical tool for dynamic portfolio management in realistic trading environments. This work bridges advanced stochastic control theory and modern machine learning, providing actionable insights for managing transaction costs and adapting to evolving market dynamics. This is a joint work with Yuchao Dong and Zhichao Lu.

报告人简介: Min Dai is Chair Professor in Applied Statistics and Financial Mathematics, Department of Applied Mathematics and School of Accounting and Finance, The Hong Kong Polytechnic University (PolyU). Prior to joining PolyU in 2021, he taught at National University of Singapore and Peking University after receiving his PhD degree from Fudan University in 2000. His research focuses on financial derivative pricing, portfolio selection with market imperfections, corporate finance, and financial technology. He published in peer-reviewed journals of different disciplines, such as the Journal of Econometrics, Journal of Economic Theory, Journal of Finance, Management Science, Mathematical Finance, Review of Financial Studies, and SIAM Journals. Currently he is the chairman of the INFORMS Finance section, a council member of Bachelier Finance Society, a Co-editor of Digital Finance, and serves in editorial boards of some academic journals, including Operations Research, Finance and Stochastics, Journal of Economic Dynamics and Control, SIAM Journal on Financial Mathematics, etc.

邀请人：梁宗霞