题目：Hedging Crash Risk in Optimal Portfolio Selection

主讲人：朱书尚　中山大学管理学院教授

时间：2019年10月24日（周四）下午3:00

地点：学院301会议室

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.