應(yīng)yl7703永利官網(wǎng)概率統(tǒng)計(jì)研究所趙學(xué)靖副教授和嚴(yán)定琪副教授邀請(qǐng)，中山大學(xué)管理學(xué)院博士生導(dǎo)師李仲飛教授將訪問(wèn)我校并作學(xué)術(shù)交流。

報(bào)告題目：Data-driven or Alpha Robust Mean-CVaR Portfolio Selection under Distribution Ambiguity

時(shí)    間：2019年9月17日15:00

地    點(diǎn)：齊云樓911

摘    要：In this talk, I first present a computationally tractable optimization method for a robust mean-CVaR portfolio selection model under the condition of distribution ambiguity, where the Conditional Value-at-Risk (CVaR) is used to measure risk. I develop an extension that allows the model to capture a zero net adjustment via the linear constraint in the mean return, which can be cast as a tractable conic program. Also, I adopt a nonparametric bootstrap approach to calibrate the levels of ambiguity and show that the portfolio strategies are relatively immune to variations in input values. The resulting robust portfolio is very well diversified and superior to its non-robust counterpart in terms of portfolio stability, expected returns and turnover.

Secondly, I develop alpha-robust mean-CVaR portfolio selection models, which allow the investor to distinguish ambiguity and ambiguity attitude with different levels of ambiguity aversion. For the case when there is a risk-free asset and short-selling is allowed, the analytic solution is obtained for the alpha-robust CVaR optimization model subject to a minimum mean return constraint. Moreover, a closed-form portfolio rule is derived for the alpha-robust mean-CVaR optimization problem in a market without the risk-less asset. The results obtained from solving the numerical example show that if an investor is more ambiguity-averse, his investment strategy will always be more conservative.

歡迎廣大師生光臨!

報(bào)告人簡(jiǎn)介

李仲飛，中山大學(xué)管理學(xué)院教授、博士生導(dǎo)師，廣東省人文社科重點(diǎn)研究基地中山大學(xué)金融工程與風(fēng)險(xiǎn)管理研究中心主任，國(guó)家創(chuàng)新研究群體項(xiàng)目獲得者，國(guó)家杰出青年科學(xué)基金獲得者，全國(guó)模范教師，國(guó)務(wù)院特殊津貼專家，全國(guó)百篇優(yōu)秀博士學(xué)位論文獲得者，廣東省珠江學(xué)者特聘教授，廣東省南粵優(yōu)秀教師。李仲飛教授的研究領(lǐng)域包括金融工程與風(fēng)險(xiǎn)管理、金融市場(chǎng)與投資、金融經(jīng)濟(jì)學(xué)、保險(xiǎn)與精算。在《科學(xué)出版社》等出版學(xué)術(shù)專著6部，在Annals of Operations Research, European Journal of Operational Research, Insurance Mathematics and Economics, Journal of Corporate Finance, Journal of Economic Dynamics & Control, Quantitative Finance, SIAM Journal on Financial Mathematics，The Quarterly Review of Economics and Finance, Transportation Research (Part A, C, E)，《科學(xué)通報(bào)》《管理科學(xué)學(xué)報(bào)》《經(jīng)濟(jì)學(xué)（季刊）》等國(guó)內(nèi)外權(quán)威學(xué)術(shù)期刊發(fā)表論文150余篇。作為第一獲獎(jiǎng)人曾獲中國(guó)高校人文社會(huì)科學(xué)研究?jī)?yōu)秀成果二等獎(jiǎng)一項(xiàng)、廣東省哲學(xué)社會(huì)科學(xué)優(yōu)秀成果一等獎(jiǎng)兩項(xiàng)、內(nèi)蒙古科技進(jìn)步獎(jiǎng)二等獎(jiǎng)一項(xiàng)等.

甘肅省高校應(yīng)用數(shù)學(xué)與復(fù)雜系統(tǒng)省級(jí)重點(diǎn)實(shí)驗(yàn)室

yl7703永利官網(wǎng)

蘭州大學(xué)大數(shù)據(jù)科學(xué)研究中心

萃英學(xué)院

2019年9月16日