Stochastics and Finance seminar: Xuedong He -- Portfolio selection under median and quantile maximization

Dear All, 

You are kindly invited to attend the next Stochastics and Finance seminar.  On Wednesday
April 28 at 2pm (Sydney time) Xuedong He will give a talk via Zoom.  

Zoom link: https://uni-sydney.zoom.us/j/87491585109 

Speaker: Prof Xuedong He (Chinese University of Hong Kong) 

Title: Portfolio selection under median and quantile maximization 

Abstract: Although maximizing median and quantiles is intuitively appealing and has an
axiomatic foundation, it is difficult to study the optimal portfolio strategy due to the
discontinuity and time inconsistency in the objective function.  We use the
intra-personal equilibrium approach to study the problem.  Interestingly, we find that
the only viable outcome is from the median maximization, because for other quantiles
either the equilibrium does not exist or there is no investment in the risky assets.
The median maximization strategy gives a simple explanation to why wealthier people
invest more percentage of their wealth in risky assets.  This is a joint work with
Zhaoli Jiang and Steven Kou.  

https://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html 

Please feel free to forward this message to anyone who might be interested in this
talk.  

Kind regards, 

Anna