报告题目：Impact of Liquidity Risk in Portfolio Selection: A New Approach

报 告 人： 诸颂平教授 伍伦贡大学

报告时间：2026年6月23日14：00-15：00

报告地点： 伍卓群楼第一报告厅

校内联系人：韩月才 [email protected]

报告摘要：

    In the literature on optimal portfolio selection, closed-form solutions are rare, especially when the additional liquidity risk is taken into consideration. In this talk, a new closed-form solution for a revised Merton (1969) model, subject to a particular form of market illiquidity, is presented. Our success hinges on innovatively interpreting the so-called “wealth turnover” adopted by Guasoni & Weber (2019) under the framework of the Leland transaction cost model (1985). As a result, we have managed to preserve the tractability so that an exact closed-form solution can be found, which enables us to provide a better discussion on the impact of liquidity risk in portfolio optimization without making an assumption on the order of the liquidity parameter, at least mathematically. As a solution verification process, we have compared our results with those of the Merton (1969) and Guasoni & Weber (2019), respectively.

报告人简介：

    诸颂平教授是澳大利亚伍伦贡大学应用数学系资深教授。他于1987年12月毕业于密歇根大学并获博士学位，累计在国际期刊和会议论文集上发表论文200余篇，吸引了澳大利亚研究理事会（ARC）和私营企业超过200万美元的资金支持。此外，诸颂平教授共组织了两次国际会议，并应邀在多个国际会议上发言。诸颂平教授的研究工作得到了国内外的广泛认可，据ISI Web of Science数据显示，他的论文总引用次数超过2000次，H指数为27。