讲座题目:Systemic Risk of Optioned Portfolio: Controllability and Optimization
讲座时间:2022年12月9日(星期五)上午10:00-11:30
讲座方式:腾讯会议ID:590-825-291
密码:221209
讲座链接:https://meeting.tencent.com/dm/ZXAc15INs3Hg
主讲人:
朱书尚,湖南人,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,获管理学博士学位。2003年7月到2012年1月于复旦大学管理学院任教。2012年1月,以“百人计划”引进人才身份加入中山大学,现任中山大学管理学院财务与投资系教授/博士生导师。多次到香港中文大学、京都大学做访问交流。当前研究兴趣主要包括投资组合优化、Forward-Looking收益预测、风险值优化、系统性风险传染机制与测度等。在国内外专业学术期刊上发表论文60余篇,其中包括在Operations Research, INFORMS Journal on Computing, Mathematical Finance, IEEE Transactions on Automatic Control, Journal of Economic Dynamics and Control, Journal of Banking and Finance, 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。现任中国运筹学会理事、中国运筹学会金融工程与金融风险管理分会常务理事、副理事长;中国系统工程学会金融系统工程与风险管理专业委员会委员;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;中国优选法统筹法与经济数学研究会量化金融与保险分会常务理事。
讲座简介:
In this work, we investigate the portfolio selection problem against the systemic risk which is measured by CoVaR. We first demonstrate that the systemic risk of a pure stock portfolio cannot be controlled by diversification due to the “contagion effect” and “seesaw effect”. Then, by hedging both the strong correlations between stocks and the extreme losses of distressed stocks with options to alleviate these two effects, we prove that the systemic risk becomes controllable. Next, we show that, the problem can be reformulated as a second-order cone program (SOCP) that allows for efficient computation. Finally, we carry out comprehensive simulations and empirical tests to illustrate the theoretical findings. (This is a joint work with Xiaochuan Pan, Xueting Cui and Jiali Ma)