题目:Dynamic portfolio optimization with ambiguity aversion
主讲人:安云碧(Yunbi An),加拿大温莎大学ODETTE商学院教授
时间:11月8日(星期二),10:00
地点:A1039
摘要:
This paper investigates portfolio selection in the presence of transaction costs and ambiguity about return predictability. We derive the optimal dynamic trading rule in closed form using the robust optimization method, and characterize its properties and the unique mechanism through which ambiguity aversion impacts the optimal robust strategy. In addition to the two trading principles documented in Gârleanu and Pedersen (2013), our model further implies that the robust strategy is to aim for a low expected loss. Ambiguity-averse investors trade toward an aim portfolio that gives less weight to highly volatile return-predicting factors, and loads less on the securities that have large and costly positions in the existing portfolio. Using data on various commodity futures, we show that the robust strategy outperforms the corresponding non-robust strategy in out-of-sample tests.
主讲人简介:
安云碧教授,加拿大皇后大学金融学博士,现任加拿大温莎大学Odette 商学院金融学教授。讲授的课程主要包括:公司金融,公司财务金融战略,投资学,和国际金融风险管理等。研究方向包括公司金融,资产组合选择,金融衍生品定价和风险管理,曾在国际著名金融期刊,如Journal of Banking and Finance, Financial Management, Journal of International Money and Finance等发表论文二十多篇。
经管学院科研办
2016-11-04