講座題目：Hedging crash risk with derivatives

時(shí)間：2021年10月14日（周四）        10:00 – 11:00（線上）

主講人: 朱書尚

主講人簡(jiǎn)介：

朱書尚，中山大學(xué)管理學(xué)院財(cái)務(wù)與投資系教授/博士生導(dǎo)師，中國(guó)運(yùn)籌學(xué)會(huì)理事、中國(guó)運(yùn)籌學(xué)會(huì)金融工程與金融風(fēng)險(xiǎn)管理分會(huì)副理事長(zhǎng)。研究興趣主要集中在投資組合和金融系統(tǒng)性風(fēng)險(xiǎn)等領(lǐng)域。在穩(wěn)健投資組合、邊際風(fēng)險(xiǎn)控制、VaR的優(yōu)化、時(shí)間一致性風(fēng)險(xiǎn)決策、系統(tǒng)性風(fēng)險(xiǎn)傳染機(jī)制等方向上取得了一些創(chuàng)新研究成果。在國(guó)內(nèi)外專業(yè)學(xué)術(shù)期刊上發(fā)表論文50余篇，其中包括在Operations Research, Mathematical Finance, IEEE Transactions on Automatic Control, INFORMS Journal on Computing, Journal of Banking and Finance, Journal of Economic Dynamics and Control, Quantitative Finance, Journal of Computational Finance,《管理科學(xué)學(xué)報(bào)》和《金融研究》等期刊上發(fā)表的多篇論文。

講座內(nèi)容簡(jiǎn)介：

When almost all underlying assets suddenly lose a certain part of their nominal value in a market crash, the diversification effect of portfolios in a normal market condition no longer works. We integrate the crash risk into portfolio management and investigate performance measures, hedging and optimization of portfolio selection involving derivatives. A suitable convex conic programming framework based on parametric approximation method is proposed to make the problem a tractable one. Simulation analysis and empirical study are performed to test the proposed approach. This is a joint work with Wei Zhu, Xi Pei and Xueting Cui.

會(huì)議方式：騰訊會(huì)議

會(huì)議 ID：786 226 704