问题：Markowitz Strategies Revised

报告人：Yan Jia-an（严加安院士）

Academyof Mathematicsand Systems Science

Chinese Academy of Sciences, Beijing, China

时间：2009年4月6日（周一）下昼2：00-3：00

所在：伟易博新楼217室

摘要：In this talk I will show that parameterized continuous-time Markowitz's mean--variance efficient strategies could reach any given mean target with arbitrarily high probabilities. This result indicates that the very popular risk measure VaR (Value at Risk) may not be a proper measure in guiding investment practice, because it gives only the probability of certain losses to occur, but not the magnitude of potential losses. This, in turn, motivates the introduction of certain stopped strategies where stock holdings are liquidated whenever the parameterized Markowitz strategies reach the present value of the mean target. The risk aspect of the revised Markowitz strategies are examined via expected discounted shortfall from the initial budget. A new portfolio selection model is suggested. This talk is based on a joint work with Xunyu Zhou.