保险与金融工程教研室学术讲座

报告题目：Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning
报  告 人：李迅 （香港理工大学 教授）
主  持 人：曾燕（williamhill中国 教授）
时      间：2026年3月12日 （周四） 15: 00
地      址：岭南堂黄炳礼会议室(203)
语      言：中英文

摘要:
    This talk studies a discrete-time mean-variance model based on reinforcement learning. Compared with its continuous-time counterpart in Wang-Zhou (2020), the discrete-time model makes more general assumptions about the asset's return distribution. Using entropy to measure the cost of exploration, we derive the optimal investment strategy, whose density function is also Gaussian type. Additionally, we design the corresponding reinforcement learning algorithm. Both simulation experiments and empirical analysis indicate that our discrete-time model exhibits better applicability when analyzing real-world data than the continuous-time model. (Joint with Xiangyu Cui, Yun Shi, and Si Zhao.)

报告人介绍：

     Xun Li received received the B.S., M.S. degrees in 1992, 1995, respectively, from the Department of Mathematics, Shanghai University of Science and Technology, and the Department of Mathematics, Shanghai University, China. He completed his Ph.D. degree in 2000 from the Department of Systems Engineering and Engineering Management at the Chinese University of Hong Kong, and he stayed with the same department as a postdoctoral research fellow until 2001. From 2001 to 2003, he was a postdoctoral fellow in the Mathematical and Computational Finance Laboratory at the University of Calgary. From 2003 to 2007, he was a visiting fellow in the Department of Mathematics at the National University of Singapore. He joined the Department of Applied Mathematics at the Hong Kong Polytechnic University as Assistant Professor in 2007, Associate Professor in 2013, and is currently Professor. His main research areas are stochastic control and applied probability with financial applications, and he has published in journals such as SIAM Journal on Control and Optimization, Annals of Applied Probability, Finance and Stochastics, IEEE Transactions on Automatic Control, Automatica, Journal of Differential Equations, Mathematical Finance and Quantitative Finance.

       欢迎感兴趣的师生参加！

       【教研室与研究中心简介】
       williamhill中国保险与金融工程教研室于2022年1月成立，由教授、副教授等15名成员组成。研究领域包括保险精算、金融工程、风险管理、社会保障、数字金融与保险、行为金融等。教研室成员曾在Operations Research、Journal of Economic Dynamics and Control、Insurance: Mathematics and Economics、《经济研究》《管理世界》《管理科学学报》等本领域权威期刊发表论文；教研室成员主持过多项国家社科基金重大项目，研究成果获得过多位国家领导人的批示，也获得过教育部高等学校科学研究优秀成果奖（人文社会科学）二等奖等奖项。详情请见链接：/organization/08。
       威廉williamhill金融工程与风险管理研究中心于2003年6月成立，是广东省人文社科重点研究基地，以建设高水平、开放型的金融工程与风险管理研究平台为宗旨，综合运用金融学、经济学、管理学、数学、工程学、行为学等学科的理论、方法和技术，创新性地研究和解决金融发展中遇到的重大理论与实践问题。本中心紧紧围绕科学研究这一主要工作，积极与国内外学者进行学术交流，力争承担重要科研项目、取得高质量科研成果，并为经济金融现实提供决策咨询服务，继而推动相关学科的建设和和发展。研究领域包括：金融工程、风险管理、数字金融、数字保险、数字经济、绿色金融、养老金融、供应链金融、资源配置、资产定价、金融市场、保险精算、决策与对策等。详情请见链接：/cferm/。