金工论坛第一讲

金工论坛第一讲

报告题目（Title）: Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach

时间：2018年10月18日周四，12:20-13:20 

地点：对外经济贸易大学博学楼925

主讲人（Speaker）：周超

周超博士，硕士毕业于法国的巴黎九大和国立经济管理和统计学校，拥有巴黎综合理工大学工程师文凭，博士也毕业于巴黎合理工大学。他现为新加坡国立大学数学系助理教授和量化金融中心研究员，参与新加坡国立大学量化金融硕士在国内的招生工作。他主要研究金融数学和随机控制，并在这些方向获得一些很好的结果，其中的一部分发表在多个国际权威的数学、金融杂志上，如：The Annals of Applied Probability, The Annals of Probability, Mathematical Finance等。

摘要（Abstract）：

  This talk is concerned with multi-asset mean-variance portfolio selection problem under model uncertainty. We develop a continuous time framework for taking into account ambiguity aversion about both expected rate of return and correlation matrix of stocks, and for studying the effects on portfolio diversification.  

  We prove a separation principle for the associated robust control problem formulated as a mean-field type differential game, which allows to reduce the determination of the optimal dynamic strategy to the parametric computation of the minimal risk premium function.

  Our results provide a justification for under-diversification, as documented in empirical studies, and that we explicitly quantify in terms of correlation and Sharpe ratio ambiguity parameters. In particular, we show that an investor with a poor confidence in the expected return estimation does not hold any risky asset, and on the other hand, trades only one risky asset when the level of ambiguity on correlation matrix is large. This extends to the continuous-time setting the results obtained by Garlappi, Uppal and Wang (2007), and Liu and Zeng (2017) in a one-period model.

  Based on joint work with Huyên Pham (Paris Diderot) and Xiaoli Wei (Paris Diderot).