讲座时间：5月31日（周四）10：00-11:00
讲座地点：统计楼103会议室（闵行校区）
报告人🧘🏽♀️📿：Jun Cai, Department of Statistics and Actuarial Science, University of Waterloo, Canada
讲座题目🧑🦼：Risk measures with applications in optimal investment portfolio selections for safety-first investors
报告简介🙋🏼♂️：In this talk, we review the new risk measures recently developed for controlling downside risks and from behavioural economics theory. We present the applications of the new risk measures in optimal investment portfolio selections for safety-first investors. We use the real data from the New York Stock Exchange (NYSE) to show that the new risk measures can effectively control downside risks of investment portfolios and perform better than the classical risk measures such as TVaR in a volatile market.
This talk is based on joint works with Tiantian Mao and Maochao Xu.