报告题目:Portfolio Optimization Models under Various Risk Measures

报告人：Carisa K. W. YU

报告时间：下午3：20

报告地点：健B104

 题目：Portfolio Optimization Models under Various Risk Measures

报告人： Carisa K. W. YU  (Associate Professor in the Department of Mathematics and Statistics, Hang Seng Management College, Hong Kong.)

地点：浙工大屏峰校区健B104 

时间：2018年05月18日  下午3：20

摘要：  Risk management plays an important role in portfolio optimization problems. Using an appropriate risk measure is essential. In the literature, various risk measures (such as variance, L-infinity, Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR)) have been proposed. In this paper, the problems under various measures are formulated as bi-criteria optimization models in which wealth is allocated to various assets by considering the tradeoff of return and risk. In particular, we investigate the portfolio optimization models under three risk measures (including L-infinity, VaR and CVaR risk measures). According to an equivalence relation between a multi-criteria linear program and its weighted sum linear programs, and by a simple transformation, the model under L-infinity risk measure can be solved by considering its weighted sum linear programs. As CVaR risk measure can be formulated as a convex piecewise linear function, the model under CVaR risk measure can be solved by linear simplex algorithm. The model under VaR risk measure can be reformulated by applying the modeling of a mixed 0-1 linear multi-criteria program. Computational experiments are conducted using real stocks from the Hong Kong stock market. We discuss the optimal solution sets of these three bi-criteria portfolio optimization models through empirical results.