报告题目：Portfolio Optimization under a Minimax Rule
(最小化最大风险规则下的投资组合优化)
Abstract:
In this talk, a new model for portfolio selection is introduced to address the situation where a risk averse investor wants to minimize the maximum individual risk among assets to be invested. The model uses an $l_\infty$ function as a risk aversion measure. This differs from previous studies where either an $l_2 $ function or an $l_1$ function is suggested, which may not model adequately the concern of very cautious investors. We formulate our problem as a bi-criteria piecewise linear program, where one criterion is to minimize the $l_\infty$ risk function while the other is to maximize the total expected return. This bi-criteria optimization problem is converted into an equivalent scalarized problem with a single combined criterion. An interesting finding is that an optimal investment strategy can be derived analytically. The solution exhibits a simple structure, which selects assets to be invested in accordance with the ratio of the difference in their return rates to their risks. Moreover, we show that the whole efficient frontier of the bi-criteria problem can also be determined analytically. Some numerical experiments have also been carried out to illustrate our findings.
主讲人：香港理工大学杨晓琪教授
时间：2009年11月5日（周四）下午3：00
地点：文科楼1700会议室
欢迎有兴趣的老师和同学参加！
主讲人简介： 杨晓琪教授，重庆人。1994 年于澳大利亚新南威尔士大学获博士学位。1999年至今于香港理工大学执教，并任重庆大学兼职教授。因其学术贡献突出，2000年荣获SCI引用奖“ISI Citation Classic 2000”，并获香港理工大学研究领域校长成就奖。2006年，又获得“重庆市科学技术一等奖”。主要研究方向：金融优化、管理科学与工程、网络优化、非线性最优化理论与算法、向量最优化等。已在包括Management Science,SIAM Journal on Optimization, Mathematics of Operations Research, Mathematical Programming等管理科学与工程及优化方向top期刊在内的国际主要期刊上发表学术论文200多篇，且具有很高的引用率。合著出版学术专著3部。现担任Journal of Optimization Theory and Applications、Journal of Industrial and Management Optimization等多个国际著名期刊的Associate Editor。