拉斯维加斯9888

Title（标题）：Optimal Investment Strategies for Consistent Performance

Speaker（汇报人）：Prof. Weidong Tian, University of North Carolina at Charlotte

Time（功夫）：2012-11-27(星期二) 14:00-16:00

Place（地址）：拉斯维加斯9888新楼K02会议室

Abstract（提要）：In practice, a roller coaster nancial performance could induce fund withdrawals and discourage potential investors. Instead, a consistent performance is the key factor to survive in asset management area. This paper investigates asset allocation problem under a consistent performance constraint. By reserving a proportional amount of wealth based on its historical performance, the proposed investment strategy could generate a consistent performance over time in a sense that the wealth can always be above the consistent performance bench mark. There are three contributions to the literature. Firstly, the consistent performance constraint is a dynamic endogenous benchmark, and we nd a closed-form solution underthis kind of constraint. Secondly, this investment strategy will not involve any probabilityissue, suggesting that it could have rich economic and practical implications. Thirdly, we nd a stationary probability distribution for the optimal wealth process, which implies that this investment strategy is a risk-neutral strategy with decent trading properties.