报告题目：Portfolio Optimization under Probabilistic Risk Measure

主 讲 人：Kok Lay Teo 教授

 报告时间：2019年10月21日 8：30—10：30

报告地点：数理楼221

报告摘要：Portfolio selection models are of great practical significance to investors around the world. The way risk is defined and measured will lead to different optimal portfolios. Markowitz laid the foundation for this line of research with the well-known mean-variance (M-V) model in a single period case. In Markowitz's model, the portfolio variance was used as a measure of risk. Since then, many other risk definitions have been proposed. One such measure in a single period case is the mean absolute deviation. Another form of risk measure in a single period case is in terms of minimizing the maximum of individual risk which is measured using the mean absolute deviation. In the first part of this presentation, we introduce a probabilistic risk measure in a single period case, with allowance to cater for investors with different degree of risk aversion. The portfolio selection problem is formulated as a bi-criteria optimization problem to maximize the expected portfolio return and minimize the maximum individual risk of the assets in the portfolio. This bi-criteria optimization problem is shown to be equivalent to a linear programming problem. A simple analytical solution is derived. In the second part of this presentation, the probabilistic risk measure is extended for a multi-period portfolio selection problem. Like the single period case, an analytical solution is obtained for the corresponding bi-criteria optimization problem.

个人简历：

Kok Lay Teo（张国礼）教授，现任澳大利亚Curtin University（科廷大学）John Curtin杰出贡献教授。1998年至2005年任香港理工大学应用数学系的首席教授和系主任。2005年至2010年任科廷大学数学与统计学系主任,首席教授。张教授主要从事最优控制、鲁棒控制理论与应用和通讯信号处理等方面的工作，在运筹学以及优化算法方面有着很深的学术造诣，出版英文专著5本，发表高水平和高影响的学术论文五百余篇，应邀作过许多重要的学术报告，得到了国际学术界的高度认可，并作为大会主席组织了多个专题国际学术大会。张教授现任三个国际杂志Journal ofIndustrial and Management Optimization、Dynamics ofContinuous, Discrete  and Impulsive Systems, Series B和NumericalAlgebra, Control and Optimization的主编，并是Automatica, JournalGlobal  Optimization等十余个杂志的编委。