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
時間:4月22日(周三)晚上7:00-8:30
地點:騰訊會議(會議號:467 336 652;密碼003408)
主講人:黃曉霞教授
主講人簡介:
黃曉霞,北京科技大學(xué)東凌經(jīng)濟管理學(xué)院教授、博導(dǎo)、副院長,工學(xué)、經(jīng)濟學(xué)雙學(xué)士、管理學(xué)博士,教育部新世紀優(yōu)秀人才。主持過兩項國家自然科學(xué)基金項目、一項國家社會科學(xué)基金項目、教育部新世紀優(yōu)秀人才支持計劃項目;在德國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思唯爾發(fā)布的“中國高被引學(xué)者榜單”。曾獲得省部級科技獎勵一等獎。是多個國際學(xué)術(shù)期刊的編輯,曾擔(dān)任多個國際會議的大會主席,并多次受邀作國際學(xué)術(shù)會議的大會報告。主要研究方向為投資組合,項目選擇,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.
本報告主要介紹不確定背景風(fēng)險下的均值-方差模型,通過對模型的介紹,談如何進行不確定投資組合研究。