教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动
精算论坛第283期讲座
(2026年4月16日)
讲座主题（一）：Learning an Optimal Investment Policy withTransaction Costs via a RandomizedDynkinGame
摘要：This paper addresses the challenge of developing optimal investmentstrategies in the presence of transaction costs and uncertain market conditions—an issue of critical importance for portfolio managers and financial decision-makers. We reformulate the classical continuous-time portfolio selection problem as aDynkingame, a strategic framework that captures the timing of buy and sell decisions under market frictions. To overcome the computational difficulties posed by the discontinuous nature of stopping decisions, we introduce a randomizedDynkingame approach that incorporates entropy regularization to balance exploration and exploitation. Building on this formulation, we develop an interpretable reinforcement learning algorithm capable of learning near-optimal trading policies directly from market data without requiring explicit knowledge of model parameters. Our theoretical analysis establishes convergence guarantees and quantifies the trade-offs involved in the exploration-exploitation balance. Through extensive numerical experiments and empirical tests on simulated and real market data, we demonstrate that our method effectively approximates optimal trading boundaries and outperforms benchmark strategies, offering a practical tool for dynamic portfolio management in realistic trading environments. This work bridges advanced stochastic control theory and modern machine learning, providing actionable insights for managing transaction costs and adapting to evolving market dynamics. This is a joint work withYuchaoDong andZhichaoLu.
报告人：Dai Min
Min Dai is Chair Professor in Applied Statistics and Financial Mathematics,Department of Applied Mathematics and School of Accounting and Finance, The Hong Kong Polytechnic University (PolyU). Prior to joining PolyU in 2021, he taught at National University of Singapore and Peking University after receiving his PhD degree from Fudan University in 2000. His research focuses on financial derivative pricing, portfolio selection with market imperfections, corporate finance, and financial technology. He published in peer-reviewed journals of different disciplines, such as the Journal of Econometrics, Journal of Economic Theory, Journal of Finance, Management Science, Mathematical Finance, Review of Financial Studies, and SIAM Journals. Currently he is the chairman of the INFORMS Finance section, a council member of Bachelier Finance Society, a Co-editor of Digital Finance, and serves in editorial boards of some academic journals, including Operations Research, Finance and Stochastics, Journal of Economic Dynamics and Control, SIAM Journal on Financial Mathematics, etc.
讲座主题（二）：Portfolio selection problem with periodic performance evaluation under model uncertainty
摘要：Fund management is crucial for ensuring the long-term sustainability of the fund.We develop a portfolio selection problem for fund management model that incorporates model uncertainty and periodic evaluation to balance the fund’s long-term development objective and the manager’s short-term performance. Specifically, managers decide an investment strategy continuously, while their performance is evaluated at a set of discrete dates using the ratio of current wealth to a benchmark as the evaluation criterion. We also consider an evaluation cost function to balance the trade-off between costs and benefits when determining the evaluation period. By applying the dynamic programming principle, we reformulate the original problem as an auxiliary one-period optimization problem. By solving this auxiliary problem, we obtain the optimal investment strategy and the corresponding value function for the original problem. Numerical simulations show that higher evaluation costs lead to a longer optimalevaluation period and a lower value function.Then further analysisdetermines the optimal evaluation period.
报告人：赵慧
赵慧，南开大学南开-泰康保险与精算研究院教授，博士生导师，现任国际自动控制联合会(The International Federation of Automatic Control)社会科学分组技术委员会委员、中国优选法统筹法与经济数学研究会量化金融与保险分会理事，中国现场统计研究会风险管理与精算分会理事,天津市工业与应用数学学会理事。作为项目负责人，主持3项国家自然科学基金项目和1项天津市自然科学基金面上项目。在金融数学和精算领域期刊《European Journal of Operational Research》、《Journal Of Optimization Theory And Applications》、《Insurance: Mathematics and Economics》、《Quantitative Finance》等发表论文40余篇。曾获第十八届天津市社会科学优秀成果奖三等奖，入选天津市131创新型人才培养工程第三层次人选等。
讲座时间： 2026年4月16日（周四）
下午15:00-17:00
报告地点：沙河学院13号楼209
邀 请 人：刘敬真
