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                                                     Seminar

             Department of Systems Engineering and Engineering Management
                                  The Chinese University of Hong Kong

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Title

:

Portfolio Selection with Law-invariant Coherent Risk Measures

　

　

　

Speaker

:

Prof. Xuedong He

　

　

Department of Industrial Engineering and Operations Research

　

　

Columbia University

　

　

　

Date

:

Sep 1st, 2010 (Wednesday)

　

　

　

Time

:

4:30 p.m. - 5:30 p.m.

　

　

　

Venue

:

Room 513

　

　

William M.W. Mong Engineering Building

　

　

(Engineering Building Complex Phase 2)

　

　

CUHK

　

　

　

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Abstract:
　

We study a continuous-time portfolio selection problem where the
agent tries to minimize the law-invariant coherent risk measure of
terminal payoffs while achieving a pre-specified expected return
level. We extend the representation theorem of law-invariant coherent risk
measures to the space of lower-bounded random variables in order to be consistent
with tame portfolio setting in continuous-time portfolio selection literature. Using the quantile formulation and a min-max theorem, we solve
this portfolio selection problem completely. The sufficient and
necessary conditions on the well-posedness of the problem and the existence of
optimal solutions are derived. It turns out that the optimal value is independent of the expected return level, which results in a vertical efficient frontier on the return-risk plane. At last, we study this problem with an additional uniform lower-bound on terminal payoffs. We solve it completely when the law-invariant coherent risk measure is comonotonic, and the optimal value does not depend on the expected return level either.

This is a joint work with Han Qing Jin (Oxford) and Xun Yu Zhou (Oxford).


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Biography:
　

Xuedong He received his bachelor degree in Mathematics and Applied Mathematics from Peking University in 2005. He joined the Chinese University of Hong Kong as a Ph.D. student in 2005 and moved to the University of Oxford in 2008, where he received his doctorate degree in Mathematical Finance in August 2009. In September 2009, he joined IEOR, Columbia University as an assistant professor.

His research interests include behavioral finance, portfolio choice and stochastic control.


************************* ALL ARE WELCOME ************************

　

　

　

Host

:

Prof. Chen Nan

Tel

:

(852) 2609-8237

Email

:

nchen@se.cuhk.edu.hk

　

　

　

Enquiries

:

Prof. Nan Chen or Prof. Sean X. Zhou

　

:

Department of Systems Engineering and Engineering Management

　

　

CUHK

Website

:

http://www.se.cuhk.edu.hk/~seg5810

Email

:

seg5810@se.cuhk.edu.hk

　

　

　

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