学术报告-周超

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2018-09-29 10:41:00

学术报告

题      目:Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach


报  告  人:周超     (邀请人: 杨舟)

                                 新加坡国立大学、新加坡国立大学苏州研究院


时      间:2018-09-29 16:30--17:30

地      点:学院401

报告人简介:

      周超教授毕业于法国著名的巴黎九大和巴黎综合理工,现任职于新加坡国立大学和新加坡国立大学苏州研究院。主要研究领域:金融数学、随机控制、2-BSDE,并且获得很好的结果,在多个国际权威的数学金融杂志上发表文章。



摘      要:

        This talk is concerned with multi-asset mean-variance portfolio selection problem under model uncertainty. We develop a continuous time framework for taking into account ambiguity aversion about both expected rate of return and correlation matrix of stocks, and for studying the effects on portfolio diversification. We prove a separation principle for the associated robust control problem formulated as a mean-field type differential game, which allows to reduce the determination of the optimal dynamic strategy to the

parametric computation of the minimal risk premium function. Our results provide a justification for under-diversification, as documented in empirical studies, and that we explicitly quantify in terms of correlation and Sharpe ratio ambiguity parameters. In particular, we show that an investor with a poor confidence in the expected return estimation does not hold any risky asset, and on the other hand, trades only one risky assett, when the level of ambiguity is large.