報告題目：Penalty Method for Portfolio Selection with Capital Gains Tax
報 告 人：戴民 教授 新加坡國立大學
報告時間：2019年5月27日 15：00-16：00
報告地點：數學樓三樓會議室
報告摘要：
We consider a singular stochastic control problem arising from continuous-time portfolio selection with capital gains tax, where the associated Hamilton-Jacobi-Bellman (HJB) equation admits infinitely many solutions. We show that its penalized equation has a unique solution and thus the penalty method can be employed to numerically find the value function that corresponds to the minimal viscosity solution of the original HJB equation. This work is jointly with Baojun Bian, Xinfu Chen, and Shuaijie Qian.
報告人簡介：
戴民教授，新加坡國立大學數量金融中心主任，新加坡國立大學數量金融碩士項目主任，Journal of Economic Dynamics and Control，Asia-Pacific Journal of Operational Research，SIAM Journal on Financial Mathematics，Mathematics and Financial Economics副主編；Digital Finance合作編輯。
