报告一题目：Stratified approximations for the pricing of options on average

主讲人：Nicolas Privault ， 新加坡南洋理工大学

内容摘要：We propose to use stratified approximations based on the gamma and lognormal distributions for the pricing of options on average such as Asian options and bond prices in the Dothan model. We show that this approach improves on standard numerical approximation methods, and is not subject to the instabilities encountered with closed form integral expressions.

报告二题目：General approach to the optimal portfolio selection

主讲人：Udi Makov ， 以色列Haifa大学

内容摘要： This paper presents an explicit solution to a problem of maximization of a ratio of function of a linear functional and function of a quadratic functional, subject to a system of linear constraints. This is of interest for solving important problems in financial economics and risk management related, for example, to optimal portfolio selection. This work essentially generalizes the results of the authors, where the problem of minimizing the combination of linear functional and a function of quadratic functional was considered. The new results essentially generalize classical results. In particularly, the mean-variance principle, the Sharpe ratio principle, the recently introduced tail mean-variance principle and the optimization with respect to translation invariant and positive homogeneous risk measures. The results are demonstrated using real data.

时间： 2015年9月28日星期一上午9:00 -12:00

报告地点：中央财经大学学院南路校区学术会堂706

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