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               Department of Systems Engineering and Engineering Management

                       The Chinese University of Hong Kong

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Date: Friday Oct 7, 2022, 16:30 HK time

Venue: ERB 513, The Chinese University of Hong Kong

Title: Robust Duality in Intertemporal Utility Maximizations

Speaker: Dr. Kyunghyun Park, Department of Statistics, The Chinese University of Hong Kong

Abstract:

The duality theory is a prevailing methodology possibly turning an intricate mathematical problem into a tractable one. In the stochastic control areas, the methodology is flexible about the choice of objective functions, incorporates feasible constraints on controls, and, in some cases, leads to an explicit solution. Recently, the finance and economic literature discovered model ambiguity (or uncertainty) as the main obstacle to putting the optimal strategies derived from theoretical models into practical use. In this talk, I will present a duality theory for robust intertemporal utility maximizations to offer a feasible consumption and wealth rate for the investor by means of robust and financeable investment strategies. The duality theory starts from the conceptual idea that model ambiguity in the primal space can be transformed into a volatility ambiguity in a dual space, and it is theoretically realized by the novel combination of the classic dual approach and the G-expectation framework. The duality theory demonstrates the generality and applicability in utility maximizations so that it allows for a general class of utility functions and a comprehensive model ambiguity setup and also includes other stochastic control processes such as optimal stopping time for retirement timing, and singular control for a habit formation.

This talk is based on joint works with Kexin Chen (HKPU), Hoi Ying Wong (CUHK) and Tingjin Yan (ECNU).

Biography:

Kyunghyun Park obtained PhD in mathematical sciences from Seoul National University in 2021, working under the supervision of Prof. Myungjoo Kang. He then joined Prof. Hoi Ying Wong and his research group in the department of statistics at The Chinese University of Hong Kong as a postdoctoral research fellow. His research interests include stochastic control/optimization theory and machine learning algorithms.

Everyone is welcome to attend the talk!

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Email: seem5201@se.cuhk.edu.hk