讲座题目：Hedging crash risk with derivatives

时间：2021年10月14日（周四）        10:00 – 11:00（线上）

主讲人: 朱书尚

主讲人简介：

朱书尚，中山大学管理学院财务与投资系教授/博士生导师，中国运筹学会理事、中国运筹学会金融工程与金融风险管理分会副理事长。研究兴趣主要集中在投资组合和金融系统性风险等领域。在稳健投资组合、边际风险控制、VaR的优化、时间一致性风险决策、系统性风险传染机制等方向上取得了一些创新研究成果。在国内外专业学术期刊上发表论文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,《管理科学学报》和《金融研究》等期刊上发表的多篇论文。

讲座内容简介：

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.

会议方式：腾讯会议

会议 ID：786 226 704