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Ambiguous jumps, fears and robust portfolio strategies
发布时间:2013-6-17 来源:本站原创  

本周三(619日)上午 10:00学术讲座通知:


主讲人:Xing Jin,  Associate Professor in Finance, University of Warwick



演讲题目:Ambiguous jumps, fears and robust portfolio strategies




地点:武东路100号同德楼 111



A number of empirical and theoretical studies have documented that jump risk has a
substantial impact on portfolio selection. Given that jumps are inherently infrequent, it
is di¢ cult to estimate jump models with adequate precision. This paper presents a novel
approach to the optimal portfolio selection problem in a potentially large
…nancial market
for an investor who faces both di¤usion and jump risk and who is averse not only to risk
of loss but also to the uncertainty associated with jumps. More speci
…cally, we develop
a pathwise optimization procedure based on martingale methods and minimax results to
solve for the probability of the worst scenario and for the optimal portfolio strategy in a
jump-di¤usion model. More importantly, our method avoids the curse of dimensionality and
hence signi
…cantly helps to solve a portfolio selection problem in a model with jump risk
for an investor with ambiguity aversion. Finally we apply our theoretical results to a model
to examine the properties of the optimal portfolio choices. In striking contrast to a pure
di¤usion model, our model indicates that the ambiguity aversion of an investor with regard
to jump parameters may not reinforce the investor
’s risk aversion. Then we show an investor
can mitigate her fears of jumps by trading derivatives.

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