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     Department of Systems Engineering and Engineering Management

                    The Chinese University of Hong Kong

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Date: Friday, September 18, 2026, 2:00pm to 3:00pm HKT

Venue: ERB 909, The Chinese University of Hong Kong

Title: Multi-Period Mean-Variance Portfolio Selection: An MDP Approach

Speaker: Prof. Li Xia, Sun Yat-sen University

Abstract:

Mean-variance optimization is a fundamental problem in portfolio selection, but it becomes significantly more challenging in the multi-period setting because the standard dynamic programming argument fails. From the perspective of stochastic control, Li&Ng (2000) and Zhou&Li (2000) developed an embedding method to treat this problem and derived elegant closed-form solutions. Markov decision processes (MDPs) offer a general framework for stochastic dynamic decision-making, and risk-sensitive MDPs have become an active research area. Nevertheless, this research stream appears never to have merged with the stochastic-control approach for mean-variance portfolio selection. This talk aims to bridge this gap by proposing an MDP approach to this classical problem. Our results show that the risk-sensitive MDP method obtains exactly the same results as the stochastic-control approach, and that it further provides a much broader and unified framework for other stochastic dynamic decision-making problems with variance-related objectives, beyond portfolio selection.

Biography:

Li Xia is a professor at the School of Business, Sun Yat-sen University, Guangzhou, China. He received his Bachelor's and Ph.D. degrees in control theory from Tsinghua University in 2002 and 2007, respectively. He previously served as a faculty member in the Department of Automation, Tsinghua University, and in 2019 he joined Sun Yat-sen University as a full professor. He has been a visiting scholar at Stanford University, the Hong Kong University of Science and Technology, and other institutions. He serves as an associate editor of IEEE Transactions on Automation Science and Engineering, Discrete Event Dynamic Systems, and other journals. His research interests include the methodology of Markov decision processes, reinforcement learning, queueing theory, and stochastic games, as well as their applications in energy systems and financial technology, among others.

Everyone is welcome to attend the talk!

SEEM-5201 Website: http://seminar.se.cuhk.edu.hk