题目：Dynamic Sharpe Ratio Optimization

报告人：Prof. Harry Zheng（Imperial College London）

地点：致远楼103室

时间：2026年4月22日 星期三 15：00-16：00

Abstract：We study a dynamic Sharpe ratio optimization problem in the presence of unhedgeable background risk. We derive the time-consistent HJB equation and characterize the corresponding equilibrium strategy. For two economically relevant special cases, where the background risk follows an arithmetic or a geometric Brownian motion, we obtain semi-closed-form solutions. Our framework naturally applies to portfolio choice problems with non-tradable labour income, providing a unified explanation for two household finance puzzles: limited stock market participation and underinvestment in equities. We also design a BSDE and deep neural network-based algorithm and show its accuracy and efficiency with numerical examples. (Joint work with Jiawen Gu, Shijing Si, Mogens Steffensen)

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