报告题目：Hedging crash risk in optimal portfolio selection

报告人：朱书尚教授

时 间：2020年10月31日（星期六）15:00-16:30

地 点：中国西部科技创新港5-8121会议室

腾讯会议：655 141 176

报告人简介：

朱书尚，中山大学管理学院财务与投资系教授/博士生导师。研究领域为金融工程与风险管理。在国内外专业学术期刊上发表论文50余篇，其中包括在Operations Research, INFORMS Journal on Computing, Mathematical Finance, IEEE Transactions on Automatic Control, Journal of Economic Dynamics and Control, Journal of Banking and Finance, Quantitative Finance, Journal of Computational Finance,《管理科学学报》和《金融研究》等期刊上发表的多篇论文。现任中国运筹学会理事；中国运筹学会金融工程与金融风险管理分会常务理事、副理事长；中国系统工程学会金融系统工程与风险管理专业委员会委员；中国优选法统筹法与经济数学研究会经济数学与管理数学分会常务理事；中国优选法统筹法与经济数学研究会量化金融与保险分会常务理事。

讲座摘要：When almost all underlying assets suddenly lose a certain part of their nominal value in a market crash, the diversification effect of portfolios in a normal market condition no longer works. We integrate the crash risk into portfolio management and investigate performance measures, hedging and optimization of portfolio selection involving derivatives. A suitable convex conic programming framework based on parametric approximation method is proposed to make the problem a tractable one. Simulation analysis and empirical study are performed to test the proposed approach.

经金学院

2020年10月27日