龙马奋进 · 校庆70周年学术系列讲座
精算论坛第163期讲座 —Udi Makov JingYao (7月9日)
教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动
精算论坛 第163期讲座
(2019年7月9日)
报告题目一：
Analytic solution to the portfolio optimization problem in a mean-variance-skewness model
报告人： Udi Makov 教授（以色列 The University of Haifa 精算研究中心主任）
Udi Makov教授任以色列海法大学精算研究中心主任，早年从事统计研究，近年来在精算领域建树颇丰，他的论文多次发表在IME、SAJ、ASTIN等专业学术杂志上，是该领域的知名学者。
摘要：
In portfolio theory, it is well-knownthat the distributions of stock returns are often unimodal asymmetricdistributions. Therefore, many research papers have suggested considering theskew-normal distribution as an adequate model in quantitative finance. Suchasymmetry explains why the celebrated mean-variance theory, which does notaccount to the skewness of the distribution of returns, frequently fails toprovide an optimal portfolio selection rule. In this paper, we provide a novelapproach for solving the problem of optimal portfolio selection for asymmetricdistributions of the stock returns, by putting it into a framework of amean-variance-skewness measure. Moreover, our optimal solutions are explicitand are closed-form. In particular, we provide an analytical portfoliooptimization solution to the exponential utility of the well-known skew-normaldistribution. Our analytical solution can be investigated in comparison toother portfolio selection rules, such as the standard mean-variance model. Thenew methodology is illustrated numerically.
报告题目二：
Downside Risk Optimization with Random Targets and Portfolio
Amplitude
报告人： Jing Yao 助理教授（英国赫瑞瓦特大学）
姚经, 应用经济学博士。现任英国麦克斯韦数学科学研究院和赫瑞瓦特大学统计精算系助理教授(高级)，硕士研究生和博士研究生导师。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和风险管理研究中心研究员。曾于比利时FWO科研基金担任研究员主持科研项目。他的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，风险相依性和系统风险等方面。担任欧洲相依风险研究学术年会的组织者并多次受邀参加国际性学术会议并作报告。同时作为爱丁堡数学协会会员，苏格兰金融风险学术会成员，比利时金融市场风险研究学术会会员与金融保险业界进行合作。已发表论文和著作十余篇，主持和参与的科研项目共三项，累计基金达十余万欧元。部分研究成果发表精算和相关领域的著名专业学术期刊上。同时，也长期任教Advanced Finance, Risk management, Financial Economics 和Portfolio Theory等专业课程，教学经验丰富。
摘要：
In thispaper, we rationalize using downside risk optimization
subjectto a random target in portfolio selection. In context of
normality,we derive analytical solutions to the downside risk
optimizationwith respect to random targets and investigate how the
randomtarget affects the optimal solutions. In doing so, we propose
usingportfolio amplitude, as a new measure in literature, to
characterizethe investment strategy. Particularly, we demonstrate the mechanism by whichthe random target inputs
itsimpact into the system and alters the optimal portfolio selection.
Ourresults underpin why investors prefer holding some specific assets in followingrandom targets and provide explanations for some special investment strategies,such as constructing a stock portfolio following a bond index. Numericalexamples are presented to clarify our theoretical results.
报告时间：2019年7月9日 10:00--12:00
报告地点：学术会堂南楼506中国精算研究院会议室
欢迎各位老师和同学积极参加！
