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      學術報告

      學術報告

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      報告時間 2023年6月16日(周五)下午3:00-5:20 報告地點 騰訊會議ID:670-778-045
      報告人 朱書尚

      報告題目:Systemic Risk of Optioned Portfolio: Controllability and Optimization

      報告人:朱書尚 教授 中山大學

      邀請人:趙志華

      報告時間:2023年6月16日(周五)下午3:00-5:20

      騰訊會議ID:670-778-045

      報告人簡介:朱書尚,湖南人,本科(1997)和碩士(2000)畢業于湘潭大學,2003年畢業于中國科學院系統科學研究所,獲管理學博士學位。2003年7月到2012年1月于復旦大學管理學院任教。2012年1月,以省部級人才身份加入中山大學,現任中山大學管理學院財務與投資系教授/博士生導師。多次到香港中文大學、京都大學做訪問交流。當前研究興趣主要包括投資組合管理、Forward-Looking收益預測、系統性風險傳染機制與測度、風險值優化、隨機優化等。在國內外專業學術期刊上發表論文60余篇,其中包括在Operations Research, INFORMS Journal on Computing, Mathematical Finance, IEEE Transactions on Automatic Control, Journal of Economic Dynamics and Control, Journal of Banking and Finance, Journal of Financial Stability, Quantitative Finance, Journal of Computational Finance,《管理科學學報》和《金融研究》等期刊上發表的多篇論文。現任中國運籌學會理事、中國運籌學會金融工程與金融風險管理分會常務理事、副理事長;中國系統工程學會金融系統工程專業委員會委員;中國優選法統籌法與經濟數學研究會經濟數學與管理數學分會常務理事;中國優選法統籌法與經濟數學研究會量化金融與保險分會常務理事。

      報告摘要:Diversification plays an important role in financial theory and lays the foundation for financial risk management. However, its role is greatly weakened for the portfolio only containing underlying assets when systemic risk events occur. In this paper, we study portfolio selection against systemic risk from the perspective of individual investors. With the typical systemic risk measure CoVaR, we first demonstrate that the systemic risk of pure stock portfolio cannot be well controlled by diversification due to the contagion effect caused by the relatively high correlations between stocks and the seesaw effect caused by distresses of different stocks. Next, we illustrate that the introduction of options into the portfolio can alleviate these two adverse effects and make the systemic risk become controllable. Then, we show that the optimization problem of optioned portfolio can be reformulated as a second-order cone program (SOCP) that allows for efficient computation. Finally, we carry out simulations and empirical tests to illustrate the theoretical findings.

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