Date & Venue:
May 15, 2026 (Friday), 10:00–12:00
Room 2F13, College of Business
Speaker: Li-Hsien Sun (Professor, Institute of Statistics, National Central University)
Topic: Partial Information in a Mean-Variance Portfolio Selection Game
Abstract:
This talk considers a finite number of investors who engage in mean-variance portfolio selection under a relative performance criterion. In other words, each investor is concerned not only with her own terminal wealth, but also with how it compares to the average terminal wealth of all investors (the mean field).
The speaker derives the Nash equilibrium explicitly in the idealized full-information setting, where the dynamics of the underlying stock are perfectly known, and semi-explicitly in the more realistic partial-information setting, where stock prices are observable but the expected return is not precisely known. Under partial information, the resulting formula involves an additional state process used to filter the true expected return. Numerical analysis is used to examine the effects of partial information. The results suggest that partial information alone may significantly reduce investors’ wealth and potentially cause or worsen systemic risk.
Students who are interested are warmly welcome to attend.
Time：2026-05-12 13:38:42