Uploaded January 2024 | Updated September 2026, 1 week ago
Watch the latest presentation of the SIAM Activity Group on FME Virtual Talk Series on the systemic risk of partial information with Yu-Jui Huang of the University of Colorado Boulder! Every two weeks, the SIAM Activity Group on Financial Mathematics and Engineering brings you engaging online discussions on cutting-edge topics in the field: siam.org/membership/activity-groups/detail/financial-mathematics-and-engineering.
In this webinar, Huang explores mean-variance portfolio selection among investors, considering a relative performance criterion and the impact of partial information. Investors aim not only for terminal wealth but also for a favorable comparison to the mean field, the average terminal wealth of all investors. Trading strategies are chosen at the inter-personal level, influenced by others' strategies and affecting the mean field. The selected strategy must achieve an equilibrium intra-personally to address time inconsistency triggered by the mean-variance objective. Huang's talk presents a Nash equilibrium in the idealized case of full information and semi-explicitly in the realistic scenario of partial information, revealing that partial information alone can significantly reduce investors' wealth, potentially contributing to systemic risk.
0:00 Webinar
54:52 Q&A
#webinarseries #financialmathematics #tradingstrategy #financialmodeling #investmentstrategies #financialmarkets
Watch the latest presentation of the SIAM Activity Group on FME Virtual Talk Series on the systemic risk of partial information with Yu-Jui Huang of the University of Colorado Boulder! Every two weeks, the SIAM Activity Group on Financial Mathematics and Engineering brings you engaging online discussions on cutting-edge topics in the field: siam.org/membership/activity-groups/detail/financial-mathematics-and-engineering.
In this webinar, Huang explores mean-variance portfolio selection among investors, considering a relative performance criterion and the impact of partial information. Investors aim not only for terminal wealth but also for a favorable comparison to the mean field, the average terminal wealth of all investors. Trading strategies are chosen at the inter-personal level, influenced by others' strategies and affecting the mean field. The selected strategy must achieve an equilibrium intra-personally to address time inconsistency triggered by the mean-variance objective. Huang's talk presents a Nash equilibrium in the idealized case of full information and semi-explicitly in the realistic scenario of partial information, revealing that partial information alone can significantly reduce investors' wealth, potentially contributing to systemic risk.
0:00 Webinar
54:52 Q&A
#webinarseries #financialmathematics #tradingstrategy #financialmodeling #investmentstrategies #financialmarkets
