精算论坛第148期讲座- Chao Zhou(10月19日)

报告题目(Title)：  Portfolio diversification and modeluncertainty: a robust dynamic mean-variance approach  

报告时间(Date)：2018年10月19日（周五）下午2:00-3:00

报告人(Speaker):  Chao Zhou（新加坡国立大学）

Chao Zhou博士，硕士毕业于法国的巴黎九大和国立经济管理和统计学校，拥有巴黎综合理工大学工程师文凭，博士也毕业于巴黎合理工大学。他现为新加坡国立大学数学系助理教授和量化金融中心研究员。他主要研究金融数学和随机控制，并在这些方向获得一些很好的结果，其中的一部分发表在多个国际权威的数学、金融杂志上，如：The Annals of AppliedProbability、The Annals of Probability， Mathematical Finance等。

摘要 (Abstract):

Thistalk is concerned with multi-asset mean-variance portfolio selection problemunder model uncertainty. We develop a continuous time framework for taking intoaccount ambiguity aversion about both expected rate of return and correlationmatrix of stocks, and for studying the effects on portfolio diversification. Weprove a separation principle for the associated robust control problemformulated as a mean-field type differential game, which allows to reduce thedetermination of the optimal dynamic strategy to the parametric computation ofthe minimal risk premium function. Our results provide a justification forunder-diversification, as documented in empirical studies, and that weexplicitly quantify in terms of correlation and Sharpe ratio ambiguityparameters.  In particular, we show that an investor with a poorconfidence in the expected return estimation does not hold any risky asset, andon the other hand, trades only one risky asset when the level of ambiguity oncorrelation matrix is large. This extends to the continuous-time setting theresults obtained by Garlappi, Uppal and Wang (2007), and Liu and Zeng (2017) ina one-period model. Based on joint work with Huyên Pham (Paris Diderot) andXiaoli Wei (Paris Diderot).

报告地点(Location)：中央财经大学学术会堂南楼506（精算院会议室）

欢迎各位老师和同学积极参加！