题目：  Risk Management of Portfolios by CVaR Optimization

报告人：Professor Thomas F. Coleman

Ophelia Lazaridis University Research Chair

滑铁卢保险，证券与计量金融研究所，主任

(加拿大滑铁卢(Waterloo)大学，组合与优化系)

时间： 9月15日(周四)下午 4：00-5：00

地点： 致远楼107室

摘要

Abstract: The optimal portfolio selection problem is the fundamental optimization problem in finance – optimally balancing risk and return, with possible additional constraints. Unfortunately the classical optimization approach is very sensitive to estimation error, especially with respect to the estimated mean return, and the resulting efficient frontier may be of little practical value. Indeed it may be dangerous from a risk management point of view. A popular alternative, usually under the banner of “robust optimization” is ultra-conservative and, we argue, not really robust! In this sense it may also be of questionable practical value.  We propose an alternative optimization approach – a CVaR optimization formulation that is relatively insensitive to estimation error, yields diversified optimal portfolios, and can be implemented efficiently. We discuss this promising approach in this talk and present strongly supportive numerical results.