勷勤数学•专家报告

题      目：Optimal portfolio selection with VaR and portfolio insurance constraints under the rank-dependent expected utility theory

报  告  人：许左权 教授  (邀请人：杨舟)

                                   香港理工大学

时      间：1月10日  10：00-11：00

地     点：数科院西楼111报告厅

报告人简介:

       许左权教授先后于南开大学、北京大学、香港中文大学获得本科、硕士、博士学位，曾任英国牛津大学数学研究所任野村金融数学研究员，并兼任牛津Oxford-Man研究所通讯研究员。现任教于香港理工大学应用数学系，主要从事金融数学理论研究，包括量化行为金融学、投资组合、保险契约理论等研究领域，多次于世界著名学术机构及学术会议上作学术报告，主持过多项国家自然科学基金及香港研究资助局项目。其主要学术成果发表在《Mathematical Finance》,《Anna ls of Applied Probability》，《Finance and Stochastics》，《Mathematics of Operations Research》，《SIAM Journal on Financial Mathematics》，《Quantitative Finance》，《Insurance: Mathematics and Economics》等著名国际学术期刊上。现为著名国际期刊《Mathematics of Operations Research》编委。

摘      要：

       We investigate two optimal portfolio selection problems for a rank-dependent utility investor who needs to manage his risk exposure: one with a single Value-at-Risk (VaR) constraint and the other with joint VaR and portfolio insurance constraints. The two models generalize existing models under expected utility theory and behavioral theory. The martingale method, quantile formulation, and relaxation method are used to obtain explicit optimal solutions. We have specifically identified an equivalent condition under which the VaR constraint is effective. A numerical analysis is carried out to demonstrate theoretical results, and additional financial insights are presented. We find that, in bad market states, the risk of the optimal investment outcome is reduced when compared to existing models without or with one constraint. This talk is based on a joint work with Hui Mi from Nanjing Normal University.

          欢迎老师、同学们参加、交流！