报告题目：Optimal portfolio selection with VaR and portfolio insurance constraints under the rank-dependent expected utility theory
时 间：2025年1月13日（星期一）15:00
地 点：科研楼18号楼1102
主 办：数学与统计学院、分析数学及应用教育部重点实验室、福建省分析数学及应用重点实验室、福建省应用数学中心（福建师范大学）
参加对象：感兴趣的老师和学生
报告摘要：We investigate two optimal portfolio selection problems for a rank-dependent utility investor who needs to manage his risk exposure: one with a single Value-at-Risk (VaR) constraint and the other with joint VaR and portfolio insurance constraints. The two models generalize existing models under expected utility theory and behavioral theory. The martingale method, quantile formulation, and relaxation method are used to obtain explicit optimal solutions. We have specifically identified an equivalent condition under which the VaR constraint is effective. A numerical analysis is carried out to demonstrate theoretical results, and additional financial insights are presented. We find that, in bad market states, the risk of the optimal investment outcome is reduced when compared to existing models without or with one constraint. This talk is based on a joint work with Hui Mi from Nanjing Normal University.
报告人简介：许左权，博士，教授，博导，现任教于香港理工大学应用数学系，主要从事金融数学、保险精算、随机控制及机器学习等研究，多次受邀于世界著名学术机构及学术会议上作学术报告，主持多项国家自然科学基金及香港研究资助局项目。其主要学术成果发表在 Mathematical Finance， Operations Research， Annals of Applied Probability， Finance and Stochastics, SIAM Journal on Financial Mathematics，SIAM Journal on Control and Optimization，Mathematics of Operations Research, Insurance: Mathematics and Economics 等国际著名学术期刊上。许博士曾先后就读于南开大学、北京大学、香港中文大学，曾任英国牛津大学数学研究所野村金融数学研究员及 Oxford-Man 研究所通讯研究员，现为 Mathematics of Operations Research，Digital Finance 等国际期刊编委。