题 目：Portfolio Optimization
报告人：滑铁卢大学投资组合优化系Michael J. Best 教授
主持人：姚铮，体育外围平台APP会计与财务管理系教授
时 间：2012年6月8日（周五）15:30-17:00
地 点：紫金港校区体育外围平台APP902会议室
报告人介绍： Michael J. Best 现为滑铁卢大学数学系投资组合优化系教授，是国际著名的风险管理和投资组合优化专家。分别在1967年和1968年获得滑铁卢大学 （University of Waterloo）数学学士和硕士学位，于1970年和1971年获得加州大学伯克利分校（University of California Berkeley）理学硕士和博士学位。自1971年开始在滑铁卢大学组合优化系任教，研究方向为投资组合优化。先后出版了《线性规划》（Linear Programming）和《投资组合优化》（Portfolio Optimization）两本专著。发表论文50多篇，多数学术论文发表在《Management Science》、《Journal of Finance》、《The Review of Financial Studies》、《Mathematical Programming》等A+类刊物上。此外，长期担任美国和加拿大金融机构投资组合优化咨询工作。
摘 要： A money manager must decide on what proportion of wealth is to be invested in each of a (potentially large) number of assets. The decision is a risk/reward trade off which depends on his aversion to risk. H. Markowitz developed a theory to solve this problem and shared a Nobel Prize for it. This mean-variance portfolio optimization is the basis for much of modern asset allocation. For those not familiar with the subject, we will begin with a detailed derivation of the Efficient Frontier and Capital Market Line (CML) by posing each as a quadratic minimization problem. We briefly mention Sharpe ratios and implied risk free rates. Practical problems have many linear inequality constraints and the relevant portfolio optimization problem becomes a quadratic (or parametric quadratic) programming problem. In addition, commercial portfolio optimization requires transaction costs and we will discuss these briefly. This talk will reflect the author’s consulting experience.
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会计与财务管理系
2012.6.5
