讲座题目：带崩溃风险对冲约束的投资组合优化

主讲人：朱书尚教授

讲座时间：11月17日10：00

讲座地点：澳门十大正规网站排行榜楼422会议室

主讲人简介

朱书尚，湖南湘西人，本科（1997）和硕士（2000）毕业于湘潭大学， 2003年毕业于中国科学院系统科学研究所，获博士学位。2003年7月到2012年1月于复旦大学管理学院任教（讲师、副教授）。现任中山大学管理学院教授、博士生导师。研究领域：包括金融工程与风险管理（研究兴趣：投资组合优化、金融风险管理、金融风险传染等）。在Operations Research, Mathematical Finance, IEEE Transaction on Automatic Control,  INFORMS Journal on Computing, Journal of Banking and Finance, Journal of Economic Dynamics and Control, Journal of Computational Finance, Journal of Risk, Quantitative Finance等国内外期刊上发表论文四十余篇。现任中国运筹学会金融工程与金融风险管理分会常务理事、秘书长；中国系统工程学会金融系统工程与风险管理专业委员会理事；中国优选法统筹法与经济数学研究会经济数学与管理数学分会常务理事。

讲座摘要：When a crash happens in the financial market, most of the underlying assets suddenly lose a certain part of their nominal value, and the diversification effect of portfolios in a normal market condition does not work any longer under this situation. In this work, we integrate crash risk into portfolio management and investigate the performance measures, hedging and optimization of portfolio selection involving derivatives. A suitable convex conic programming framework based on parametric approximation method is proposed to formulate the problem as a tractable one. Comprehensive simulation analysis and empirical study are performed to test the proposed approach. This is a joint work with Zhu Wei, Pei Xi and Cui Xueting.