讲座题目：Portfolio selection under two-factor stochastic volatility and transaction costs with option-implied utility and deep learning

主 讲 人：阎冬博士（对外经济贸易大学）

讲座时间：2026年3月25日（周三）上午10:00时

讲座地点：钱伟长楼201会议室

欢迎有兴趣的师生前来聆听、交流。

数学与数据科学学院

2026年3月23日

讲座内容简介：We investigate a portfolio selection problem with transaction costs under a two-factor stochastic volatility structure, where volatility follows a mean-reverting process with a stochastic mean-reversion level. The model incorporates both proportional exogenous transaction costs and endogenous costs modeled by a stochastic liquidity risk process. Using an option-implied approach, we extract an S-shaped utility function that reflects investor behavior and apply its concave envelope transformation to handle the non-concavity. The resulting problem reduces to solving a five-dimensional nonlinear Hamilton Jacobi Bellman equation. We employ a deep learning-based policy iteration scheme to numerically compute the value function and the optimal policy. Numerical experiments are conducted to analyze how both types of transaction costs and stochastic volatility affect optimal investment decisions.

主讲人简介： 阎冬，现任对外经济贸易大学统计学院数量金融系教师。其主要研究领域包括数理金融、金融衍生品定价、最优投资组合、随机过程与机器学习等。以第一作者或唯一通讯作者身份发表SCI/SSCI收录学术论文10余篇。主持人力资源和社会保障部外国专家交流项目一项，参与中国期货业协会相关课题研究三项。在校承担《数理金融学》和《运筹学》两门本科专业必修课的教学工作，指导本科生与研究生累计30余人。曾获对外经济贸易大学“优秀班主任”等荣誉称号。