报告题目: Downside Risk Optimization with Random Targets and Portfolio Amplitude

报告人：英国麦克斯韦数学科学研究所和赫瑞瓦特大学统计精算系副教授

报告时间：2021年11月29日下午3:30-4:30

报告地点：苏州大学金融工程研究中心105学术报告厅

Abstract:

In this paper, we rationalize using random targets in downside risk optimization that is applicable for both financial and actuarial context. We derive analytical solutions to the downside risk optimization with respect to random targets and investigate how the random target affects the optimum. In doing so, we propose using portfolio amplitude, as a new measure in the literature, to characterize the investment strategy. Particularly, we demonstrate the mechanism by which the random target inputs its impact into the system and alters the optimal solutions. Our results underpin why investors prefer holding some specific assets in following random targets and provide explanations for some special investment strategies, such as constructing a stock portfolio following a bond index. Numerical examples of stock portfolio management are presented to clarify our theoretical results.

报告人简介

姚经, 应用经济学博士。现任英国麦克斯韦数学科学研究所和赫瑞瓦特大学统计精算系副教授。兼任比利时布鲁塞尔自由大学科研教授，比利时天主教鲁汶大学访问学者，以色列海法大学精算研究中心研究员，重庆市“巴渝学者”讲座教授。曾担任比利时FWO科研基金任研究员并主持科研项目。主要研究方向包括量化金融分析，衍生品定价，最优投资策略和资产配置，风险相依性和系统风险等。