Data-driven or Alpha Robust Mean-CVaR Portfolio Selection under Distribution Ambiguity 在分布不确定下数据驱动或者阿尔法鲁棒的均值-CVaR投资组合选择

讲座名称: Data-driven or Alpha Robust Mean-CVaR Portfolio Selection under Distribution Ambiguity 在分布不确定下数据驱动或者阿尔法鲁棒的均值-CVaR投资组合选择
讲座时间 2019-05-17
讲座地点 经济与金融学院八楼国际学术交流厅
讲座人 李仲飞

讲座题目:Data-driven or Alpha Robust Mean-CVaR Portfolio Selection under Distribution Ambiguity(在分布不确定下数据驱动或者阿尔法鲁棒的均值-CVaR投资组合选择)
报告摘要: In this talk, I first present a computationally tractable optimization method for a robust mean-CVaR portfolio selection model under the condition of distribution ambiguity, where the Conditional Value-at-Risk (CVaR) is used to measure risk. I develop an extension that allows the model to capture a zero net adjustment via the linear constraint in the mean return, which can be cast as a tractable conic program. Also, I adopt a nonparametric bootstrap approach to calibrate the levels of ambiguity and show that the portfolio strategies are relatively immune to variations in input values. The resulting robust portfolio is very well diversified and superior to its non-robust counterpart in terms of portfolio stability, expected returns and turnover. 
Secondly, I develop alpha-robust mean-CVaR portfolio selection models, which allow the investor to distinguish ambiguity and ambiguity attitude with different levels of ambiguity aversion. For the case when there is a risk-free asset and short-selling is allowed, the analytic solution is obtained for the alpha-robust CVaR optimization model subject to a minimum mean return constraint. Moreover, a closed-form portfolio rule is derived for the alpha-robust mean-CVaR optimization problem in a market without the risk-less asset. The results obtained from solving the numerical example show that if an investor is more ambiguity-averse, his investment strategy will always be more conservative.



李仲飞,中山大学管理学院教授、博士生导师,广东省人文社科重点研究基地中山大学金融工程与风险管理研究中心主任,教育部长江学者特聘教授,国家创新研究群体项目获得者,国家杰出青年科学基金获得者,全国模范教师,国务院特殊津贴专家,全国百篇优秀博士学位论文获得者,广东省珠江学者特聘教授,广东省南粤优秀教师。李仲飞教授的研究领域包括金融工程与风险管理、金融市场与投资、金融经济学、保险与精算。在《科学出版社》等出版学术专著6部,在Annals of Operations Research, European Journal of Operational Research, Insurance Mathematics and Economics, Journal of Corporate Finance, Journal of Economic Dynamics & Control, Quantitative Finance, SIAM Journal on Financial Mathematics,The Quarterly Review of Economics and Finance, Transportation Research (Part A, C, E),《科学通报》《管理科学学报》《经济学(季刊)》等国内外权威学术期刊发表论文150余篇。作为第一获奖人曾获中国高校人文社会科学研究优秀成果二等奖一项、广东省哲学社会科学优秀成果一等奖两项、内蒙古科技进步奖二等奖一项等学术奖励。

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