讲座题目：Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach

报告人：周超

报告时间：2019年10月17日 下午14:30-16:00

报告地点：经管院A221

主办单位：数理经济与数理金融系

主持人：林乾

摘要:This paper is concerned with a multi-asset mean-variance portfolio selection problem under model uncertainty. We develop a continuous time framework for taking into account ambiguity aversion about both expected return rates and correlation matrix of the assets, and for studying the effects on portfolio diversification. We prove a separation principle for the associated robust control problem, which allows to reduce the determination of the optimal dynamic strategy to the parametric computation of the minimal risk premium function. Our results provide a justification for underdiversification, as documented in empirical studies. We explicitly quantify the degree of under-diversification in terms of correlation and Sharpe ratio ambiguity. In particular, we show that an investor with a poor confidence in the expected return estimation does not hold any risky asset, and on the other hand, trades only one risky asset when the level of ambiguity on correlation matrix is large. This extends to the continuous-time setting the results obtained by Garlappi, Uppal and Wang , and Liu and Zeng in a one-period mode。

简介：周超现为新加坡国立大学助理教授，周超博士毕业于巴黎综合理工，硕士毕业于巴黎九大和巴黎国立统计与经济管理学校。从事金融数学与随机分析方面的研究，与合作者在国际权威的杂志上发表多篇文章。