黃曉霞教授：How does background risk affect portfolio choice: An analysis based on uncertain mean-variance model with background risk 華南經(jīng)濟(jì)論壇第276期
題目：How does background risk affect portfolio choice: An analysis based on uncertain mean-variance model with background risk
時(shí)間：4月22日（周三）晚上7:00-8:30
地點(diǎn)：騰訊會(huì)議（會(huì)議號(hào)：467 336 652；密碼003408）
主講人：黃曉霞教授
主講人簡(jiǎn)介：
黃曉霞，北京科技大學(xué)東凌經(jīng)濟(jì)管理學(xué)院教授、博導(dǎo)、副院長(zhǎng)，工學(xué)、經(jīng)濟(jì)學(xué)雙學(xué)士、管理學(xué)博士，教育部新世紀(jì)優(yōu)秀人才。主持過(guò)兩項(xiàng)國(guó)家自然科學(xué)基金項(xiàng)目、一項(xiàng)國(guó)家社會(huì)科學(xué)基金項(xiàng)目、教育部新世紀(jì)優(yōu)秀人才支持計(jì)劃項(xiàng)目；在德國(guó)Springer出版社出版專著一部，發(fā)表SCI/SSCI檢索期刊論文40篇，連續(xù)五年入選世界著名科技公司愛(ài)思唯爾發(fā)布的“中國(guó)高被引學(xué)者榜單”。曾獲得省部級(jí)科技獎(jiǎng)勵(lì)一等獎(jiǎng)。是多個(gè)國(guó)際學(xué)術(shù)期刊的編輯，曾擔(dān)任多個(gè)國(guó)際會(huì)議的大會(huì)主席，并多次受邀作國(guó)際學(xué)術(shù)會(huì)議的大會(huì)報(bào)告。主要研究方向?yàn)橥顿Y組合，項(xiàng)目選擇，優(yōu)化與決策分析。
摘要：
This lecture tells how background risk affects individual investment decisions under the framework of uncertainty theory. An uncertain mean-variance model with background risk will be introduced and its optimal solution when the returns of stocks and background asset obey normal uncertainty distributions will be presented. On this basis, the characteristic of the mean-variance efficient frontier of the stock portfolio in the presence of background risk will be offered. Furthermore, the uncertain mean-variance model with consideration and without consideration of background risk will be compared. Based on the comparison, how background risk affects individual portfolio choice will be discussed.
本報(bào)告主要介紹不確定背景風(fēng)險(xiǎn)下的均值-方差模型，通過(guò)對(duì)模型的介紹，談如何進(jìn)行不確定投資組合研究。