报告1：Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints

报告人： 梁宗霞 教授 (清华大学)

Abstract：This paper studies the risk management in a defined contribution (DC)pension plan. The financial market consists of cash, bond and stock. The interest rate in our model is assumed to follow an Orstein-Uhlenbeck process while the contribution rate follows a geometric Brownian Motion. Thus, the pension manager has to hedge the risks of interest rate, stock and contribution rate. Different from most works in DC pension plan, the pension manger has to obtain the optimal allocations under loss aversion and Value-at-Risk(VaR) constraints. The loss aversion pension manager is sensitive to losses while the VaR pension manager has to ensure the quality of wealth at retirement. Since these problems are not standard concave optimization problems, martingale method is applied to derive the optimal investment strategies. Explicit solutions are obtained under these two optimization criterions. Moreover, sensitivity analysis is presented in the end to show the economic behaviors under these two criterions.

报告2： Same Same But Different –-- Stylized Facts of CTA Sub Strategies

报告人：Youwei Li 教授 (英国贝尔法斯特女王大学)

Abstract：This paper investigates the daily and monthly performances of various trading strategies of CTAs, an alternative investment tool through a statistical/econometic lense. We comprehensive study if the performances follow the stylized facts in financial markets. The study has important implications in both the world of academic and financial industry

报告地点：中央财经大学中国精算研究院会议室(学术会堂南楼506)

报告时间：2015年11月23日(周一)上午10：00—12：00

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