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珞珈经管精英论坛第44期——数理经济与数理金融论坛
时间:2023-05-11    点击数:

讲座题目:The Outperformance of MMVaR in Risk-Return Trade-Off and Portfolio Selection with Comparisons to Other Risk Measures(MMVaR在风险收益权衡和投资组合选择中的优异表现及与其他风险措施的比较)

主讲人:张正军 威斯康辛大学 教授

讲座时间:5月17日15:30

讲座地点:经管院B444

讲座主要内容:

The risk-return trade-off is the core of equity investments. The literature has focused on the properties of risk measures but not the trade-off. We found that popular risk measures lacked empirical risk-return trade-off capacity and balanced market investability, and the empirical studies were mainly under Markowitz's Mean-variance models. Using the newly introduced mark to market value at risk (MMVaR), we build a new Mean-MMVaR model and present the outperformance of the model over popular models in terms of better risk-return trade-off and portfolio selection under diversified markets and risk levels being from regulators’ tight rules to investors’ comfort beliefs. Joint work with Tongbo Liu (School of Economics, PKU), Zhicheng Wang (Guanghua Management School, PKU).

风险-收益权衡是股票投资的核心。文献关注的是风险度量的特性,而不是权衡的问题。我们发现,目前流行的风险度量缺乏实证的风险收益权衡能力和均衡市场的可投资性,且实证研究主要是在马科维茨的均值-方差模型下。我们利用新引入的风险市场价值(MMVaR),建立了一个新的Mean-MMVaR模型,并提出了该模型在多元化市场和风险水平(从监管者的严格规则到投资者的舒适信念)下,在更好的风险收益权衡和投资组合选择方面优于流行模型。与Tongbo Liu (School of Economics, PKU)、Zhicheng Wang (Guanghua Management School, PKU)共同完成。

主讲人简介:

张正军,威斯康辛大学教授、中国科学院大学经济管理学院教授。致力于经济及金融领域的非线性、非对称、非中心的统计推断核心理论和量化建模研究工作。围绕尾部,非线性和非对称的变量相依关系刻画;金融系统性风险的建模和管理;汇率预测模型和虚拟标准数字货币的构建;计量经济学模型在其它领域的应用四个方面。共100多篇论文发表在经济、金融、统计学、计算机领域的国际顶级期刊上。美国统计协会会士和国际数理统计学院会士。曾经担任JE金融工程与风险管理特刊共同主编、现为JASA、JBES、JDS、EJS、Statistica Sinica副主编。