演講時間及地點: 2026/5/15(星期五) 10:00~12:00 商學院2F13
演講者: 孫立憲 (國立中央大學統計研究所 教授)
演講題目: Partial Information in a Mean-Variance Portfolio Selection Game
演講內容: We consider finitely many investors who perform mean-variance portfolio selection under a relative performance criterion. That is, each investor is concerned about not only her terminal wealth, but how it compares to the average terminal wealth of all investors (i.e., the mean field). We derive such a Nash equilibrium explicitly in the idealized case of full information (i.e., the dynamics of the underlying stock is perfectly known), and semi-explicitly in the realistic case of partial information (i.e., the stock evolution is observed, but the expected return of the stock is not precisely known). The formula under partial information involves an additional state process that serves to filter the true state of the expected return. We comment on the effect of partial information through numerical analysis. Observe that partial information alone can reduce investors’ wealth significantly, thereby causing or aggravating systemic risk.
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