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      Department of Systems Engineering and Engineering Management

                             The Chinese University of Hong Kong

 

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Date: 4:30pm to 5:30pm, Feb. 10, 2017 (Friday)

 

Title: On the market viability under proportional transaction costs

 

Speaker: Yu, Xiang from The Hong Kong Polytechnic University

 

Abstract:

 

This project studies the market viability with proportional transaction costs. Instead of requiring the existence of strictly consistent price systems (SCPS) as in the literature, we show that strictly consistent local martingale systems (SCLMS) can successfully serve as the dual elements such that the market viability can be verified. We introduce two weaker notions of no arbitrage conditions on market models named no unbounded profit with bounded risk (NUPBR) and no local arbitrage with bounded portfolios (NLABP). In particular, we show that the NUPBR and NLABP conditions in the robust sense for the smaller bid-ask spreads give the equivalent characterization of the existence of SCLMS for general market models. We also discuss the implications for the utility maximization problem. This is the joint work with Erhan Bayraktar, University of Michigan.

 

Biography:

 

Dr. Yu, Xiang is currently an Assistant Professor in the Department of Applied Mathematics at the Hong Kong Polytechnic University. He got his Ph.D. degree in Mathematics from the University of Texas at Austin in 2012 and he received the Professional Development Award from the graduate school. During 2012 to 2015, he worked as the fixed-term Assistant Professor in the Department of Mathematics at the University of Michigan. His research interests include financial mathematics, applied probability, stochastic control and optimization. He has published papers in top journals such as Annals of Applied Probability and Mathematical Finance.

 

Everyone is welcome to attend the talk!

 

 

 

Venue: Room 513,

      William M.W. Mong Engineering Building (ERB),

      The Chinese University of Hong Kong.

 

SEEM-5202 Website: http://seminar.se.cuhk.edu.hk

Email: seem5202@se.cuhk.edu.hk