Mean-Swap Variance, Portfolio Theory and Prospect Asset Pricing
讲座名称：
Mean-Swap Variance, Portfolio Theory and Prospect Asset Pricing
讲座时间：
2017-06-27
讲座人：
周昆
形式：
校区：
兴庆校区
实践学分：
讲座内容：
讲座题目：Mean-Swap Variance, Portfolio Theory and Prospect Asset Pricing
讲座时间：2017年6月27日（周二）下午15:00
讲座地点：西交大财经校区教学楼八楼学术报告厅
讲座人：周昆 教授
主讲论文英文摘要：
Superior to the variance, "swap variance" summarizes the entire probability distribution of returns and is unbiased to distributional asymmetry. Retaining the same simplicity as mean-variance (MV) model, the mean-swap variance (MSwV) efficiency is necessary and sufficient for expected utility maximization. The MSwV portfolio optimization extends the MV model to a general framework incorporated with asymmetries in returns. The distinction between MSwV and MV characterizes the aggregated utility as a "domain-dependent" function with loss-aversion to the downside-asymmetries, risk-aversion to the symmetry, and increasing risk-aversion to the upside-asymmetries, respectively. A three-factor prospect asset pricing model is theoretically developed and is empirically robust.
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