【北航经商大讲堂第23期】
美国伦斯勒理工学院Chanaka Edirisinghe教授特邀报告
题目： Leveraged Portfolio Selection underLiquidity Risk: Model, Theory and Computation
主讲人：Chanaka Edirisinghe 教授
美国伦斯勒理工学院 讲席教授
Lally 管理学院学术副院长
主持人：陈靖楠 副教授
时间： 2018年7月9日19:00-21:00
地点： 北航新主楼A座618
摘要：
When a financial portfolio is rebalanced undermarket conditions to satisfy leverage and other restrictions, asset illiquidityadversely-impacts trading prices, and hence, the portfolio's performance. Usinga continuous-time trading model, we study the Pareto-efficiency betweenrisk-adjusted return, leverage, and target return. We show analytically thatthe Sharpe-maximizing unlevered portfolio is no longer a tangency portfolio,and proportionate-leveraging is not an optimal strategy under liquidity risk.As target return increases, the required minimum portfolio-leverage increasesat an increasing-rate, while the Sharpe-Leverage frontiers areprogressively-dominated. These results contrast with the classical portfoliotheory that assumes no liquidity risk, and our empirical analysis using ETFasset-data verifies that ignoring liquidity impact may lead to severe portfoliounder-performance.
If time permits, I will also consider a specific situationinvolving only de-leveraging, where the model is simplified to maximizeportfolio’s expected value under leverage and margin limits. This leads to aseparable model, but it is extremely difficult to solve due to non-convexity. Iwill present a new and general dual cutting plane technique that solves theLagrangian dual more-efficiently. The sensitivities of the optimal deleveragingstrategy to leverage and margin limits will be discussed in the context of theabove data set.
当调整投资组合以满足杠杆和其他限制时，资产流动性对交易价格会产生不利影响，进而影响投资组合的表现。运用连续时间的交易模型，我们研究风险调整收益率、杠杆率和目标收益率之间的帕累托效率。我们的解析结果表明，夏普率最大化的无杠杆投资组合不再是切向投资组合，在流动性风险下按比例加杠杆也不再是最优策略。随着目标收益的增加，所需的最低投资组合杠杆率以递增的速度增长，而夏普杠杆前沿逐渐被主导。这些结果与忽略流动性风险的经典的投资组合理论不同，并且我们基于ETF资产数据的实证分析证实忽略资产流动性会严重影响投资组合表现。
如果时间允许，我还会考虑一个特定的情况，只涉及去杠杆化，其中模型被简化以最大化投资组合在杠杆率和保证金限制下的预期价值。这导致了一个可分离的模型，但是由于其非凸性，求解非常困难。我将提出一个新的一般的双切割平面技术，更有效地解决拉格朗日对偶问题并讨论最佳去杠杆化策略对杠杆率和保证金限制的敏感性。
主讲人简介：
Dr. Chanaka Edirisinghe holds a BS (MechanicalEngineering), an M.Eng (Industrial Engineering and Management), and a Ph.D. (ManagementScience) from University of British Columbia, Canada. He has publishedextensively in operations research and finance, focusing on quantitativefinance topics, as well as stochastic and quadratic optimization. His researchappears in Management Science, Operations Research, Mathematical Programming,Mathematics of Operations Research, as well as in Journal of Financial andQuantitative Analysis, Journal of Banking and Finance, and QuantitativeFinance, among others. He received the Citation of Excellence Award by EmeraldManagement Reviews in 2009 for publishing one of the top 50 management researcharticles in the world. He was a former Vice Chair of Financial ServicesSection, as well as Optimization Society of INFORMS, and he was the General Chairof the INFORMS 2016 annual conference.
Chanaka Edirisinghe教授于加拿大英属哥伦比亚大学获得管理科学博士学位、工程学硕士学位及工业机械工程学士学位，并在运筹学和金融学领域发表了大量文章，他专注于量化金融、随机和二次优化。他在ManagementScience, Operations Research, Mathematical Programming, Mathematics ofOperations Research, Journal of Financial and Quantitative Analysis, Journal ofBanking and Finance, Quantitative Finance等杂志上发表过文章，并于2009年获得EmeraldManagement Reviews颁发的Citationof Excellence Award。他曾担任美国运筹与管理科学协会（INFORMS）金融服务分会和优化分会副主席，并且担任INFORMS2016年会的大会主席。
