商务统计与经济计量系学术汇报（201226）

题 目：Optimal Investment Strategies for Consistent Performance

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

时 间：2012-11-27(星期二) 14:00-16:00

地 点：拉斯维加斯9888新楼K02会议室

Abstract: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.