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金融工程研究中心学术报告:Risk measures with applications in optimal investment portfolio selections for safety-first investors

报告题目:Risk measures with applications in optimal investment portfolio selections for safety-first investors 

报 告 人:Professor Jun Cai,  滑铁卢大学统计与精算科学系

报告地点:苏州大学金融工程研究中心105学术报告厅

报告时间:20181191600-17:00 

报告摘要:In this talk, we review the new risk measures recently developed for controlling downside risks and from behavioural economics theory. We present the applications  of the new risk measures in optimal investment portfolio selections for safety-first investors. We use the real data from the New York Stock Exchange (NYSE) to show that the new risk measures can effectively control downside risks of investment  portfolios  and perform  better than the classical risk measures such as TVaR in a volatile market.

报告人简介 Dr. Jun Cai obtained his PhD degree in Actuarial Mathematics at  Concordia University, Canada. He  currently is  a  professor of Actuarial Science  in the Department of Statistics and Actuarial Science  at the University of Waterloo, Canada. His current  research interests include risk analysis,  risk management for insurance and finance, dependence modelling, optimization problems in insurance and finance. His publications appear in different journals including  Mathematical  Finance, Finance and Stochastics,  Journal of Risk and Insurance, Insurance: Mathematics and Economics,  Scandinavian Actuarial Journal,  Advances in Applied Probability, Stochastic Processes and their Applications,  Journal of Multivariate Analysis, Annals of Operations Research. He is currently an associate editor of Insurance: Mathematics and Economics and is  also serving  in editorial boards for several other journals. 

 


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