9月10日商學院“商學大講堂”——安雲碧：Portfolio Selection with a Systematic Skewness Constraint

講座題目：Portfolio Selection with a Systematic Skewness Constraint

主講嘉賓：安雲碧

時 間： 2014年9月10日（星期三）下午14：45—16：30

地 點：江南大學文浩科學館107學術報告廳

歡迎感興趣的師生前來聆聽！

商學院

2014年9月2日

主講嘉賓簡介

安雲碧，加拿大皇後大學金融學博士，現任加拿大溫莎大學Odette商學院金融學教授。其主要研究領域包括衍生産品定價，資産組合選擇及風險管理等。曾在Financial Management, Journal of Banking and Finance, Journal of International Money and Finance, Journal of Futures Markets，The Quarterly Review of Economics and Finance和Pacific-Basin Finance Journal等國際期刊發表論文。多次受邀參加EFMA、EFA、MFA、以及NFA等舉辦的金融學年會。

講座主要内容

This paper focuses on portfolio selection with a systematic skewness constraint within the mean-variance framework. We derive the composition of efficient portfolios in our model, and analyze the properties of the efficient portfolios. We show that the required systematic skewness is achieved at the expense of mean-variance efficiency, and find that the more stringent the constraint, the greater the loss in efficiency. Our numerical analysis indicates that the constraint helps enhance the skewness of efficient portfolios. Finally, we analyze the determinants of market prices of systematic variance and skewness implied by our model.