Mathematical Modelling of Portfolio Trades
主 题: Mathematical Modelling of Portfolio Trades
报告人: Dr. Lei Feng(冯磊) (Vice President，Equities Division at Goldman Sachs, US)
时 间: 2007-09-10 下午 4:00
地 点: 理科一号楼 1560
Portfolio trading involves the sale or purchase of a basket of stocks whose size is too large to be traded immediately in the market. An optimal trading strategy will minimize the expected cost of trading over a fixed time horizon. A number of mathematical finance tools have been applied to solve this problem, including dynamic programming and piece-wise optimization. In this talk, we will discuss the institutional details of portfolio trading, mathematical models that are used by Wall Street firms, and the direction of future research in this area.
