十大网投正规信誉官网双周学术报告会（三）

时间：2017年10月11（星期三）14：00-16：00

地点：学院南路校区，图配楼514会议室

报告一题目：基于修正Black-Scholes型金融市场和CVaR风险测度的动态投资组合

报告人：十大网投正规信誉官网、王秀国教授

摘要：在修正的Black-Scholes型金融市场下, 研究了基于CVaR风险测度的连续时间投资组合优化问题.给出了最优投资策略和有效前沿的显式表达式, 有效地解决了传统的最优投资权重在估计期望收益率过程中带来的敏感性问题, 并从理论上解释了金融市场的低风险资产异常现象. 进一步, 在同一框架下将本文的投资策略与均值-方差以及均值-CCaR模型下的策略进行了比较, 比较结果表明最优投资策略在修正Black-Scholes型金融市场下对风险测度具有稳健性. 最后, 实证结果表明, 与其它经典投资策略相比, 本文构建的最优投资策略随时间是平稳的, 更能捕捉低波动率资产, 并具有更好的业绩表现.    

报告二题目：Partially A-optimal blocked multi-factor designs

报告人：十大网投正规信誉官网、王晓迪博士

摘要：In this paper, we propose a  partially A-optimal criterion for block designs where multiple factors are arranged. The number of levels of each factor is assumed to be arbitrary and unequal block sizes are allowed. A sufficient condition is derived for a design to be partially A-optimal among all feasible designs. Then the properties of the selected design and its relation with orthogonal arrays are studied. Methods of constructing designs satisfying the sufficient condition are also given.