时间：2018年3月21日 上午10：00-11：30

地点：4号楼229报告厅

报告人：澳大利亚Curtin大学TEO KL教授

Title:  Optimal Portfolio Selection Subject to Constraints on Risk Measure

Abstract: Portfolio selection models are of great practical significance to investors around the world. The way risk is defined and measured will lead to different optimal portfolios. Markowitz laid the foundation for this line of research with the well-known mean-variance (M-V) model in a single period case. In Markowitz's model, the portfolio variance was used as a measure of risk. Since then, many other risk definitions have been proposed. One such measure in a single period case is the mean absolute deviation. Another form of risk measure in a single period case is in terms of minimizing the maximum of individual risk which is measured using the mean absolute deviation. In the first part of this presentation, we introduce a probabilistic risk measure in a single period case, with allowance to cater for investors with different degree of risk aversion. The portfolio selection problem is formulated as a bi-criteria optimization problem to maximize the expected portfolio return and minimize the maximum individual risk of the assets in the portfolio. This bi-criteria optimization problem is shown to be equivalent to a linear programming problem. A simple analytical solution is derived. In the second part of this presentation, the probabilistic risk measure is extended for a multi-period portfolio selection problem. Like the single period case, an analytical solution is obtained for the corresponding bi-criteria optimization problem.

报告人简介：

Kok Lay Teo received his Ph.D. degrees in electrical engineering from the University of Ottawa, Canada. He was with the Department of Applied Mathematics, University of New South Wales, Australia, the Department of Industrial and Systems Engineering, National University of Singapore, Singapore, the Department of Mathematics, the University of Western Australia, Australia. In 1996, he joined the Department of Mathematics and Statistics, Curtin University of Technology, Australia, as Professor. He then took up the position of Chair Professor of Applied Mathematics and Head of Department of Applied Mathematics at the Hong Kong Polytechnic University, China, from 1999 to 2004. He returned to Curtin University as Professor and Head of the Department of Mathematics and Statistics from 2015 to 2010. He has been John Curtin Distinguished Professor at Curtin University since 2011. He was a member of the ARC's Mathematical, Information, and Computing Sciences Research Evaluation Committee for ERA 2010 and ERA2015. He has published 5 books and over 450 journal papers. He has a software package, MISER3.3, for solving general constrained optimal control problems. His editorial positions include serving as Editor-in-Chief of the Journal of Industrial and Management Optimization; Numerical Algebra, Control and Optimization; and Cogent Mathematics, and as a member of editorial board of a number of journals such as Automatica, Journal of Global Optimization, Journal of Optimization Theory and Applications, Optimization and Engineering, Discrete and Continuous Dynamic Systems, Optimization Letters, and Applied Mathematical Modelling. His research interests include both the theoretical and practical aspects of optimal control and optimization, and their practical applications such as in signal processing in telecommunications, and financial portfolio optimization.