Tittle：Chance-constrained Optimization for Pension Fund Portfolios in the Presence of Default Risk
Speaker: Prof. Kok Lay Teo (Curtin University)
Time : 2016-12-7 (Wed.) 14:30
Place: G507
Abstract : In this talk, we consider the portfolio optimization problem for a pension fund consisting of various government and corporate bonds. The aim of the problem is to maximize the fund’s cash position at the end of the time horizon, while allowing for the possibility of bond defaults. We model this problem as a stochastic discrete-time optimal control problem with a chance constraint that ensures all future outgoing commitments can be met with suf?ciently high probability. We then introduce a corresponding deterministic formulation that is a conservative approximation of the original stochastic optimal control problem. This approximate problem can be solved using gradient-based optimization techniques. We conclude the paper with a simulation study.