The Institute of Mathematical Research (IMR) and the Division of Science and Technology (DST) continued their lecture series by inviting Assistant Professor in the Department of Mathematic at National University of Singapore, Dr Zhou Chao, to give a lecture on 6 November.
Dr Zhou explaining his recent research
Dr Zhou obtained his PhD in Applied Mathematics from École Polytechnique Paris and is an affiliated researcher in the Institute of Operations Research and Analytics and Suzhou Research Institute at NUS. In addition, he has published several papers in The Annals of Applied Probability, The annals of Probability, and Mathematical Finance.
Teaching the audience about Portfolio Selection
During his talk titled, ‘Deep Learning Method for Portfolio Selection’, he explained how investor’s trade more aggressively under relative performance, the effect is mitigated by partial information. Continuing, he explained how we characterise the optimal investment strategy for stochastic return rate by forward-backward stochastic differential equations (FBSDE).
The audience listening intently
He added, “Classical portfolio selection aims to find a strategy that maximizes investor’s intermediate consumption and terminal utility at some future time.” There then was a question and answer session before the lecture was concluded.
Reporter/Photographer: Lauren Richardson
Editor: Samuel Burgess
(from MPRO)
