“金融科技论坛”第十一讲：Hedging crash risk in optimal portfolio selection
讲座名称：
“金融科技论坛”第十一讲：Hedging crash risk in optimal portfolio selection
讲座时间：
2020-10-31
讲座人：
朱书尚
形式：
校区：
兴庆校区
实践学分：
讲座内容：
“金融科技论坛”第十一讲
讲座题目：Hedging crash risk in optimal portfolio selection
讲座时间：2020年10月31日（星期六）15:00-16:30
讲座地点：中国西部科技创新港5-8121会议室
腾讯会议：655 141 176
讲座人：朱书尚 中山大学
讲座摘要：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.
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