金融工程研究中心学术报告：Worst-Case Values of Target Semi-Variances with Applications to Robust Portfolio Selection

报 告 人: Jun Cai, Department of Statistics and Actuarial Science, University of Waterloo, Canada   报告时间：2024年11月6日（周三）10：00-11:00 报告地点：览秀楼105   #腾讯会议：362-683-9628   报告摘要：The expected regret and target semi-variance are two of the most important risk measures for downside risk. When the distribution of a loss is uncertain, and only partial information of the loss is known, their worst-case values play important roles in robust risk management for finance, insurance, and many other fields. In this paper, we first complement the study of Chen et al. (2011) on the worst-case target semi-variances and derive the closed-form expressions for the worst-case target semi-variance when only the mean and variance of a loss are known, and the loss is symmetric or non-negative. Then, we investigate worst-case target semi-variances over uncertainty sets that represent undesirable scenarios faced by an investor. As applications of the results derived in this paper, we propose robust portfolio selection methods that minimize the worst-case target semi-variance of a portfolio loss over different uncertainty sets. To explore the insights of our robust portfolio selection methods, we conduct numerical experiments with real financial data and compare our portfolio selection methods with several existing portfolio selection models related to the models proposed in this paper. This talk is based on joint work with Zhanyi Jiao and Tiantian Mao.   个人简介：Dr. Jun Cai is a professor in the Department of Statistics and Actuarial Science at the University of Waterloo, Canada. His research interests encompass actuarial science, applied probability, mathematical finance, and operations research. Currently, he focuses on quantitative risk management for insurance and finance, insurance decision problems, dependence modeling, and risk analysis with model uncertainty. His publications have appeared in leading journals such as Operations Research, European Journal of Operational Research, Mathematical Finance, Finance and Stochastics, Journal of Risk and Insurance, Insurance: Mathematics and Economics, ASTIN Bulletin, Scandinavian Actuarial Journal, Advances in Applied Probability, Journal of Multivariate Analysis, and Stochastic Processes and their Applications. Additionally, he and Dr. Tiantian Mao were awarded the 2020 International Actuarial Association (IAA) Bob Alting von Geusau Prize. He also serves as an associate editor for Insurance: Mathematics and Economics.